Hanqing Jin; Zuo Quan Xu; Xun Yu Zhou
Hanqing Jin; Zuo Quan Xu; Xun Yu Zhou
Xinfu Chen; John Chadam; Lishang Jiang; Weian Zheng
Xinfu Chen; John Chadam; Lishang Jiang; Weian Zheng
OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION [0.03%]
Mark Schroder; Costis Skiadas
Mark Schroder; Costis Skiadas
René Carmona; Nizar Touzi
René Carmona; Nizar Touzi
E. Jouini; W. Schachermayer; N. Touzi
E. Jouini; W. Schachermayer; N. Touzi
Knut K. Aase
Knut K. Aase
Aleš Černý; Jan Kallsen
Aleš Černý; Jan Kallsen
OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM-RISK-OPTIMAL MARTINGALE MEASURES [0.03%]
Johannes Leitner
Johannes Leitner
Damir Filipović
Damir Filipović
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH [0.03%]
Liming Feng; Vadim Linetsky
Liming Feng; Vadim Linetsky