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THE MINIMAL κ-ENTROPY MARTINGALE MEASURE
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THE MINIMAL κ-ENTROPY MARTINGALE MEASURE (2012)THE MINIMAL κ-ENTROPY MARTINGALE MEASUREMinimal fq-martingale measures for exponential Lévy processes (2007)Minimal fq-martingale measure…AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)AN OLD‐NEW CONCEPT OF CONVEX …On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper (2002)On the optimal portfolio for …On the minimal entropy martingale measure (2002)On the minimal entropy martin…On the Existence of Minimax Martingale Measures (2002)On the Existence of Minimax M…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Introduction to a theory of value coherent with the no-arbitrage principle (2000)Introduction to a theory of v…The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure (1999)The p-Optimal Martingale Meas…A Simple Counterexample to Several Problems in the Theory of Asset Pricing (1998)A Simple Counterexample to Se…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Arbitrage et lois de martingale (1990)Arbitrage et lois de martinga…Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals (1987)Penalty Functions and Duality…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Calcul Stochastique et Problèmes de Martingales (1979)Continuous Martingales and Brownian Motion (1999)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)A Mathematical Theory of Financial Bubbles (2013)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Generalized quantiles as risk measures (2013)Theory of games and economic behavior (2019)Martingales and arbitrage in multiperiod securities markets (1979)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)Brownian Motion and Stochastic Calculus (2007)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Optimal Investment in Incomplete Financial Markets (2002)Pricing and Hedging Volatility Derivatives (2008)Hyperbolic Distributions in Finance (1995)Processes of normal inverse Gaussian type (1997)Non-parametric calibration of jump–diffusion option pricing models (2004)PORTFOLIO CHOICE VIA QUANTILES (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)A general version of the fundamental theorem of asset pricing (1994)The Theory of Good-Deal Pricing in Financial Markets (2002)The minimal entropy martingale measures for geometric L�vy processes (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Optimal replication of contingent claims under transaction costs (1989)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The cumulant process and Esscher's change of measure (2002)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)The Pricing of Options and Corporate Liabilities (1973)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Option pricing and Esscher transform under regime switching (2005)Option hedging for semimartingales (1991)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)
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References

  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2007AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT351 cited
  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • 2002On the minimal entropy martingale measure123 cited
  • 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper123 cited
  • 1990Arbitrage et lois de martingale116 cited
  • 2000Introduction to a theory of value coherent with the no-arbitrage principle98 cited
  • 1998A Simple Counterexample to Several Problems in the Theory of Asset Pricing87 cited
  • 1987Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals69 cited
  • 2007Minimal fq-martingale measures for exponential Lévy processes

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66 cited
  • 1999The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure40 cited
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