SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
16 references·3 citing·30 second hop
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2011)Jump-Diffusion Risk-Sensitive Asset Manag…No Arbitrage and General Semimartingales (2008)No Arbitrage and General Semi…Stochastic Differential Equations (2006)Stochastic Differential Equat…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Equivalent and Absolutely Con…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Stochastic Differential Equations (2003)Stochastic Differential Equat…Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002)Risk-Sinsitive Dynamic Portfo…Risk-sensitive control and an optimal investment model II (2002)Risk-sensitive control and an…Risk‐Sensitive Control and an Optimal Investment Model (2000)Risk‐Sensitive Control and an…Risk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset …Optimal long term growth rate of expected utility of wealth (1999)Optimal long term growth rate…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesCapital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Risk‐sensitive benchmarked asset management with expert forecasts (2021)Risk‐sensitive benchmarked as…Risk-sensitive control for a class of nonlinear systems with multiplicative noise (2013)Risk-sensitive control for a …Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (2012)Maximum Principle for Risk-Se…The Pricing of Options and Corporate Liabilities (1973)Backward Stochastic Differential Equations in Finance (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Option Pricing With Markov-Modulated Dynamics (2006)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 2000Risk‐Sensitive Control and an Optimal Investment Model163 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon115 cited
  • 2002Risk-sensitive control and an optimal investment model II112 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes97 cited
  • 2008

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

No Arbitrage and General Semimartingales
96 cited

Cited by

  • 2013Risk-sensitive control for a class of nonlinear systems with multiplicative noise26 cited
  • 2021Risk‐sensitive benchmarked asset management with expert forecasts25 cited
  • 2012Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance25 cited