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Abstract We revisit the dividend payment problem in the dual model of Avanzi et al. ([2–4]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short exposition in which weExpand
Liquidation in Limit Order Books with Controlled Intensity
A framework for solving optimal liquidation problems in limit order books is considered and it is shown that the discrete state problem and its optimal solution converge to the corresponding quantities in the continuous selling limit uniformly on compacts. Expand
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requiresExpand
On the One-Dimensional Optimal Switching Problem
The optimal switching problem for one-dimensional diffusions is solved by directly using the dynamic programming principle and the excessive characterization of the value function using the properties of concave functions. Expand
Minimizing the probability of lifetime ruin under borrowing constraints
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\itExpand
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for thisExpand
On Hedging American Options under Model Uncertainty
The duality of results for the sub- and super-hedging prices is obtained and a discretization of the path space is constructed and the convergence of the hedging prices at the optimal rate is demonstrated. Expand
Hedging life insurance with pure endowments
Abstract We extend the work of Milevsky et al., [Milevsky, M.A., Promislow, S.D., Young, V.R., 2005. Financial valuation of mortality risk via the instantaneous Sharpe ratio (preprint)] and Young,Expand
Stochastic Perron's method and verification without smoothness using viscosity comparison: The linear case
We introduce a stochastic version of the classical Perron’s method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method,Expand
Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations
We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of the so-called dynamicExpand