Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
Dual representations for general multiple stopping problems
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Forward-backward systems for expected utility maximization
Libor model with expiry-wise stochastic volatility and displacement
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
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