2 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.MF2019
Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints
Thijs Kamma, Antoon Pelsser
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the…
math.PR2017★ 2 cited
A Regress-Later Algorithm for Backward Stochastic Differential Equations
Kossi Gnameho, Mitja Stadje, Antoon Pelsser
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach a…
q-fin.PR2013
Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
Łukasz Delong, Antoon Pelsser
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asse…