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Characterisation of optimal dual measures via distortion

Monoyios, Michael - In: Decisions in economics and finance : DEF ; a journal of … 29 (2006) 2, pp. 95-119

Persistent link: https://www.econbiz.de/10003835671

Utility-based valuation and hedging of basis risk with partial information

Monoyios, Michael - In: Applied mathematical finance 17 (2010) 5/6, pp. 519-551

Persistent link: https://www.econbiz.de/10008797230

Efficient option pricing with transaction costs

Monoyios, Michael - In: The journal of computational finance 7 (2003) 1, pp. 107-128

Persistent link: https://www.econbiz.de/10001805452

Option pricing with transaction costs using a Markov chain approximation

Monoyios, Michael - In: Journal of economic dynamics & control 28 (2004) 5, pp. 889-913

Persistent link: https://www.econbiz.de/10001855988

Performance of utility-based strategies for hedging basis risk

Monoyios, Michael (contributor) - 2003

Persistent link: https://www.econbiz.de/10001792888

Efficient option pricing with transaction costs

Monoyios, Michael - 2002

Persistent link: https://www.econbiz.de/10001730330

Finite horizon portfolio selection with transaction costs

Monoyios, Michael - 2001

Persistent link: https://www.econbiz.de/10001586807

Utility indifference pricing with market incompleteness

Monoyios, Michael - In: Nonlinear models in mathematical finance : new research …, (pp. 67-100). 2008

Persistent link: https://www.econbiz.de/10011954430

Optimal investment with inside information and parameter uncertainty

Danilova, Albina; Monoyios, Michael; Ng, Andrew - 2010

An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is ﬁltered from a combination of price observations and the privileged information, fusing a partial information...

Persistent link: https://www.econbiz.de/10009439570

Duality for optimal consumption with randomly terminating income

Davey, Ashley; Monoyios, Michael; Zheng, Harry - In: Mathematical Finance 31 (2021) 4, pp. 1275-1314

Persistent link: https://www.econbiz.de/10012636230