Mathematical Finance
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Published By Birkhäuser Basel

9783034895064, 9783034882910

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Quantile hedging for a jump-diffusion finanaicl market model

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_20 ◽

2001 ◽

pp. 215-229 ◽

Cited By ~ 3

Author(s):

R. N. Krutchenko ◽

A. V. Melnikov

Keyword(s):

Jump Diffusion ◽

Market Model ◽

Quantile Hedging

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A Quadratic Approach To Interest Rates Models In Incomplete Markets

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_8 ◽

2001 ◽

pp. 89-98 ◽

Cited By ~ 2

Author(s):

Francesca Biagini

Keyword(s):

Interest Rates ◽

Incomplete Markets

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Stochastic Volatility and Epsilon-Martingale Decomposition

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_14 ◽

2001 ◽

pp. 152-161 ◽

Cited By ~ 3

Author(s):

Jean-Pierre Fouque ◽

George Papanicolaou ◽

Ronnie Sircar

Keyword(s):

Stochastic Volatility

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Continuous Time CAPM, Price for Risk and Utility Maximization

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_23 ◽

2001 ◽

pp. 250-260 ◽

Cited By ~ 5

Author(s):

Johannes Leitner

Keyword(s):

Continuous Time ◽

Utility Maximization

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LQ control and mean-variance portfolio selec-tions: The stochastic parameter case

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_24 ◽

2001 ◽

pp. 261-270

Author(s):

Andrew E. B. Lim ◽

Xun Yu Zhou

Keyword(s):

Stochastic Parameter ◽

Mean Variance Portfolio ◽

Parameter Case ◽

Mean Variance ◽

Lq Control

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First Steps to Stochastic Finance

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_16 ◽

2001 ◽

pp. 168-170

Author(s):

Hans-Joachim Girlichl

Keyword(s):

Stochastic Finance

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On the existence of optimal controls for a singular stochastic control problem in finance

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_7 ◽

2001 ◽

pp. 79-88 ◽

Cited By ~ 1

Author(s):

Fred E. Benth ◽

Kenneth H. Karlsen ◽

Kristin Reikvam

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Controls ◽

Singular Stochastic Control ◽

Existence Of Optimal Controls ◽

Stochastic Control Problem

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Bounded Variation Singular Stochastic Control and Associated Dynkin Game

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_10 ◽

2001 ◽

pp. 111-120 ◽

Cited By ~ 2

Author(s):

Frederik Boetius

Keyword(s):

Stochastic Control ◽

Bounded Variation ◽

Singular Stochastic Control ◽

Dynkin Game

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A Minimal Financial Market Model

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_27 ◽

2001 ◽

pp. 293-301 ◽

Cited By ~ 33

Author(s):

Eckhard Platen

Keyword(s):

Financial Market ◽

Market Model

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Reversible Real Options

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_32 ◽

2001 ◽

pp. 339-344

Author(s):

Mark Shackleton ◽

Rafał Wojakowski

Keyword(s):

Real Options

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