Erik Aurell

Swedish Institute of Computer Science (SICS) - Intelligent Systems Laboratory

Senior Researcher

Box 1263

Kista SE-16429

Sweden

SCHOLARLY PAPERS

4

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CITATIONS
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5

Scholarly Papers (4)

1.

Gambling and Pricing of Derivatives

Number of pages: 16 Posted: 07 Sep 1998
Swedish Institute of Computer Science (SICS) - Intelligent Systems Laboratory, Polytechnic University of Milan - Department of Mathematics, Stockholm University - Department of Mathematics, University of L'Aquila - Department of Physics and Universita' di Roma & Instituto Nazionale di Fisic
Downloads 1,022 (20,469)
Citation 3

Abstract:

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2.

Optimal Hedging of Derivatives with Transaction Costs

Number of pages: 17 Posted: 27 Sep 2005
Erik Aurell and Paolo Muratore-Ginanneschi
Swedish Institute of Computer Science (SICS) - Intelligent Systems Laboratory and University of Helsinki - Department of Mathematics
Downloads 164 (178,025)
Citation 1

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Black and Scholes, Mathematical finance, Hamilton-Jacobi-Bellman, Optimisation

3.

Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons

Number of pages: 13 Posted: 19 Feb 2003
Erik Aurell and Paolo Muratore-Ginanneschi
Swedish Institute of Computer Science (SICS) - Intelligent Systems Laboratory and University of Helsinki - Department of Mathematics
Downloads 84 (290,928)
Citation 1

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Growth optimal criteria, transaction costs, finite investment horizons

4.

Option Pricing & Partial Hedging: Theory of Polish Options

TRITA PDC Report 1995:1ISRN KTH/PDC/R-95/1-SE ISSN 1401-2731
Posted: 05 Jul 1998
Erik Aurell and Karol Zyczkowski
Swedish Institute of Computer Science (SICS) - Intelligent Systems Laboratory and Artificial Economy Project

Abstract:

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