Problems of Mathematical Finance by Stochastic Control Methods

[1]  B. Øksendal,et al.  Applied Stochastic Control of Jump Diffusions , 2004, Universitext.

[2]  Lukasz Stettner,et al.  Maximization of the portfolio growth rate under fixed and proportional transaction costs , 2007, Commun. Inf. Syst..

[3]  L. Rogers,et al.  MODELING LIQUIDITY EFFECTS IN DISCRETE TIME , 2007 .

[4]  Walter Schachermayer,et al.  A super-replication theorem in Kabanov’s model of transaction costs , 2006, Finance Stochastics.

[5]  D. Heath,et al.  A Benchmark Approach to Quantitative Finance , 2006 .

[6]  Eckhard Platen,et al.  On the Distributional Characterization of Daily Log‐Returns of a World Stock Index , 2006 .

[7]  B. Bouchard.  No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure , 2005, Finance Stochastics.

[8]  Yuri Kabanov,et al.  From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift , 2006 .

[9]  L. Stettner,et al.  Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization , 2006 .

[10]  E. Platen,et al.  On the Distributional Characterization of Log-returns of a World Stock Index , 2005 .

[11]  Eckhard Platen,et al.  A BENCHMARK APPROACH TO FINANCE , 2006 .

[12]  B. Øksendal,et al.  Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance , 2004 .

[13]  T. Bielecki,et al.  Credit Risk: Modeling, Valuation And Hedging , 2004 .

[14]  Philip Protter,et al.  Noname manuscript No. (will be inserted by the editor) Liquidity Risk and Arbitrage Pricing Theory , 2003 .

[15]  Emiliano A. Valdez,et al.  Tail Conditional Expectations for Elliptical Distributions , 2003 .

[16]  Miklós Rásonyi,et al.  On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property , 2003, Finance Stochastics.

[17]  Huyên Pham,et al.  A large deviations approach to optimal long term investment , 2003, Finance Stochastics.

[18]  Hideo Nagai,et al.  Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models , 2002, SIAM J. Control. Optim..

[19]  L. Stettner.  Duality and Risk Sensitive Portfolio Optimization , 2003 .

[20]  H. Föllmer,et al.  Stochastic Finance: An Introduction in Discrete Time , 2002 .

[21]  L. Stettner.  Discrete Time Markets with Transaction Costs , 2001 .

[22]  M. Kociński.  HEDGING IN THE CRR MODEL UNDER CONCAVE TRANSACTION COSTS , 2001 .

[23]  Yuri Kabanov,et al.  A teacher's note on no-arbitrage criteria , 2001 .

[24]  D. Heath,et al.  Introduction to Mathematical Finance , 2000 .

[25]  Jordan Stoyanov,et al.  ESSENTIALS OF STOCHASTIC FINANCE , 2000 .

[26]  Lukasz Stettner,et al.  Risk sensitive portfolio optimization , 1999, Math. Methods Oper. Res..

[27]  S. Pliska,et al.  Risk-Sensitive Dynamic Asset Management , 1999 .

[28]  A. Shiryaev.  Essentials of stochastic finance , 1999 .

[29]  A. Shiryaev.  Essentials of stochastic finance , 1999 .

[30]  Walter Willinger,et al.  Stock market prices and long-range dependence , 1999, Finance Stochastics.

[31]  Hans Föllmer,et al.  Quantile hedging , 1999, Finance Stochastics.

[32]  Hans Föllmer,et al.  Optional decomposition and Lagrange multipliers , 1997, Finance Stochastics.

[33]  S. Peng,et al.  Backward Stochastic Differential Equations in Finance , 1997 .

[34]  Ioannis Karatzas,et al.  Lectures on the Mathematics of Finance , 1996 .

[35]  Yu. M. Kabanov,et al.  No-Arbitrage and Equivalent Martingale Measures: An Elementary Proof of the Harrison–Pliska Theorem , 1995 .

[36]  F. Delbaen,et al.  A general version of the fundamental theorem of asset pricing , 1994 .

[37]  W. Fleming,et al.  Controlled Markov processes and viscosity solutions , 1992 .

[38]  Robert B. Litterman,et al.  Global Portfolio Optimization , 1992 .

[39]  Robert C. Dalang,et al.  Equivalent martingale measures and no-arbitrage in stochastic securities market models , 1990 .

[40]  P. Protter.  Stochastic integration and differential equations , 1990 .

[41]  S. Ross,et al.  Option pricing: A simplified approach☆ , 1979 .

[42]  F. Black,et al.  The Valuation of Option Contracts and a Test of Market Efficiency , 1972 .

[43]  A. Stuart,et al.  Portfolio Selection: Efficient Diversification of Investments , 1959 .

[44]  John L. Kelly,et al.  A new interpretation of information rate , 1956, IRE Trans. Inf. Theory.