3 citations · 3 across the 6 of their papers we have counts for
7 papers
Stability of the Epstein-Zin problem
Michael Monoyios, Oleksii Mostovyi
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, whe…
Duality for optimal consumption with randomly terminating income
Ashley Davey, Michael Monoyios, Harry Zheng
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that…
Infinite horizon utility maximisation from inter-temporal wealth
Michael Monoyios
We develop a duality theory for the problem of maximising expected lifetime utility from inter-temporal wealth over an infinite horizon, under the minimal no-arbitrage assumption o…
Duality for optimal consumption under no unbounded profit with bounded risk
Michael Monoyios
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk…
Executive stock option exercise with full and partial information on a drift change point
Vicky Henderson, Kamil Kladívko, Michael Monoyios +1
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed r…
Malliavin calculus method for asymptotic expansion of dual control problems
Michael Monoyios
We develop a technique based on Malliavin-Bismut calculus ideas, for asymptotic expansion of dual control problems arising in connection with exponential indifference valuation of…
Optimal investment with inside information and parameter uncertainty
Albina Danilova, Michael Monoyios, Andrew Ng
This paper has been withdrawn by the authors pending corrections.