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Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach

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Explicit representation of the minimal variance portfolio in markets driven by Lévy processes

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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

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Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets

Benth, Fred Espen - 2014

A review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of...

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Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets

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Dynamic conditional correlation models in a multiple financial asset portfolio

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Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

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