Search
Search Constraints
You searched for: Date 2018 Journal Mathematical financeLimit your search
- 332 34
- Business mathematics -- Periodicals 34
- American option -- dynamic programming principle -- Kantorovich duality -- martingale optimal transport -- measure valued martingale -- nondominated model -- randomized stopping times -- superreplication -- weak formulation -- Primary: 60G40 -- 60G05 -- Secondary: 49M29 1
- Arrow–Debreu equilibrium -- comonotone Pareto optimum -- price equilibrium with transfers -- probability weighting -- rank‐dependent utility -- state‐price density -- G11 1
- Diffusions on the unit simplex -- ergodic Markov process -- functionally generated portfolios -- long‐only portfolios -- log‐optimal portfolio -- stochastic portfolio theory -- universal portfolio 1
- Merton problem -- proportional transaction costs -- no transaction region -- well‐posedness -- leverage 1
- acceptance set -- aggregation -- systemic risk -- risk measures 1
- affine processes -- forward rate agreement -- Libor rate -- multiple yield curves -- multiplicative spread -- E43 -- G12 1
- algorithmic trading -- co‐integration -- co‐movements -- cross‐price impact -- optimal execution -- price impact 1
- algorithmic trading -- latent alpha -- machine learning -- partial information -- statistical arbitrage -- stochastic control -- G11 -- C61 -- C40 1