Agatha Murgoci

Aarhus University - School of Business and Social Sciences

Nordre Ringgade 1

Aarhus C, DK-8000

Denmark

SCHOLARLY PAPERS

10

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Top 7,448

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86

CROSSREF CITATIONS

93

Scholarly Papers (10)

1.

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Number of pages: 55 Posted: 20 Oct 2010
Tomas Bjork and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance and Aarhus University - School of Business and Social Sciences
Downloads 1,254 (20,429)
Citation 130

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Time consistency, time inconsistent control, dynamic programming, time inconsistency, stochastic control, hyperbolic discounting, meanvariance, Bellman equation, Hamilton-Jacobi-Bellman

2.

Convexity Adjustments for ATS Models

ISEG Advance Working Paper No. 9/2008
Number of pages: 25 Posted: 05 May 2009 Last Revised: 18 Mar 2016
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre/REM, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences
Downloads 467 (77,604)
Citation 3

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affine term structure, convexity adjustments, CMS, LIBOR in arrears

3.

Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads

Number of pages: 64 Posted: 17 Mar 2012 Last Revised: 16 Apr 2013
Rene Kallestrup, David Lando and Agatha Murgoci
Capital Four Management, Copenhagen Business School and Aarhus University - School of Business and Social Sciences
Downloads 399 (93,307)
Citation 29

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Credit risk, banks, sovereign risk

4.

A Theory of Markovian Time Inconsistent Stochastic Control in Continuous Time

Number of pages: 44 Posted: 04 Feb 2016
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance AreaSwedish House of Finance and Aarhus University - School of Business and Social Sciences
Downloads 198 (192,544)
Citation 6

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Time consistency, time inconsistency, time inconsistent control, dynamic programming, stochastic control, Bellman equation, hyperbolic discounting, mean-variance, equilibrium

5.

Pricing Counter-Party Risk Using Good Deal Bounds

Number of pages: 40 Posted: 24 Feb 2008 Last Revised: 12 Sep 2014
Agatha Murgoci
Aarhus University - School of Business and Social Sciences
Downloads 197 (193,387)

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incomplete markets, good deal bounds, vulnerable options, counterparty risk, coherent risk measure, over-the-counter derivatives market

6.

Vulnerable Options and Good Deal Bounds - A Structural Model

Number of pages: 38 Posted: 24 Feb 2008
Agatha Murgoci
Aarhus University - School of Business and Social Sciences
Downloads 150 (244,423)

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incomplete markets, counterparty risk, good deal bounds, vulnerable options

7.

Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples

Finance Stochastics, Forthcoming, Rotman School of Management Working Paper No. 2887328
Number of pages: 58 Posted: 19 Dec 2016 Last Revised: 16 Mar 2019
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance AreaSwedish House of Finance and Aarhus University - School of Business and Social Sciences
Downloads 112 (304,647)
Citation 25

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Time Consistency, Time Inconsistency, Time Inconsistent Control, Dynamic Programming, Equilibrium

8.

On Time Inconsistent Stochastic Control in Continuous Time

Finance and Stochastics, Forthcoming
Number of pages: 32 Posted: 27 Dec 2016
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance AreaSwedish House of Finance and Aarhus University - School of Business and Social Sciences
Downloads 100 (328,957)

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Time consistency, time inconsistency, time inconsistent control, dynamic programming

9.

Mean–Variance Portfolio Optimization with State‐Dependent Risk Aversion

Mathematical Finance, Vol. 24, Issue 1, pp. 1-24, 2014
Number of pages: 24 Posted: 13 Dec 2013
Tomas Bjork, Agatha Murgoci and Xun Yu Zhou
Stockholm School of Economics - Swedish House of Finance, Aarhus University - School of Business and Social Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 0 (809,433)
Citation 22
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mean–variance, time inconsistency, time‐inconsistent control, dynamic programming, stochastic control, Hamilton–Jacobi–Bellman equation

10.

Convexity Adjustments

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, R. Cont, ed., Wiley, 2009
Posted: 07 Mar 2009 Last Revised: 06 May 2009
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre/REM, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences

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convexity adjustment, LIBOR rate, swap rates, in-arrears products, CMS, forward price, futures