68 citations · 225 across the 22 of their papers we have counts for
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q-fin.PM2013
Optimization problem under change of regime of interest rate
Bogdan Iftimie, Monique Jeanblanc, Thomas Lim +1
In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in…
q-fin.PM2012★ 57 cited
On arbitrages arising from honest times
Claudio Fontana, Monique Jeanblanc, Shiqi Song
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relyin…