-
1
-
-
0000024283
-
Utility maximization in incomplete markets with random endowment
-
Cvitanić J. Schachermayer W. Wang H. Utility maximization in incomplete markets with random endowment Finance Stochast. 5 2001 237-259
-
(2001)
Finance Stochast.
, vol.5
, pp. 237-259
-
-
Cvitanić, J.1
Schachermayer, W.2
Wang, H.3
-
2
-
-
0040259926
-
Wiener functionals as Ito integrals
-
Dudley R.M. Wiener functionals as Ito integrals Ann. Probab. 5 1977 140-141
-
(1977)
Ann. Probab.
, vol.5
, pp. 140-141
-
-
Dudley, R.M.1
-
3
-
-
0001864064
-
Hedging of contingent claims under incomplete information
-
M. Davis, & R. Elliott (Eds.), London: Gordon and Breach
-
Föllmer H. Schweizer M. Hedging of contingent claims under incomplete information in: Davis M. Elliott R. eds. Applied Stochastic Analysis 1991 Gordon and Breach London
-
(1991)
Applied Stochastic Analysis
-
-
Föllmer, H.1
Schweizer, M.2
-
4
-
-
0003580301
-
Derivatives in Financial Markets With Stochastic Volatility
-
Cambridge: Cambridge University Press
-
Fouque J-P. Papanicolaou G. Sircar R. Derivatives in Financial Markets With Stochastic Volatility 2000 Cambridge University Press Cambridge
-
(2000)
-
-
Fouque, J.-P.1
Papanicolaou, G.2
Sircar, R.3
-
5
-
-
4644270414
-
Explicit solutions to an optimal portfolio choice problem with stochastic income
-
preprint
-
V. Henderson, Explicit solutions to an optimal portfolio choice problem with stochastic income, preprint, 2003
-
(2003)
-
-
Henderson, V.1
-
6
-
-
3142551772
-
Substitute hedging
-
Henderson V. Hobson D. Substitute hedging Risk Mag. 15 5 2002 71-75
-
(2002)
Risk Mag.
, vol.15
, Issue.5
, pp. 71-75
-
-
Henderson, V.1
Hobson, D.2
-
7
-
-
4644284003
-
Stochastic volatility models, correlation and the q-optimal measure
-
to appear
-
D. Hobson, Stochastic volatility models, correlation and the q-optimal measure, Math. Finance (2004), to appear
-
(2004)
Math. Finance
-
-
Hobson, D.1
-
9
-
-
0346332487
-
Optimal consumptions from investment and random endowment in incomplete semimartingale markets
-
Karatzas I. Zitkovic G. Optimal consumptions from investment and random endowment in incomplete semimartingale markets Ann. Probab. 31 4 2003 1821-1858
-
(2003)
Ann. Probab.
, vol.31
, Issue.4
, pp. 1821-1858
-
-
Karatzas, I.1
Zitkovic, G.2
-
10
-
-
0000314740
-
Lifetime portfolio selection under uncertainty: The continuous-time case
-
Merton R. Lifetime portfolio selection under uncertainty: the continuous-time case Rev. Econom. Statist. 51 1969 247-257
-
(1969)
Rev. Econom. Statist.
, vol.51
, pp. 247-257
-
-
Merton, R.1
-
11
-
-
21144437999
-
An example of indifference prices under exponential preferences
-
Musiela M. Zariphopoulou T. An example of indifference prices under exponential preferences Finance Stochast. 8 2004 399-414
-
(2004)
Finance Stochast.
, vol.8
, pp. 399-414
-
-
Musiela, M.1
Zariphopoulou, T.2
-
12
-
-
4644347794
-
Bounds and asymptotic approximations for utility prices when volatility is random
-
in press
-
R. Sircar, T. Zariphopoulou, Bounds and asymptotic approximations for utility prices when volatility is random, SIAM J. Control Optimization, in press
-
SIAM J. Control Optimization
-
-
Sircar, R.1
Zariphopoulou, T.2
-
13
-
-
0010590593
-
Optimal investment and consumption models with non-linear stock dynamics
-
Zariphopoulou T. Optimal investment and consumption models with non-linear stock dynamics Math. Methods Oper. Res. 50 1994 271-296
-
(1994)
Math. Methods Oper. Res.
, vol.50
, pp. 271-296
-
-
Zariphopoulou, T.1
-
14
-
-
0010592742
-
A solution approach to valuation with unhedgeable risks
-
Zariphopoulou T. A solution approach to valuation with unhedgeable risks Finance Stochast. 5 2001 61-82
-
(2001)
Finance Stochast.
, vol.5
, pp. 61-82
-
-
Zariphopoulou, T.1
|