9 citations · 31 across the 9 of their papers we have counts for
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math.PR2021★ 4 cited
A mean-field extension of the LIBOR market model
Sascha Desmettre, Simon Hochgerner, Sanela Omerovic +1
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale proper…
math.OC2021
Time-inconsistent view on a dividend problem with penalty
Josef Anton Strini, Stefan Thonhauser
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies.…