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Journal Articles
- 2024
[j10]Kossi Gnameho, Mitja Stadje, Antoon Pelsser
:
A gradient method for high-dimensional BSDEs. Monte Carlo Methods Appl. 30(2): 183-203 (2024)- 2023
- [j9]Frank Bosserhoff, Mitja Stadje:
Robustness of Delta Hedging in a Jump-Diffusion Model. SIAM J. Financial Math. 14(2): 663-703 (2023) - 2020
- [j8]Mitja Stadje:
Two results on dynamic extensions of deviation measures. J. Appl. Probab. 57(2): 531-540 (2020) - [j7]Thai Nguyen, Mitja Stadje:
Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts. SIAM J. Control. Optim. 58(2): 895-936 (2020) - 2018
- [j6]Masaaki Fukasawa, Mitja Stadje:
Perfect hedging under endogenous permanent market impacts. Finance Stochastics 22(2): 417-442 (2018) - [j5]An Chen, Thai Nguyen, Mitja Stadje:
Risk management with multiple VaR constraints. Math. Methods Oper. Res. 88(2): 297-337 (2018) - [j4]Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje:
Optimal Stopping Under Uncertainty in Drift and Jump Intensity. Math. Oper. Res. 43(4): 1177-1209 (2018) - 2017
- [j3]Delip Madan, Martijn Pistorius, Mitja Stadje:
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Finance Stochastics 21(4): 1073-1102 (2017) - 2014
- [j2]Roger J. A. Laeven, Mitja Stadje:
Robust Portfolio Choice and Indifference Valuation. Math. Oper. Res. 39(4): 1109-1141 (2014) - 2013
- [j1]Roger J. A. Laeven, Mitja Stadje:
Entropy Coherent and Entropy Convex Measures of Risk. Math. Oper. Res. 38(2): 265-293 (2013)
Coauthor Index
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