4 citations · 4 across the 2 of their papers we have counts for
3 papers
q-fin.PR2013
Pricing bonds with optional sinking feature using Markov Decision Processes
Jan-Frederik Mai, Marc Wittlinger
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the n…
math.PR2013
Moment based estimation of supOU processes and a related stochastic volatility model
Robert Stelzer, Thomas Tosstorff, Marc Wittlinger
After a quick review of superpositions of OU (supOU) processes, integrated sup\-OU processes and the supOU stochastic volatility model we estimate these processes by using the gene…
q-fin.PM2012★ 4 cited
Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs
Sören Christensen, Marc Wittlinger
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exce…