EDP Sciences logo
Subscriber Authentication Point
Search
Menu
All issues Volume 11 (February 2007) ESAIM: PS, 11 (2007) 197-216 References
Free Access
Issue
ESAIM: PS
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
Page(s) 197 - 216
DOI https://doi.org/10.1051/ps:2007015
Published online 19 June 2007
  1. D. Becherer, Rational Hedging and Valuation with Utility-Based Preference. PhD Thesis, Berlin University (2001). [Google Scholar]
  2. D. Becherer, Rational Hedging and Valuation of Integrated Risks under Constant Absolute Risk Aversion, Insurance: Math. Econ. 33 (2003) 1–28. [Google Scholar]
  3. J. Cvitanic, W. Schachermayer and H. Wang, Utility Maximization in Incomplete Market with Random Endowment, in Proceedings of Symposia in Applied Mathematics (1999). [Google Scholar]
  4. M. Davis, Optimal Hedging with Basis Risk, preprint (2000). [Google Scholar]
  5. M. Davis, Option Valuation and Hedging with Basis Risk, in System Theory: Modeling, Analysis and Control, T.E. Djaferis and I.C. Schick Eds., Kluwer, Amsterdam (1999). [Google Scholar]
  6. F. Delbaen and W. Schachermayer, Arbitrage and Free Lunch with Bounded Risk for Unbounded Continuous Processes, Mathematical Finance 4 (1994) 343–348. [Google Scholar]
  7. F. Delbaen, P. Grandits, T. Rheinlander, D. Samperi, M. Schweizer and C. Stricker, Exponential Hedging and Entropic Penalties. Mathematical Finance 12 (2002) 99–123. [CrossRef] [MathSciNet] [Google Scholar]
  8. N. El Karoui and R. Rouge, Pricing via Utility Maximization and Entropy, Mathematical Finance 10 (2000) 259–276. [Google Scholar]
  9. W.H. Fleming and R.W. Rishel, Deterministic and Stochastic Optimal Control. Springer Verlag, New York (1975). [Google Scholar]
  10. V. Henderson, Valuation of Claims of Non Traded Assets using Utility Maximization, Mathematical Finance 12 (2002) 351–373. [Google Scholar]
  11. Y.M. Kabanov and C. Stricker, On the Optimal Portfolio for the Exponential Utility Maximization: Remarks to the Six-Author Paper, Mathematical Finance 12 (2002) 125–134. [Google Scholar]
  12. I. Karatzas and S.E. Shreve, Methods of Mathematical Finance. Springer Verlag, New York (1998). [Google Scholar]
  13. I. Karatzas and S.E. Shreve, Brownian Motion and Stochastic Calculus. Springer Verlag (1991). [Google Scholar]
  14. M. Kobylanski, Backward Stochastic Differential Equations and Partial Differential Equations with Quadratic Growth, The Annals of Probability 2 (2000) 558–602. [Google Scholar]
  15. D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer Verlag (1991). [Google Scholar]
  16. W. Schachermayer, Optimal Investment in an Incomplete Market, in H. Geman et al. Eds. Mathematical Finance Bachelier Congress (2000), Berlin Heidelberg New York, Springer (2002). [Google Scholar]
  17. M. Yor. Sous-Espaces Denses dans L1 ou H1, in Séminaire de Probabilités XII, Springer Verlag (1978) 265–309. [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.