Narrow search
Showing 1 - 10 of 99
Cover Image
Maximizing the probability of a perfect hedge using an imperfectly correlated instrument
Hobson, David G.; Penn, Jeremy - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 763-790
Persistent link: https://www.econbiz.de/10003133872
Cover Image
Comparison results for stochastic volatility models via coupling
Hobson, David G. - In: Finance and stochastics 14 (2010) 1, pp. 129-152
Persistent link: https://www.econbiz.de/10003924831
Cover Image
The Skorokhod embedding problem and model-independent bounds for option prices
Hobson, David G. - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 267-318
Persistent link: https://www.econbiz.de/10009356712
Cover Image
Stochastic volatility models, correlation, and the q-optimal measure
Hobson, David G. - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 537-556
Persistent link: https://www.econbiz.de/10002396346
Cover Image
[Rezension von: Bjork, Tomas, Arbitrage theory in continuous time]
Hobson, David G. - In: The economic journal : the journal of the Royal … 110 (2000), pp. 261-262
Persistent link: https://www.econbiz.de/10001480861
Cover Image
Optimal consumption and investment under transaction costs*
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi - In: Mathematical Finance 29 (2018) 2, pp. 483-506
Persistent link: https://www.econbiz.de/10012095159
Cover Image
An elementary approach to the Merton problem
Herdegen, Martin; Hobson, David; Jerome, Joseph - In: Mathematical Finance 31 (2021) 4, pp. 1218-1239
Persistent link: https://www.econbiz.de/10012538290
Cover Image
Comparison results for stochastic volatility models via coupling
Hobson, David - 2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical exponential Brownian motion model carry over to a stochastic volatility setting. The properties of the classical...
Persistent link: https://www.econbiz.de/10009468831
Cover Image
Optimal timing for an indivisible asset sale
Evans, Jonathan; Henderson, Vicky; Hobson, David G. - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 545-567
Persistent link: https://www.econbiz.de/10003769012
Cover Image
Utility indifference pricing : an overview
Henderson, Vicky; Hobson, David G. - In: Indifference pricing : theory and applications, (pp. 44-73). 2009
Persistent link: https://www.econbiz.de/10003807578