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Found 41 Documents (Results 1–41)

Optimal portfolio management with consumption. (English) Zbl 1101.91032

Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 81-91 (2004).
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Optimal investment in incomplete financial markets with stochastic volatility. (English) Zbl 1045.60085

González-Barrios, José M. (ed.) et al., Stochastic models. Seventh symposium on probability and stochastic processes, June 23–28, 2002, Mexico City, Mexico. Selected papers. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3466-5/pbk). Contemp. Math. 336, 119-136 (2003).
MSC:  60J70 91B28 93E20
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Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. (English) Zbl 0965.91020

Graduate Studies in Mathematics. 31. Providence, RI: American Mathematical Society (AMS). xiv, 253 p. (2001).
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