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Lehoczky, John P.'s
Scholarly Papers
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Downloads
583 |
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Citations
15 |
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1.
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Serban, Mihaela
Morgan Stanley Lehoczky, John P.
Carnegie Mellon University Seppi, Duane J.
Carnegie Mellon University - David A. Tepper School of Business
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23 Dec 08
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04 Jan 09
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470
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objective measure, option, risk premium, return, risk-neutral measure, volatility
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2.
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Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management Lehoczky, John P.
Carnegie Mellon University
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18 Jan 08
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04 Oct 09
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80
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Option pricing, Black-Scholes, Ito Calculus, Stratonovich Calculus, finance
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3.
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Serban, Mihaela
Carnegie Mellon University Brockwell, Anthony
Carnegie Mellon University Lehoczky, John P.
Carnegie Mellon University Srivastava, Sanjay
OS Financial Trading System
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4.
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Lehoczky, John P.
Carnegie Mellon University Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management Shreve, Steven E.
Carnegie Mellon University - Department of Mathematical Sciences
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20 Jan 08
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24 Mar 11
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Consumption and Investment Problem, bankruptcy, dynamic programming, stochastic control
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5.
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Karatzas, Ioannis
Columbia University - Department of Statistics Lehoczky, John P.
Carnegie Mellon University Shreve, Steven E.
affiliation not provided to SSRN
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6.
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A Stochastic Extension of the Miller-Modigliani Framework
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Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management Derzko, N. A.
University of Toronto Lehoczky, John P.
Carnegie Mellon University
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18 Apr 08
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Last Revised:
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22 Feb 10
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Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management Derzko, N. A.
University of Toronto Lehoczky, John P.
Carnegie Mellon University
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Lehoczky, John P.
Carnegie Mellon University Derzko, N. A.
University of Toronto Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management
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20 Jan 09
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22 Feb 10
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Miller-Modigliani theory, MM theory, partial equilibrium, dividend approach, cash-flow approach, share price, value of firm, stochastic process, stochastic firm, risk neutrality, risk aversion, share repurchase, financial valuation, infinite horizon firm
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7.
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Lehoczky, John P.
Carnegie Mellon University Soner, Halil Mete
Koc University - College of Administrative Sciences and Economics Taksar, Michael I.
University of Missouri at Columbia - Department of Mathematics Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management
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effects of breakdowns, hierarchical control, Manufacturing systems, optimal control,stochastic machine availability, asymptotic analysis, production planning
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8.
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Derzko, N. A.
University of Toronto Lehoczky, John P.
Carnegie Mellon University Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management
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06 Feb 08
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Last Revised:
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22 Feb 10
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Price-Dividend Equation, Theory of Financial Valuation, Miller-Modigliani theory, MM theory, stochastic firm, integral equations, cash-flow approach, dividend approch, share price, tranversality condition, martingales, arbitrage, partial equilibrium, share repurchase, risk aversion, risk neutrality
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9.
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Karatzas, Ioannis
Columbia University - Department of Statistics Lehoczky, John P.
Carnegie Mellon University Shreve, Steven E.
Carnegie Mellon University - Department of Mathematical Sciences Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management
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Mutual fund theorem,investment-consumption problem, consumption/portfolio problem, dynamic programming, stochastic control, bankruptcy,Brownian motion
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10.
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Derzko, N. A.
University of Toronto Lehoczky, John P.
Carnegie Mellon University Sethi, Suresh
University of Texas at Dallas - Naveen Jindal School of Management
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22 Jan 08
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Last Revised:
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22 Feb 10
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MM Theory, Miller-Modigliani theory, partial equlibrium, dividend approach, cash flow approach, valuation of firm. arbitrage pricing, share repurchase, MM theory, financial valuation, infinite horizon firm
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