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math.PR2008
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…
math.PR2007
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…
math.PR2005
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…