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LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING
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LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING (2008)LIQUIDATION OF A LARGE BLOCK OF STOCK WIT…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Stochastic Differential Equations (2003)Stochastic Differential Equat…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach (2002)Recursive Algorithms for Stoc…Option pricing under regime switching (2002)Option pricing under regime s…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Stock Trading: An Optimal Selling Rule (2001)Stock Trading: An Optimal Sel…Information and option pricings (2001)Information and option pricin…An explicit solution to an optimal stopping problem with regime switching (2001)An explicit solution to an op…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…Valuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Stochastic Differential Equations (1998)Stochastic Differential Equat…The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs (1996)The Optimal Trading and Prici…Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mean-Variance Hedging of Opti…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Capital Market Equilibrium with Personal Tax (1983)Capital Market Equilibrium wi…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Efficient Analytic Approximation of American Option Values (1987)Mathematics of Financial Markets (1999)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Option pricing and Esscher transform under regime switching (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Stochastic Controls (1999)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Strategic Asset Allocation (2002)Asset pricing with liquidity risk (2005)Methods of Mathematical Finance (1998)Derivatives in Financial Markets with Stochastic Volatility (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Option pricing: A simplified approach (1979)Continuous Auctions and Insider Trading (1985)The Skorokhod embedding problem and its offspring (2004)Generalized autoregressive conditional heteroskedasticity (1986)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Online portfolio selection (2014)Modelling of extremal events in insurance and finance (1994)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)A Brief History of Generative Models for Power Law and Lognormal Distributions (2004)On modelling and pricing weather derivatives (2002)Multiscale Stochastic Volatility Asymptotics (2003)Saving and investing for early retirement: A theoretical analysis☆ (2006)
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  • 2003Stochastic Differential Equations3,081 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
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  • 2001Stock Trading: An Optimal Selling Rule297 cited
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  • 2002Option pricing under regime switching122 cited
  • 2002

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Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
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