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Characterisation of optimal dual measures via distortion
16 references·1 citing·34 second hop
Characterisation of optimal dual measures via distortion (2006)Characterisation of optimal dual measures…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…An example of indifference prices under exponential preferences (2004)An example of indifference pr…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…On the Existence of Minimax Martingale Measures (2002)On the Existence of Minimax M…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …A solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Minimal Martingale Measure (2010)Minimal Martingale MeasureThe Pricing of Options and Corporate Liabilities (1973)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)
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References

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  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 2001

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Minimax and minimal distance martingale measures and their relationship to portfolio optimization
219 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • Cited by

    • 2010Minimal Martingale Measure26 cited