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Frei, Christoph - Department of Mathematical and Statistical Sciences, University of Alberta
Exponential utility indifference valuation in a general semimartingale model
A financial market with interacting investors: does an equilibrium exist?
Convexity bounds for BSDE solutions, with applications to indifference valuation
Convergence results for the indifference value based on the stability of BSDEs
Diss. ETH No. 18494 Exponential Utility Indifference
Exponential utility indifference valuation in two Brownian settings
BSDES IN UTILITY MAXIMIZATION WITH BMO MARKET PRICE OF RISK
Computational Finance (MATH 508) Term: Winter term 2012
BSDES IN UTILITY MAXIMIZATION WITH BMO MARKET PRICE OF RISK
