4 papers
Backward Stochastic PDEs related to the utility maximization problem
M. Mania, R. Tevzadze
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asse…
-approximating pricing under restricted information
M. Mania, R. Tevzadze, T. Toronjadze
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asse…
Mean-variance Hedging Under Partial Information
M. Mania, R. Tevzadze, T. Toronjadze
We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructe…
Dynamic exponential utility indifference valuation
Michael Mania, Martin Schweizer
We study the dynamics of the exponential utility indifference value process C(B;α) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove…