Narrow search
Showing 1 - 10 of 2,261
Cover Image
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
Cover Image
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
Cover Image
Liner shipping industry and oil price volatility : dynamic connectedness and portfolio diversification
Maitra, Debasish; Chandra, Saurabh; Dash, Saumya Ranjan - In: Transportation research / E : an international journal 138 (2020), pp. 1-33
Persistent link: https://www.econbiz.de/10012294944
Cover Image
Optimal investment with correlated stochastic volatility factors
Bichuch, Maxim; Fouque, Jean-Pierre - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 342-369
Persistent link: https://www.econbiz.de/10014278672
Cover Image
Approximate hedging in a local volatility model with proportional transaction costs
Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341
Persistent link: https://www.econbiz.de/10010499677
Cover Image
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen; Pergamenshchikov, Serguei - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Cover Image
Commodity price correlation and time varying hedge ratios
Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061
Persistent link: https://www.econbiz.de/10010400627
Cover Image
Determinants of stock market participation
Menkhoff, Lukas; Westermann, Jannis - 2024
The low degree of stock market participation (SMP) is one of the big puzzles in finance. Numerous determinants have been proposed. We put these determinants into a structure that is derived from a standard static portfolio model. Then we discuss arguments put forward regarding specific SMP...
Persistent link: https://www.econbiz.de/10014528274
Cover Image
Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu; Fukasawa, Masaaki - In: Finance and stochastics 20 (2016) 2, pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
Cover Image
Invisible costs and profitability
Lou, Xiaoxia; Sadka, Ronnie - In: Portfolio construction, measurement, and efficiency : …, (pp. 135-143). 2017
Persistent link: https://www.econbiz.de/10011602947