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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10011544985
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
main aim is to minimize this shortfall risk by making use of results from bsde theory. …
Persistent link: https://www.econbiz.de/10011545021
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Optimal asset allocation and stochastic correlations
Weisheit, Stefan - 2014
Persistent link: https://www.econbiz.de/10010425797
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The crisis, fed, quants and stochastic optimal control
Stein, Jerome L. - In: Economic modelling 28 (2011) 1/2, pp. 272-280
Persistent link: https://www.econbiz.de/10009269940
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Numerical approximation by quantization of control problems in finance under partial observations
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J. - 2009
Persistent link: https://www.econbiz.de/10003827001
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Anticipative stochastic control for Lévy processes with application to insider trading
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009
Persistent link: https://www.econbiz.de/10003827062
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Classical and impulse stochastic control of the exchange rate using interest rates and reserves
Cadenillas, Abel; Zapatero, Fernando - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 141-156
Persistent link: https://www.econbiz.de/10002177370
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A stochastic control approach to risk management under restricted information
Runggaldier, Wolfgang J.; Zaccaria Ruggiu, Annapaola - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 277-288
Persistent link: https://www.econbiz.de/10002177738
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Robust control in water management
Roseta-Palma, Catarina; Xepapadeas, Anastasios - In: Journal of risk and uncertainty : JRU 29 (2004) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10002133113
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Stochastic control problems with delay
Bauer, Harald; Rieder, Ulrich - In: Mathematical methods of operations research 62 (2005) 2, pp. 411-427
Persistent link: https://www.econbiz.de/10003232697