Via Belzoni 7
University of Padua - Department of Pure and Applied Mathematics
default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
default, additive processes, logarithmic utility, consumption, terminal wealth, contagion, portfolio optimization, growth-optimal portfolio, HJB, linear programming, verification theorem
exponential Ornstein-Uhlenbeck model, drawdown, timing, mean-reverting process.
stochastic volatility, superreplication, stochastic optimal control, Hamilton-Jacobi-Bellman
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