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trend following trading rule, bull-bear switching model, partial information, HJB equations
guaranteed minimum withdrawal benefit, variable annuities, singular stochastic control model
Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity
index arbitrage, optimal stopping, transaction costs, position limits
Black -- Scholes market, optimal stopping, stock goodness index, value function, free-boundary PDE (variational inequality)
stable coins, fixed income crypto assets, leveraged return crypto assets, smart contracts
portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery
Binomial tree method, European/American path-dependent options, convergence
Lookback options, American feature, free boundary value problems
calibration, stochastic volatility model, option prices, optimal control, inverse problem
Perpetual American lookback options, closed-form solution, floating strike
Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs
Path-dependent options, binomial tree method, forward shooting grid method, convergence analysis
optimal strategy, average price, optimal stopping problem, variational inequality
Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment
Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment
bank capital, dividends, investment, earnings smoothing, banking regulation
disposition effect, portfolio rebalancing, learning, transaction costs
American warrant, convertible bond, notice period requirement, callable feature
Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution
Utility maximization, utility indifference prices, minimal entropy martingale measure, jump-diffusion processes, risk neutral valuation
Cryptocurrency, bitcoin mining, jump risk, transaction fees, inventory
Optimal investment and consumption, Capital gain tax, Merton problem, Continuous-time, Asymptotic expansion
robo-advising, mean-variance, asset allocation
optimal investment, transaction costs, finite horizon, double obstacle problem, stochastic control, Riccati equation, portfolio selection, free boundary
Asian options, geometric average, one-state variable binomial model
Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia
convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities
Optimal selling strategy, global maximum, square error, variational inequality
employee stock options, reload feature, shout call, multiple optimal stopping, lookback options
American options, optimal stopping, Asian feature, lookback feature, monotone properties
Industry Equilibrium, Singular Control, Computing Power.
optimal investment and consumption, transaction costs, finite horizon
linear complementarity formulation, mortgage prepayment, optimal stopping
employee reload option, time vesting requirement, numerical algorithm
Option pricing, strike reset, maturity reset, optimal stopping
asset allocation; reinforcement learning; equilibrium mean variance analysis; entropy
corporate debt pricing, bankruptcy boundary, declaring boundary, optimal stopping time, chapter 11 bankruptcy code
daily rebalancing, leveraged ETFs, market closure, frictions
portfolio selection, optimal investment and consumption, transaction costs, multiple risky assets, shape of trading and no-trading regions
internal capital markets, risk management, cash management, financing constraints, spinoff
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prediction markets, public opinion polls, information aggregation
Labor market frictions, job reallocation, stochastic control
Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs
Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia
Capital Gains Tax Law, Portfolio Selection, Consumption, Asymmetric Tax Rates
Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs
optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints, singular stochastic control
Barrier options, American options, knock in, analytic solutions
optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints
superhedging, ratio constraint, dominating claim, counterexample
Capital Gains Tax, Tax Timing, Portfolio Selection, Asymmetric Tax Rates
portfolio choice, capital gains tax, transaction costs, year-end tax
income inequality, top incomes, Gini coefficient, weighted expected utility theory
Nonparticipation, cointegration, housing, stock investment
Exhaustible Resources, Exploration, Production Adjustment Costs
prospect theory; loss aversion; option value; disposition effect
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Stackelberg game, wars of attrition, real option games, mixed strategies, duopoly, separation principle, first-mover advantage, second-mover advantage
Lookback options, quanto feature, early exercise policies
convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities
optimal selling/buying strategy, ultimate average, time‐vesting
stock loans, finite maturity, optimal strategy, optimal stopping
