Zobrazeno 1 - 10
of 283
pro vyhledávání: '"Schweizer, Martin"'
Autor:
Choulli, Tahir, Schweizer, Martin
The classic stochastic Fubini theorem says that if one stochastically integrates with respect to a semimartingale $S$ an $\eta(dz)$-mixture of $z$-parametrized integrands $\psi^z$, the result is just the $\eta(dz)$-mixture of the individual $z$-param
Externí odkaz:
http://arxiv.org/abs/2403.13791
Autor:
Schweizer, Martin.
Publikováno v:
kostenfrei.
München, Techn. Universiẗat, Diss., 2008.
Externí odkaz:
http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:91-diss-20080620-654105-1-7
http://mediatum2.ub.tum.de/doc/654105/654105.pdf
http://mediatum2.ub.tum.de/doc/654105/654105.pdf
Publikováno v:
Annals of Applied Probability 2012, Vol. 22, No. 6, 2388-2428
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterize its three coe
Externí odkaz:
http://arxiv.org/abs/1211.6820
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone constraints:
Externí odkaz:
http://arxiv.org/abs/1206.0243
Autor:
Mania, Michael, Schweizer, Martin
Publikováno v:
Annals of Applied Probability 2005, Vol. 15, No. 3, 2113-2143
We study the dynamics of the exponential utility indifference value process C(B;\alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;\alpha) is (the first component of) the unique solution
Externí odkaz:
http://arxiv.org/abs/math/0508489
Autor:
Becherer, Dirk, Schweizer, Martin
Publikováno v:
Annals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144
We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling framework for a financial market with interacting Ito and point processes, such PDEs are shown to
Externí odkaz:
http://arxiv.org/abs/math/0505208
Autor:
Utzinger, Maximilian, Jarzebinska, Anita, Haag, Nicolas, Schweizer, Martin, Winter, Gerhard, Dohmen, Christian, Rudolph, Carsten, Plank, Christian
Publikováno v:
In Journal of Controlled Release 10 March 2017 249:143-149
Autor:
Heath, David, Schweizer, Martin
Publikováno v:
Journal of Applied Probability, 2000 Dec 01. 37(4), 947-957.
Externí odkaz:
https://www.jstor.org/stable/3215486
Publikováno v:
Mathematics of Operations Research, 1998 Aug 01. 23(3), 585-612.
Externí odkaz:
https://www.jstor.org/stable/3690560
Publikováno v:
The Annals of Probability, 1997 Oct 01. 25(4), 1810-1831.
Externí odkaz:
https://www.jstor.org/stable/2959516