Thaleia Zariphopoulou : rechercher sur Z-Library

Le plus grand référentiel d'articles scientifiques au monde. 70,000,000+ d'articles gratuitement.

Don't use scam websites

Livres
Articles (52)
Les plus populaires
Liste
- Liste
- Tableau

1

European Option Pricing with Transaction Costs

Davis, Mark H. A., Panas, Vassilios G., Zariphopoulou, Thaleia

Journal:

SIAM Journal on Control and Optimization

Année:

1993

Langue:

english

Fichier:

PDF, 2.40 MB

english, 1993

2

Numerical schemes for investment models with singular transactions

Agnès Tourin, Thaleia Zariphopoulou

Journal:

Computational Economics

Année:

1994

Langue:

english

Fichier:

PDF, 1.08 MB

english, 1994

3

PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

Fouque, Jean-Pierre, Sircar, Ronnie, Zariphopoulou, Thaleia

Journal:

Mathematical Finance

Année:

2015

Langue:

english

Fichier:

PDF, 651 KB

english, 2015

4

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Chong, Wing Fung, Hu, Ying, Liang, Gechun, Zariphopoulou, Thaleia

Journal:

Finance and Stochastics

Année:

2019

Langue:

english

Fichier:

PDF, 1.58 MB

english, 2019

5

A solution approach to valuation with unhedgeable risks

Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Année:

2001

Langue:

english

Fichier:

PDF, 141 KB

english, 2001

6

Exploration Versus Exploitation in Reinforcement Learning: A Stochastic Control Approach

Wang, Haoran, Zariphopoulou, Thaleia, Zhou, Xunyu

Journal:

SSRN Electronic Journal

Année:

2019

Langue:

english

Fichier:

PDF, 515 KB

english, 2019

7

Hedging in incomplete markets with HARA utility

Darrell Duffie, Wendell Fleming, H.Mete Soner, Thaleia Zariphopoulou

Journal:

Journal of Economic Dynamics and Control

Année:

1997

Langue:

english

Fichier:

PDF, 1.45 MB

english, 1997

8

Optimal investment and consumption models with non-linear stock dynamics

Thaleia Zariphopoulou

Journal:

Mathematical Methods of Operations Research

Année:

1999

Langue:

english

Fichier:

PDF, 193 KB

english, 1999

9

A valuation algorithm for indifference prices in incomplete markets

Marek Musiela, Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Année:

2004

Langue:

english

Fichier:

PDF, 204 KB

english, 2004

10

On Level Curves of Value Functions in Optimization Models of Expected Utility

Cristian-Ioan Tiu, Thaleia Zariphopoulou

Journal:

Mathematical Finance

Année:

2000

Langue:

english

Fichier:

PDF, 227 KB

english, 2000

11

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

George M. Constantinides, Thaleia Zariphopoulou

Journal:

Mathematical Finance

Année:

2001

Langue:

english

Fichier:

PDF, 195 KB

english, 2001

12

Optimal Investment With Undiversifiable Income Risk

Darrell Duffie, Thaleia Zariphopoulou

Journal:

Mathematical Finance

Année:

1993

Langue:

english

Fichier:

PDF, 555 KB

english, 1993

13

Maturity-Independent Risk Measures

Zariphopoulou, Thaleia, Žitković, Gordan

Journal:

SIAM Journal on Financial Mathematics

Année:

2010

Langue:

english

Fichier:

PDF, 342 KB

english, 2010

14

Utility valuation of multi-name credit derivatives and application to CDOs

Sircar, Ronnie, Zariphopoulou, Thaleia

Journal:

Quantitative Finance

Année:

2010

Langue:

english

Fichier:

PDF, 236 KB

english, 2010

15

An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets

Nadtochiy, Sergey, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Financial Mathematics

Année:

2013

Langue:

english

Fichier:

PDF, 585 KB

english, 2013

16

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

Young, Virginia R., Zariphopoulou, Thaleia

Journal:

Scandinavian Actuarial Journal

Année:

2002

Langue:

english

Fichier:

PDF, 576 KB

english, 2002

17

Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters

Zariphopoulou, Thaleia

Journal:

SIAM Journal on Control and Optimization

Année:

1992

Langue:

english

Fichier:

PDF, 1.83 MB

english, 1992

18

Forward indifference valuation of American options

Leung, Tim, Sircar, Ronnie, Zariphopoulou, Thaleia

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Année:

2012

Langue:

english

Fichier:

PDF, 359 KB

english, 2012

19

[Springer Proceedings in Mathematics & Statistics] Stochastic Analysis and Applications 2014 Volume 100 || An Overview of Viscosity Solutions of Path-Dependent PDEs

Crisan, Dan, Hambly, Ben, Zariphopoulou, Thaleia

Année:

2014

Langue:

english

Fichier:

PDF, 568 KB

english, 2014

20

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

Shkolnikov, Mykhaylo, Sircar, Ronnie, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Financial Mathematics

Année:

2016

Langue:

english

Fichier:

PDF, 445 KB

english, 2016

21

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE

Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Financial Mathematics

Année:

2017

Langue:

english

Fichier:

PDF, 310 KB

english, 2017

22

Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints

Nadtochiy, Sergey, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Financial Mathematics

Année:

2019

Langue:

english

Fichier:

PDF, 288 KB

english, 2019

23

Computation of distorted probabilities for diffusion processes via stochastic control methods

Virginia R. Young, Thaleia Zariphopoulou

Journal:

Insurance: Mathematics and Economics

Année:

2000

Langue:

english

Fichier:

PDF, 134 KB

english, 2000

24

An example of indifference prices under exponential preferences

Marek Musiela, Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Année:

2004

Langue:

english

Fichier:

PDF, 157 KB

english, 2004

25

Turnpike behavior of long-term investments

Chi-fu Huang, Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Année:

1999

Langue:

english

Fichier:

PDF, 199 KB

english, 1999

26

Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences

George M. Constantinides, Thaleia Zariphopoulou

Journal:

Finance and Stochastics

Année:

1999

Langue:

english

Fichier:

PDF, 166 KB

english, 1999

27

DYNAMIC ASSET ALLOCATION AND CONSUMPTION CHOICE IN INCOMPLETE MARKETS

SASHA F. STOIKOV, THALEIA ZARIPHOPOULOU

Journal:

Australian Economic Papers

Année:

2005

Langue:

english

Fichier:

PDF, 560 KB

english, 2005

28

Numerical Schemes for Variational Inequalities Arising in International Asset Pricing

James E. Hodder, Agnès Tourin, Thaleia Zariphopoulou

Journal:

Computational Economics

Année:

2001

Langue:

english

Fichier:

PDF, 468 KB

english, 2001

29

Optimal Consumption and Portfolio Choice with Borrowing Constraints

Jean-Luc Vila, Thaleia Zariphopoulou

Journal:

Journal of Economic Theory

Année:

1997

Langue:

english

Fichier:

PDF, 454 KB

english, 1997

30

Optimal Environmental Management in the Presence of Irreversibilities

José A. Scheinkman, Thaleia Zariphopoulou

Journal:

Journal of Economic Theory

Année:

2001

Langue:

english

Fichier:

PDF, 202 KB

english, 2001

31

Consumption-Investment Models with Constraints

Zariphopoulou, Thaleia

Journal:

SIAM Journal on Control and Optimization

Année:

1994

Langue:

english

Fichier:

PDF, 2.19 MB

english, 1994

32

Inspired by Finance ||

Kabanov, Yuri, Rutkowski, Marek, Zariphopoulou, Thaleia

Année:

2014

Langue:

english

Fichier:

PDF, 5.85 MB

english, 2014

33

Inspired by Finance || An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

Kabanov, Yuri, Rutkowski, Marek, Zariphopoulou, Thaleia

Année:

2014

Langue:

english

Fichier:

PDF, 335 KB

english, 2014

34

Inspired by Finance || A Time Before Which Insiders Would not Undertake Risk

Kabanov, Yuri, Rutkowski, Marek, Zariphopoulou, Thaleia

Année:

2014

Langue:

english

Fichier:

PDF, 316 KB

english, 2014

35

Inspired by Finance || Some Extensions of Norros’ Lemma in Models with Several Defaults

Kabanov, Yuri, Rutkowski, Marek, Zariphopoulou, Thaleia

Année:

2014

Langue:

english

Fichier:

PDF, 245 KB

english, 2014

36

Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random

Sircar, Ronnie, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Control and Optimization

Année:

2004

Langue:

english

Fichier:

PDF, 265 KB

english, 2004

37

[IEEE 2008 47th IEEE Conference on Decision and Control - Cancun, Mexico (2008.12.9-2008.12.11)] 2008 47th IEEE Conference on Decision and Control - Maturity-independent risk measures

Zariphopoulou, Thaleia, Zitkovic, Gordan

Année:

2008

Langue:

english

Fichier:

PDF, 178 KB

english, 2008

38

[Springer Proceedings in Mathematics & Statistics] Stochastic Analysis and Applications 2014 Volume 100 ||

Crisan, Dan, Hambly, Ben, Zariphopoulou, Thaleia

Année:

2014

Langue:

english

Fichier:

PDF, 7.36 MB

english, 2014

39

On the optimal wealth process in a log-normal market: Applications to risk management

Monin, Phillip, Zariphopoulou, Thaleia

Journal:

Journal of Financial Engineering

Année:

2014

Langue:

english

Fichier:

PDF, 594 KB

english, 2014

40

An Optimal Investment/Consumption Model with Borrowing

Wendell H. Fleming and Thaleia Zariphopoulou

Journal:

Mathematics of Operations Research

Année:

1991

Langue:

english

Fichier:

PDF, 695 KB

english, 1991

41

An Optimal Investment/Consumption Model with Borrowing

Fleming, Wendell H., Zariphopoulou, Thaleia

Journal:

Mathematics of Operations Research

Année:

1991

Langue:

english

Fichier:

PDF, 769 KB

english, 1991

42

Dynamically consistent investment under model uncertainty: the robust forward criteria

Källblad, Sigrid, Obłój, Jan, Zariphopoulou, Thaleia

Journal:

Finance and Stochastics

Année:

2018

Langue:

english

Fichier:

PDF, 1.07 MB

english, 2018

43

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE

Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 312 KB

english, 2016

44

Portfolio Optimization & Stochastic Volatility Asymptotics

Fouque, Jean-Pierre, Sircar, Ronnie, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 379 KB

english, 2013

45

Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria

Geng, Tianran, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 266 KB

english, 2016

46

Competition among Managers and Optimal Portfolios under Relative Forward Performance Criteria

Geng, Tianran, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 298 KB

english, 2016

47

Mean field and n -agent games for optimal investment under relative performance criteria

Lacker, Daniel, Zariphopoulou, Thaleia

Journal:

Mathematical Finance

Année:

2019

Langue:

english

Fichier:

PDF, 622 KB

english, 2019

48

An Ergodic BSDE Approach to Forward Entropic Risk Measures: Representation and Large-Maturity Behavior

Chong, Wing Fung, Hu, Ying, Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Année:

2016

Fichier:

PDF, 882 KB

2016

49

Time-Consistent Investment Under Model Uncertainty: The Robust Forward Criteria

Kallblad, Sigrid, Obloj, Jan K., Zariphopoulou, Thaleia

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 538 KB

english, 2013

50

An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians

Huang, Shuo, Liang, Gechun, Zariphopoulou, Thaleia

Journal:

SIAM Journal on Control and Optimization

Année:

2020

Langue:

english

Fichier:

PDF, 441 KB

english, 2020