31 citations · 137 across the 73 of their papers we have counts for
Showing 2002 · math.PRShow all
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math.PR2002
Optimal portfolio selection and compression in an incomplete market
Nikolai Dokuchaev, Ulrich Haussmann
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the m…
math.PR2002★ 1 cited
Maximin setting for investment problems and fixed income management with observable but non-predictable parameters
Nikolai Dokuchaev
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is describ…
math.PR2002
Pricing rule based on non-arbitrage arguments for random volatility and volatility smile
Nikolai Dokuchaev
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices.…