SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing Via Utility Maximization and Entropy
0 references·16 citing·42 second hopsampled
Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximization and Entr…OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2013)OPTIMAL INVESTMENT UNDER RELA…Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2008)Quadratic BSDEs driven by a c…DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)DYNAMIC INDIFFERENCE VALUATIO…MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)MODEL UNCERTAINTY AND ITS IMP…Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Monetary Risk Measure…Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Bounded solutions to backward…Utility maximization in incomplete markets (2005)Utility maximization in incom…Inf-convolution of risk measures and optimal risk transfer (2005)Inf-convolution of risk measu…Dynamic exponential utility indifference valuation (2005)Dynamic exponential utility i…Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…An example of indifference prices under exponential preferences (2004)An example of indifference pr…The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…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…Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Limit Theorems for Stochastic Processes (2003)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Stochastic Finance: An Introduction in Discrete Time (2002)OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)Adapted solution of a backward stochastic differential equation (1990)BSDE with quadratic growth and unbounded terminal value (2006)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimal replication of contingent claims under transaction costs (1989)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The cumulant process and Esscher's change of measure (2002)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Solvability of backward stochastic differential equations with quadratic growth (2007)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Convex risk measures and the dynamics of their penalty functions (2006)DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)Option pricing when underlying stock returns are discontinuous (1976)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Financial Modelling with Jump Processes (2003)Integro-differential equations for option prices in exponential Lévy models (2005)Oil price dynamics (2002–2006) (2008)Robust risk measurement and model risk (2013)Risk, Uncertainty and Profit (1921)Testing Structural Equation Models. (1994)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Ambiguous volatility, possibility and utility in continuous time (2013)Model risk of risk models (2016)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)Brownian Motion and Stochastic Calculus (2007)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2005Utility maximization in incomplete markets425 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS338 cited
  • 2005Inf-convolution of risk measures and optimal risk transfer295 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2004Non-parametric calibration of jump–diffusion option pricing models212 cited
  • 2006Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging193 cited
  • 2005Dynamic exponential utility indifference valuation192 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • 2003The minimal entropy martingale measures for geometric L�vy processes172 cited
  • 2007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES168 cited
  • 2013OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS156 cited
  • 2010

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Paris-Princeton Lectures on Mathematical Finance 2010
149 cited
  • 2008Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem149 cited