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RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS
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RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (2009)RISK INDIFFERENCE PRICING IN JUMP DIFFUSI…Representation of Martingales with Jumps and Applications to Mathematical Finance (2019)Representation of Martingales…Weak Dynamic Programming Principle for Viscosity Solutions (2011)Weak Dynamic Programming Prin…Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Risk minimizing portfolios an…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…Risk measure pricing and hedging in incomplete markets (2005)Risk measure pricing and hedg…Optimal derivatives design under dynamic risk measures (2004)Optimal derivatives design un…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…An example of indifference prices under exponential preferences (2004)An example of indifference pr…Putting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Coherent Measures of Risk (1999)Coherent Measures of RiskOptional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework (2012)On Zero-Sum Stochastic Differ…Cores of convex games (1971)Modelling Extremal Events (1997)On law invariant coherent risk measures (2001)Generalized deviations in risk analysis (2005)An Overview of Value at Risk (1997)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Robustness and sensitivity analysis of risk measurement procedures (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)A general version of the fundamental theorem of asset pricing (1994)Robust hedging of the lookback option (1998)Efficient hedging: Cost versus shortfall risk (2000)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Stochastic Integration and Differential Equations (2005)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Stochastic controls : Hamiltonian systems and HJB equations (1999)Applied Stochastic Control of Jump Diffusions (2005)Controlled Markov Processes and Viscosity Solutions (2005)Stochastic Partial Differential Equations and Portfolio Choice (2010)Optimal Control of Trading Algorithms: A General Impulse Control Approach (2011)Optimal transportation under controlled stochastic dynamics (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Dynamic exponential utility indifference valuation (2005)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)Exponential Hedging and Entropic Penalties (2002)Optimal high-frequency trading with limit and market orders (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2002Putting order in risk measures684 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2011Weak Dynamic Programming Principle for Viscosity Solutions190 cited
  • 2008Risk minimizing portfolios and HJBI equations for stochastic differential games165 cited
  • 2004Optimal derivatives design under dynamic risk measures109 cited
  • 2005Risk measure pricing and hedging in incomplete markets91 cited
  • 2019Representation of Martingales with Jumps and Applications to Mathematical Finance41 cited

Cited by

  • 2012On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework

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27 cited