Results 11 to 20 of about 42 (42)
Pricing under dynamic risk measures
Open Mathematics, 2019 In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow.
Zhao Jun +2 more
doaj +1 more source
The strong Fatou property of risk measures
Dependence Modeling, 2018 In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property,whichwas introduced in [19], seems to be most suitable to ensure nice dual representations of risk measures.
Chen Shengzhong +2 more
doaj +1 more source
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *
, 2018 International audienceThis paper studies a robust continuous-time Markowitz portfolio selection pro\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets.
Amine Ismail +3 more
core +1 more source
Optimal investment under stochastic volatility and power type utility function [PDF]
, 2011 2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter.
Benchaabane, Abbes, Benchettah, Azzedine
core
, 2020 For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied welfare ...
core
Ingeniería y Ciencia, 2010 En este trabajo se propone una recombinación en árboles binomiales multiplicativageneralizada para la ecuación autónoma, en términos de la condición inicial y del producto entre saltos no constantes hacia arriba y hacia abajo delproceso discretizado.
Freddy Marín-Sánchez
doaj
Boundary-Value Problems for PDEs Arising in the Valuation of Structured Financial Products
, 2016 We explicitly solve some mixed initial/boundary value problems for generalized Black-Scholes PDEs with financially relevant boundary conditions. As an illustration, new pricing formulas are obtained for convertible and reverse convertible bonds under ...
Agliardi, Rossella
core
A financial market with singular drift and no arbitrage. [PDF]
Math Financ Econ, 2021 Agram N, Øksendal B.
europepmc +1 more source
Informational efficiency and welfare. [PDF]
Math Financ Econ, 2022 Bernardinelli L +2 more
europepmc +1 more source
Theoretical and empirical analysis of trading activity. [PDF]
Math Program, 2020 Pohl M +3 more
europepmc +1 more source