We consider a stochastic differential game in a financial jump diffusion market, where the agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market chooses a scenario (represented by a probability measure) which minimizes this maximal utility. We show that the optimal strategy for the market is to choose an equivalent martingale measure
In this paper, we consider a game theoretic approach to option valuation under Markovian regime-swit...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
We consider a very general diffusion model for asset prices which allows the description of stochast...
In this paper we study the expected utility maximization problem for discrete-time incomplete financ...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
In this paper we consider the problem to find a market portfolio that minimizes the convex risk meas...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jum...
When the price processes of the financial assets are described by possibly unbounded semimartingales...
Expanding the ideas of the author's paper “Nonexpansive maps and option pricing theory” [Kibernetica...
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbi...
In this paper we analyse a pure jump incomplete market where the risky assets can jump upwards or do...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
Our aim in this paper is to find a market portfolio and equivalent martingale measure (EMM) that min...
We study a class of robust, or worst case scenario, optimal control problems for jump diffusions. Th...
In this paper, we consider a game theoretic approach to option valuation under Markovian regime-swit...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
We consider a very general diffusion model for asset prices which allows the description of stochast...
In this paper we study the expected utility maximization problem for discrete-time incomplete financ...
Abstract: "Optimal fictitious completions of an incomplete financial market are shown to be associat...
In this paper we consider the problem to find a market portfolio that minimizes the convex risk meas...
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims...
We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jum...
When the price processes of the financial assets are described by possibly unbounded semimartingales...
Expanding the ideas of the author's paper “Nonexpansive maps and option pricing theory” [Kibernetica...
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbi...
In this paper we analyse a pure jump incomplete market where the risky assets can jump upwards or do...
We study a zero-sum stochastic differential game with multiple modes. The state of the system is gov...
Our aim in this paper is to find a market portfolio and equivalent martingale measure (EMM) that min...
We study a class of robust, or worst case scenario, optimal control problems for jump diffusions. Th...
In this paper, we consider a game theoretic approach to option valuation under Markovian regime-swit...
This thesis deals with two optimization problems of rational investors, who want to maximize their e...
We consider a very general diffusion model for asset prices which allows the description of stochast...