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期刊论文 [10]
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Mean-variance hedging with basis risk
期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 704-716
作者:
Xue, Xiaole
;
Zhang, Jingong
;
Weng, Chengguo
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal
hedging
stochastic LQ control
Fine properties of fractional Brownian motions on Wiener space
期刊论文
Journal of Mathematical Analysis and Applications, 2019, 卷号: Vol.473 No.1, 页码: 141-173
作者:
Jiawei Li
;
Zhongmin Qian
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  |  
浏览/下载:13/0
  |  
提交时间:2019/12/13
Capacity
Fractional
Brownian
motion
Malliavin
derivative
Sample
property
Mean-variance hedging with basis risk
期刊论文
Applied Stochastic Models in Business and Industry, 2018
作者:
Xue X.
;
Zhang J.
;
Weng C.
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal hedging
stochastic LQ control
How money illusions and heterogeneous beliefs affect asset prices
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018, 卷号: Vol.44, 页码: 167-192
作者:
Ma, CQ
;
Wang, HL
;
Cheng, FC
;
Hu, DN
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  |  
浏览/下载:16/0
  |  
提交时间:2019/12/26
Money illusion
Heterogeneous belief
Asset pricing
Malliavin derivative
Portfolio plan
Anticipating random periodic solutions-I. SDEs with multiplicative linear noise
期刊论文
JOURNAL OF FUNCTIONAL ANALYSIS, 2016, 卷号: 271, 页码: 365-417
作者:
Feng, Chunrong
;
Wu, Yue
;
Zhao, Huaizhong
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  |  
浏览/下载:6/0
  |  
提交时间:2019/11/26
Random periodic solutions
Relative compactness
Periodic measures
Malliavin derivative
Malliavin method for optimal investment in financial markets with memory
期刊论文
OPEN MATHEMATICS, 2016, 卷号: 14, 页码: 286-299
作者:
An, Qiguang
;
Zhao, Guoqing
;
Zong, Gaofeng
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/16
Mean-field
Backward stochastic Volterra equations
Malliavin
derivative
Maximum principle
Derivative formulae for SDEs driven by multiplicative alpha-stable-like processes
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2015, 卷号: 125, 期号: 3
作者:
Wang, Linlin
;
Xie, Longjie
;
Zhang, Xicheng
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/05
Derivative formula
Gradient estimate
Stable-like process
Malliavin calculus
Anticipative stochastic differential equations with non-smooth diffusion coefficient
期刊论文
2010, 2010
Liang, Zong Xia
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  |  
浏览/下载:3/0
Stochastic control for linear systems driven by fractional noises
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2005, 卷号: 43, 期号: 6, 页码: 2245-2277
作者:
Hu, YZ
;
Zhou, XY
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  |  
浏览/下载:23/0
  |  
提交时间:2015/07/15
fractional Brownian motion (FBM)
stochastic linear-quadratic (LQ) control
Ito integral
Stratonovich integral
Hu-Meyer formula
multiple integral
Riccati equation
Malliavin derivative
Backward stochastic differential equations in finance
期刊论文
MATHEMATICAL FINANCE, 1997, 卷号: 7, 期号: 1, 页码: 1-71
作者:
El Karoui, N
;
Peng, S
;
Quenez, MC
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  |  
浏览/下载:2/0
  |  
提交时间:2020/01/14
backward stochastic equation
mathematical finance
pricing
hedging
portfolios
incomplete market
constrained portfolio
recursive utility
stochastic control
viscosity solution of PDE
Malliavin derivative
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