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Numerical Methods for Nonlinear PDEs in Finance
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Numerical Methods for Nonlinear PDEs in Finance (2011)Numerical Methods for Nonlinear PDEs in F…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)GUARANTEED MINIMUM WITHDRAWAL…A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)A numerical scheme for the im…Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Numerical methods for control…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Numerical convergence properties of option pricing PDEs with uncertain volatility (2003)Numerical convergence propert…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Numerical Methods in Finance (1997)Numerical Methods in FinanceConvergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory (1997)Convergence of Numerical Sche…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY (1995)CONVERGENCE OF NUMERICAL SCHE…Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Numerical Methods for Stochas…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)Martingale Methods in Financial Modelling (1997)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)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Robust hedging of the lookback option (1998)A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Variable annuities: A unifying valuation approach (2011)The Fragility of Market Risk Insurance (2022)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Rollover Risk and Credit Risk (2012)PORTFOLIO SELECTION* (1952)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A Maximum Principle for SDEs of Mean-Field Type (2010)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Portfolio management with heuristic optimization (2005)A forward scheme for backward SDEs (2007)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Heavy traffic resource pooling in parallel‐server systems (1999)Investment Shocks and Asset Prices (2011)
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132 cited
  • 2008A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)108 cited
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