Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Stefan Ankirchner, Peter Imkeller (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Displaying similar documents to “Information pricing for portfolio optimization”
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
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Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
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Optimal stopping of a 2-vector risk process
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The following problem in risk theory is considered. An insurance company, endowed with an initial capital a > 0, receives insurance premiums and pays out successive claims from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution...
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
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Londoño, Jaime A. (2004)
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Vesna Čančer (2004)
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Defaultable game options in a hazard process model.
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Journal of Applied Mathematics and Stochastic Analysis
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Implications of parameter uncertainty on option prices.
Lindström, Erik (2010)
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Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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A stochastic model for the financial market with discontinuous prices.
Minkova, Leda D. (1996)
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Discrete analysis of portfolio selection with optimal stopping time.
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On the hedging of American options in discrete time markets with proportional transaction costs.
Bouchard, Bruno, Temam, Emmanuel (2005)
Electronic Journal of Probability [electronic only]
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Continuous time portfolio selection under conditional capital at risk.
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Journal of Probability and Statistics
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