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Now showing items 1-9 of 9
(Research report / Forskningsrapport, 2010)
In this paper we study the problem of risk indifference pricing of interest rate claims which are functionals of a bond yield surface under partial information. Our approach to solve this problem relies on a maximum principle ...
(Research report / Forskningsrapport, 2012)
(Research report / Forskningsrapport, 2012)
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems ...
(Research report / Forskningsrapport, 2013)
We consider a class of Hilbert-space valued SDE’s where the drift coefficients are non- Lipschitzian in the sense of Hölder-continuity. Using a novel technique based on Malliavin calculus we show in this paper the existence ...
(Research report / Forskningsrapport, 2013)
A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the ...
(Research report / Forskningsrapport, 2010)
Bond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a stochastic setting. More ...
(Research report / Forskningsrapport, 2010)
In this paper, we develop a variational approach to study perturbation problems of ordinary differential equations (ODE's) with discontinuous coefficients. We propose a mathematical framework which can be used to construct ...
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2012)
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...