Fama defined an efficient market as one in which prices always “fully reflect” available
information. This paper formalizes this definition and provides various characterizations …

In this paper, we study a class of quadratic backward stochastic differential equations
(BSDEs), which arises naturally in the utility maximization problem with portfolio constraints …

In this paper we offer a systematic survey and comparison of the Esscher martingale
transform for linear processes, the Esscher martingale transform for exponential processes …

We consider a stochastic financial incomplete market where the price processes are
described by a vector-valued semimartingale that is possibly nonlocally bounded. We face …

This paper studies the problem of maximizing the expected utility of terminal wealth for a
financial agent with an unbounded random endowment, and with a utility function which …

Using duality methods, we prove several key properties of the indifference price π for
contingent claims. The underlying market model is very general and the mathematical …

We study the evolution of the Arrow–Pratt measure of risk-tolerance in the framework of
discrete-time predictable forward utility processes in a complete semimartingale financial …

In our previous paper “A unified approach to systemic risk measures via acceptance
sets”(Mathematical Finance, 2018), we have introduced a general class of systemic risk …

This paper investigates a utility maximization problem in a Black--Scholes market, in which
trading is subject to a convex cone constraint and the utility function is not necessarily …

We study utility indifference pricing of untradable assets in incomplete markets using a
symmetric asymptotic hyperbolic absolute risk aversion (SAHARA) utility function, both from …