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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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Stochastische Integration : eine Einführung in die Finanzmathematik
Hoffmann, Michael - 2016 - 1. Auflage
Persistent link: https://www.econbiz.de/10011478507
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Quasi-linear integrability
Nocke, Volker; Schutz, Nicolas - 2016
Persistent link: https://www.econbiz.de/10011502405
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Nonlinear reserving in life insurance : aggregation and mean-field approximation
Djehiche, Boualem; Löfdahl, Björn - In: Insurance / Mathematics & economics 69 (2016), pp. 1-13
Persistent link: https://www.econbiz.de/10011530874
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Optimal investment under relative performance concerns
Espinosa, Gilles.Eduard; Touzi, Nizar - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 221-257
Persistent link: https://www.econbiz.de/10011350661
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An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space
Yoshikawa, Kazuhiro - In: Asia-Pacific financial markets 22 (2015) 2, pp. 185-207
Persistent link: https://www.econbiz.de/10011377529
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Prescribing response strategies to manage customer opinions : a stochastic differential equation approach
Yang, Mingwen; Zheng, Zhiqiang; Mookerjee, Vijay S. - In: Information systems research : ISR 30 (2019) 2, pp. 351-374
Persistent link: https://www.econbiz.de/10012038231