Guest Editorial Special Issue on Stochastic Control Methods in Financial Engineering
Pasik-Duncan, B.; Elliott, R.; Davis, M.
Page(s): 321- 323
Digital Object Identifier 10.1109/TAC.2004.824472 Abstract
| Full Text: PDF (38 KB)
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Optimal portfolio and consumption policies subject to Rishel's important jump events model: computational methods
Hanson, F.B.; Westman, J.J.
Page(s): 326- 337
Digital Object Identifier 10.1109/TAC.2004.824477 Abstract
| Full Text: PDF (760 KB)
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Estimating stochastic volatility via filtering for the micromovement of asset prices
Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits
Yin, G.; Xun Yu Zhou
Page(s): 349- 360
Digital Object Identifier 10.1109/TAC.2004.824479 Abstract
| Full Text: PDF (336 KB)
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Modeling of the defaultable term structure: conditionally Markov approach
Bielecki, T.R.; Rutkowski, M.
Page(s): 361- 373
Digital Object Identifier 10.1109/TAC.2004.824480 Abstract
| Full Text: PDF (336 KB)
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Valuation of American options via basis functions
Tze Leung Lai; Wong, S.P.-S.
Page(s): 374- 385
Digital Object Identifier 10.1109/TAC.2004.824466 Abstract
| Full Text: PDF (384 KB)
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Pathwise optimality for benchmark tracking
Pra, P.D.; Runggaldier, W.J.; Tolotti, M.
Page(s): 386- 395
Digital Object Identifier 10.1109/TAC.2004.824467 Abstract
| Full Text: PDF (272 KB)
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Mean-variance hedging and stochastic control: beyond the Brownian setting
Bobrovnytska, O.; Schweizer, M.
Page(s): 396- 408
Digital Object Identifier 10.1109/TAC.2004.824468 Abstract
| Full Text: PDF (336 KB)
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Stochastic target hitting time and the problem of early retirement
Kang Boda; Filar, J.A.; Yuanlie Lin; Spanjers, L.
Page(s): 409- 419
Digital Object Identifier 10.1109/TAC.2004.824469 Abstract
| Full Text: PDF (360 KB)
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Risk-sensitive ICAPM with application to fixed-income management
Bielecki, T.R.; Pliska, S.R.
Page(s): 420- 432
Digital Object Identifier 10.1109/TAC.2004.824470 Abstract
| Full Text: PDF (328 KB)
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Remarks on the pricing of contingent claims under constraints
Bensoussan, A.
Page(s): 433- 441
Digital Object Identifier 10.1109/TAC.2004.824475 Abstract
| Full Text: PDF (240 KB)
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Portfolio optimization with Markov-modulated stock prices and interest rates
Bauerle, N.; Rieder, U.
Page(s): 442- 447
Digital Object Identifier 10.1109/TAC.2004.824471 Abstract
| Full Text: PDF (248 KB)
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Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation
Shu-Shang Zhu; Duan Li; Shou-Yang Wang
Page(s): 447- 457
Digital Object Identifier 10.1109/TAC.2004.824474 Abstract
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Risk-sensitive portfolio optimization with completely and partially observed factors
Stettner, L.
Page(s): 457- 464
Digital Object Identifier 10.1109/TAC.2004.824476 Abstract
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