Narrow search
Showing 1 - 5 of 5
Cover Image
A liability tracking approach to long term management of pension funds
Ieda, Masashi; Yamashita, Takashi; Nakano, Yumiharu - In: Journal of mathematical finance 3 (2013) 3, pp. 392-400
Persistent link: https://www.econbiz.de/10010239531
Cover Image
Optimal investment for the insurers in Markov-modulated jump-diffusion models
Li, Jinzhi; Liu, Haiying - In: Computational economics 46 (2015) 1, pp. 143-156
Persistent link: https://www.econbiz.de/10011441047
Cover Image
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
Cover Image
Dynamic programming approach to principal-agent problems
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar - In: Finance and stochastics 22 (2018) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011945612
Cover Image
European option pricing under geometric Lévy processes with proportional transaction costs
Xing, Haipeng; Yu, Yang; Lim, Tiong Wee - In: The journal of computational finance 21 (2017/2018) 2, pp. 101-127
Persistent link: https://www.econbiz.de/10011848317