Issue 2/2022
Content (7 Articles)
Machine learning with kernels for portfolio valuation and risk management
Lotfi Boudabsa, Damir Filipović
Open Access
An analytical study of participating policies with minimum rate guarantee and surrender option
Maria B. Chiarolla, Tiziano De Angelis, Gabriele Stabile
Optimal consumption with reference to past spending maximum
Shuoqing Deng, Xun Li, Huyên Pham, Xiang Yu
Dynamic mean–variance problem with frictions
Alain Bensoussan, Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
Yu-Jui Huang, Zhou Zhou
A scaling limit for utility indifference prices in the discretised Bachelier model
Asaf Cohen, Yan Dolinsky