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Minimizing the probability of lifetime ruin under borrowing constraints
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 196-221
Persistent link: https://www.econbiz.de/10003755696
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Hedging life insurance with pure endowments
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 435-444
Persistent link: https://www.econbiz.de/10003755766
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Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 5 (2008) 4, pp. 204-212
Persistent link: https://www.econbiz.de/10003786342
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Correspondence between lifetime minimum wealth and utility of consumption
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 11 (2007) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10003439759
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Projecting the forward rate flow onto a finite dimensional manifold
Bayraktar, Erhan; Chen, Li; Poor, H. Vincent - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 777-785
Persistent link: https://www.econbiz.de/10003379033
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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10003909291
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No arbitrage conditions for simple trading strategies
Bayraktar, Erhan; Sayit, Hasanjan - In: Annals of finance 6 (2010) 1, pp. 147-156
Persistent link: https://www.econbiz.de/10003939576
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On the one-dimensional optimal switching problem
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 35 (2010) 1, pp. 140-159
Persistent link: https://www.econbiz.de/10003953652
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A unified treatment of dividend payment problems under fixed cost and implementation delays
Bayraktar, Erhan; Egami, Masahiko - In: Mathematical methods of operations research 71 (2010) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10003958362
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Queuing theoretic approaches to financial price fluctuations
Bayraktar, Erhan; Horst, Ulrich; Sircar, Kaushik Ronnie - In: Financial engineering, (pp. 637-677). 2008
Persistent link: https://www.econbiz.de/10003567765