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We study a financial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on the borrowing and short-selling of a 'hedger' in this market, and can be described by a closed convex set K. We find explicit characterizations of the minimal price needed to(More)
This paper studies the problem of a company that adjusts its stochastic production capacity in reversible investments by purchasing capital at a given price and selling capital at a lower price. The company may also decide on the activation time of its production. The profit production function is of a very general form satisfying minimal standard(More)
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who continuously submits limit buy/sell orders at best bid/ask(More)
We consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion and Poisson random measure, and subject to constraints on the jump component. We prove the existence and uniqueness of the minimal solution for the BSDEs by using a penalization approach. Moreover, we show that under mild conditions the minimal solutions to(More)
Optimal consumption in discrete time financial models with industrial investment opportunities and non-linear returns Abstract We consider a general discrete time financial market with proportional transaction costs as in [7] an [12]. In addition to the usual investment in financial assets, we assume that the agents can invest part of their wealth in(More)
We derive the partial integro-differential equations (PIDEs) verified by the values of European and barrier options in exponential Lévy models. We discuss the conditions under which options prices are classical solutions of the PIDEs. Since these conditions may fail in general, we consider the notion of continuous viscosity solution. We give sufficient(More)
Short-term starvation prior to chemotherapy administration protects mice against toxicity. We undertook dose-escalation of fasting prior to platinum-based chemotherapy to determine safety and feasibility in cancer patients. 3 cohorts fasted before chemotherapy for 24, 48 and 72 h (divided as 48 pre-chemo and 24 post-chemo) and recorded all calories(More)