2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2011★ 2 cited
Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation
Nikolaos Englezos, Nikolaos Frangos, Xanthi-Isidora Kartala +1
This paper studies forward and backward versions of random Burgers equation (RBE) with stochastic coefficients. Firstly, the celebrated Cole-Hopf transformation reduces the forward…
q-fin.CP2008
On contingent claims pricing in incomplete markets: A risk sharing approach
Michail Anthropelos, Nikolaos E. Frangos, Stylianos Z. Xanthopoulos +1
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, w…