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Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty
8 references·3 citing·28 second hop
Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty (2005)Dynamic Management of Portfolios with Tra…Invariance of stochastic control systems with deterministic arguments (2004)Invariance of stochastic cont…History Path Dependent Optimal Control and Portfolio Valuation and Management (2002)History Path Dependent Optima…Superreplication Under Gamma Constraints (2000)Superreplication Under Gamma …Existence of stochastic control under state constraints (1998)Existence of stochastic contr…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Dynamic Economic Theory (1997)Dynamic Economic TheoryThere is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Liens entre équations différentielles stochastiques et ordinaires (1977)Liens entre équations différe…The Interval Market Model in Mathematical Finance (2012)The Interval Market Model in …Robust Control Approach to Option Pricing, Including Transaction Costs (2007)Robust Control Approach to Op…The Robust Control Approach to Option Pricing and Interval Models: An Overview (2005)The Robust Control Approach t…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Option pricing: A simplified approach (1979)Phenomena in Inverse Stackelberg Games, Part 2: Dynamic Problems (2009)Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Stochastic Optimal Control and Linear Programming Approach (2010)Robust hedging of the lookback option (1998)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Liquidity Risk and Arbitrage Pricing Theory (2010)Stochastic Differential Equations and Applications (1976)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Dynamic programming for stochastic target problems and geometric flows (2002)Stochastic target problems, dynamic programming, and viscosity solutions (2002)Explicit solution to the multivariate super-replication problem under transaction costs (2000)The multi-dimensional super-replication problem under gamma constraints (2005)Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach (1999)Developments in differential game theory and numerical methods: economic and management applications (2006)SATISFICING SOLUTIONS TO A MONETARY POLICY PROBLEM (2009)Discretization and simulation of stochastic differential equations (1985)Stochastic Differential Equations (1992)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)
this work references cited by second hop

References

  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1977Liens entre équations différentielles stochastiques et ordinaires225 cited
  • 1997Dynamic Economic Theory126 cited
  • 2000Superreplication Under Gamma Constraints81 cited
  • 2004Invariance of stochastic control systems with deterministic arguments70 cited
  • 2002History Path Dependent Optimal Control and Portfolio Valuation and Management54 cited
  • 1998Existence of stochastic control under state constraints54 cited

Cited by

  • 2005The Robust Control Approach to Option Pricing and Interval Models: An Overview35 cited
  • 2007Robust Control Approach to Option Pricing, Including Transaction Costs35 cited
  • 2012The Interval Market Model in Mathematical Finance30 cited

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