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Local time, coupling and the passport option

Henderson, Vicky; Hobson, David - In: Finance and stochastics 4 (2000) 1, pp. 69-80

Persistent link: https://www.econbiz.de/10008217590

Bounds for in-progress floating-strike Asian options using symmetry

Henderson, Vicky; Hobson, David; Shaw, William; … - 2007

Persistent link: https://www.econbiz.de/10008222035

STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q-OPTIMAL MEASURE

hobson, david - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 537-556

Persistent link: https://www.econbiz.de/10008223322

Risk Aversion, Indivisible Timing Options, and Gambling

Henderson, Vicky; Hobson, David - In: Operations research : the journal of the Operations … 61 (2013) 1, pp. 126-137

Persistent link: https://www.econbiz.de/10010091293

Model-independent hedging strategies for variance swaps

Hobson, David; Klimmek, Martin - In: Finance and stochastics 16 (2012) 4, pp. 611-650

Persistent link: https://www.econbiz.de/10010019153

Incomplete markets Substitute hedging - Derivatives on assets that are difficult to trade are of growing importance. Pricing requires the use of utility theory and proxy assets for...

Henderson, Vicky; Hobson, David - In: Risk : managing risk in the world's financial markets 15 (2002) 5, pp. 71-76

Persistent link: https://www.econbiz.de/10007037018

ROBUST BOUNDS FOR FORWARD START OPTIONS

Hobson, David; Neuberger, Anthony - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10009822580

OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS

Henderson, Vicky; Hobson, David - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 365-383

Persistent link: https://www.econbiz.de/10009014895

When is Recursive Utility Well-Founded?

Herdegen, Martin; Hobson, David; Jerome, Joseph - 2022

In this note we ask when Epstein-Zin-Weil (EZW) recursive utility over the infinite horizon is well-founded. EZW recursive utility has a parameter $\gamma 0$ representing risk aversion and a parameter $\psi 0$ representing intertemporal elasticity of substitution, and is an extension of...

Persistent link: https://www.econbiz.de/10014239646

The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158

Persistent link: https://www.econbiz.de/10013489501

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