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Publication : stochastic models

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Academic Journal

Optimal hedging through limit orders

Authors : AGLIARDI, ROSSELLA

Subjects: 0502 economics and business; 05 social sciences; 0101 mathematics

Source: Stochastic Models. 32:593-605

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Academic Journal

Asset-liability management with state-dependent utility in the regime-switching market.

Authors : Li, Xiufang¹ (AUTHOR); Zhao, Dongxu¹ (AUTHOR); Chen, Xiaowei¹ (AUTHOR)

Source: Stochastic Models. 2023, Vol. 39 Issue 3, p566-591. 26p.

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Academic Journal

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model.

Authors : Chen, Xiaowei¹ (AUTHOR); Huang, Fuzhe¹ (AUTHOR); Li, Xiufang¹ (AUTHOR)

Source: Stochastic Models. 2022, Vol. 38 Issue 2, p167-189. 23p.

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