Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models. (English) Zbl 07854558
Reviewer: Lisa Morhaim (Paris)
Found 54 Documents (Results 1–54)
Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation. (English) Zbl 1540.91091
Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (English) Zbl 1508.91516
Forward utility and market adjustments in relative investment-consumption games of many players. (English) Zbl 1498.91385
Optimal double stopping problems for maxima and minima of geometric Brownian motions. (English) Zbl 1490.60097
On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution. (English) Zbl 1507.91205
A deep learning algorithm for optimal investment strategies under Merton’s framework. (English) Zbl 1485.60077
An elementary approach to the Merton problem. (English) Zbl 1522.91222
MSC:
91G10
Optimal consumption and portfolio choice with ambiguous interest rates and volatility. (English) Zbl 1484.91434
Reviewer: Paweł Kliber (Poznan)
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. (English) Zbl 1508.91538
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. (English) Zbl 1454.35388
Many-player games of optimal consumption and investment under relative performance criteria. (English) Zbl 1437.91057
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. (English) Zbl 1444.91207
Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs. (English) Zbl 1430.91083
Reviewer: Yuliya S. Mishura (Kyïv)
Optimal contract for a fund manager with capital injections and endogenous trading constraints. (English) Zbl 1430.91087
Reviewer: Aleksandr D. Borisenko (Kyïv)
Approximation for portfolio optimization in a financial market with shot-noise jumps. (English) Zbl 1417.91478
Model-based pairs trading in the bitcoin markets. (English) Zbl 1402.91715
MSC:
91G10
Derivation of a new Merton’s optimal problem presented by fractional stochastic stock price and its applications. (English) Zbl 1372.91095
Optimal consumption and investment with fixed and proportional transaction costs. (English) Zbl 1372.49031
Reviewer: Alain Brillard (Riedisheim)
A computational method for stochastic optimal control problems in financial mathematics. (English) Zbl 1346.93399
Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. (English) Zbl 1410.91423
On the pricing of perpetual American compound options. (English) Zbl 1418.91513
Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 283-304 (2014).
An approximation scheme for solution to the optimal investment problem in incomplete markets. (English) Zbl 1282.91307
Reviewer: Yuri Kifer (Jerusalem)
Asymptotics and duality for the Davis and Norman problem. (English) Zbl 1276.91093
Reviewer: Yuri Kifer (Jerusalem)
Optimal consumption and investment under time-varying relative risk aversion. (English) Zbl 1209.91153
MSC:
91G10
On the \(\varepsilon\)-sufficient control in a Merton problem with “physical” white noise. (Russian, English) Zbl 1224.91180
Ukr. Mat. Zh. 61, No. 8, 1025-1039 (2009); translation in Ukr. Math. J. 61, No. 8, 1215-1232 (2009).
The price of a lookback option as the solution of a boundary-value problem for the heat equation. (English. Russian original) Zbl 1180.91292
Comput. Math. Model. 20, No. 1, 65-70 (2009); translation from Prikl. Mat. Inf. 28, 66-72 (2008).
Markowitz principles for multi-period portfolio selection problems with moments of any order. (English) Zbl 1132.91459
MSC:
91G10
Risk-sensitive portfolio optimization with full and partial information. (English) Zbl 1068.60086
Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 257-278 (2004).
Reviewer: Pavel Gapeev (Moskva)
Singular stochastic control in optimal investment and hedging in the presence of transaction costs. (English) Zbl 1084.91021
Athreya, Krishna (ed.) et al., Probability, statistics and their applications: Papers in honor of Rabi Bhattacharya. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 0-940600-55-2/pbk). IMS Lect. Notes, Monogr. Ser. 41, 209-228 (2003).
Reviewer: Jitka Dupačová (Praha)
MSC:
91B28
93E20
The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton’s problem. (English) Zbl 1052.93061
Reviewer: Vlasta Kaňková (Praha)
Portfolio optimization in markets having stochastic rates. (English) Zbl 1076.91021
Pasik-Duncan, Bozenna (ed.), Stochastic theory and control. Proceedings of the workshop, Lawrence, KS, USA, October 18–20, 2001. Berlin: Springer (ISBN 3-540-43777-0/pbk). Lect. Notes Control Inf. Sci. 280, 447-458 (2002).
Reviewer: Gong Guanglu (Beijing)
A simple model of liquidity effects. (English) Zbl 1011.91039
Sandmann, Klaus (ed.) et al., Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 161-176 (2002).
Reviewer: Martin Schweizer (München)
MSC:
91B28
A note on portfolio management under non-Gaussian logreturns. (English) Zbl 1152.91483
MSC:
91B28
A note on the call-put parity and a call-put duality. (English. Russian original) Zbl 1003.91028
Theory Probab. Appl. 46, No. 1, 167-170 (2001); translation from Teor. Veroyatn. Primen. 46, No. 1, 181-183 (2001).
Reviewer: A.Grorud (Marseille)
MSC:
91B28
91B70
The relaxed investor and parameter uncertainty. (English) Zbl 0993.91017
Reviewer: A.V.Swishchuk (Kyïv)
MSC:
91B28
91B06
Merton’s partial differential equation and fixed point theory. (English) Zbl 0912.90026
Reviewer: N.Heldermann (Berlin)
MSC:
91Gxx
Dynamic optimization for a mixed portfolio with transaction costs. (English) Zbl 0898.90037
Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 165-180 (1997).
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