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Monoyios, Michael - Mathematical Institute, University of Oxford
DOI: 10.1007/s10203-006-0062-4 DEF 29, 95 119 (2006)
Optimal investment and hedging under partial and inside information
Utility-based valuation and hedging of basis risk with partial information
A fast numerical algorithm is developed to price European options with proportional transaction costs using the utility-maximization framework of
Statistics & Probability Letters 77 (2007) 10701076 The minimal entropy measure and an Esscher transform
Z. Phys. C -Particles and Fields 42, 325-329 (1989) Z~sch~ F~i~,sfiJr Physik C
Optimal exercise of an executive stock option by an insider Michael Monoyios
Math Finan Econ (2010) 3:1338 DOI 10.1007/s11579-010-0025-y
Utility indifference pricing with market incompletness Michael Monoyios
This paper was begun when Lucio Sarno was on the staff of the University of Oxford and was partly written while he was a Visiting Scholar at the Federal Reserve Bank of St. Louis. The authors are
