Federico Salvatore

Luiss Guido Carli University

Via O. Tommasini 1

Rome, Roma 00100

Italy

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Scholarly Papers (1)

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Pension Funds with a Minimum Guarantee: A Stochastic Control Approach

Finance and Stochastics, Forthcoming
Number of pages: 44 Posted: 31 Jan 2007 Last Revised: 05 May 2010
Marina Di Giacinto, Fausto Gozzi and Federico Salvatore
University of Cassino, Luiss and Luiss Guido Carli University
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Abstract:

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Defined contribution pension fund, minimum guarantee, stochastic optimal control, dynamic programming, Hamilton-Jacobi-Bellman equation, viscosity solutions