Mathematik, HG G51.2
Raemistrasse 101
CH-8092 Zurich
Switzerland
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
ETH Zurich
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mean-variance, portfolio choice, hedging, indifference valuation, Markowitz problem, two-fund separation, no approximate profits, minimum variance, Sharpe ratio
financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance
option valuation, put-call parity, absence of arbitrage, NUPBR, NFLVR, risk-neutral valuation, consistent valuation, maximal strategies, viability, efficiency, semi- efficient markets, completeness, incomplete markets
absence of arbitrage, completeness, consistent valuation, efficiency, incomplete markets, maximal strategies, NFLVR, NUPBR, option valuation, put‐call parity, risk‐neutral valuation, semi‐efficient markets, viability
mean-variance hedging, stochastic control, backward stochastic differential equations, semimartingales, mathematical finance, variance-optimal martingale measure
no arbitrage, maximal strategies, semimartingales, discounting, NFLVR, NUPBR, FTAP, -martingale discounter, strongly share maximal, dynamic share viability, Black–Scholes model
absence of arbitrage, maximal strategies, semimartingales, discounting, NFLVR, NUPBR, FTAP, -martingale discounter, strongly share maximal, dynamic share viability, Black–Scholes model
Markowitz problem, cone constraints, portfolio selection, mean-variance, hedging, stochastic control, semimartingales, BSDEs, martingale optimality principle, opportunity process, E-martingales, linear-quadratic control
large financial markets, asymptotic arbitrage, discounting, NAA, NUPBR, asymptotic strong share maximality, dynamic share viability, asymptotic dynamic share viability, tradable discounter
sigma-martingale, equivalent martingale measures, Jacod decomposition, mathematical finance
semimartingales, absence of arbitrage, discounting, dynamic share viability, simple strategies, no-short-sales constraints, NA1 for simple strategies, supermartingale discounter
Mean-Variance Hedging, Mean-Variance Portfolio Selection, Restricted Information, Partial Information, Deterministic Strategies, Quadratic Optimisation Problems, Nancial Markets, Type (A) Semimartingales
linear equality constraints, feasible solution, infinitely many constraints, random measure, arbitrage theory, equivalent martingale measures
mean-variance hedging, constraints, stochastic integrals, convex duality
σ-martingale, equivalent martingale measures, Jacod decomposition, mathematical finance
Hedging, exponential utility, relative entropy, duality, minimal martingale measure, minimal entropy martingale measure, reverse Holder inequalities
Term structure models, implied savings account, Doob-Meyer decomposition, semimartingales, multiplicative decomposition