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Publications by Frank Proske
Risk Indifference Pricing of Functional Claims of the Yield Surface in the Presence of Partial Information
Communications on Stochastic Analysis
Statistics
Probability
SDE Solutions in the Space of Smooth Random Variables
Communications on Stochastic Analysis
Statistics
Probability
A Bayes Formula for Nonlinear Filtering With Gaussian and Cox Noise
Journal of Probability and Statistics
Statistics
Probability
Pricing of Margrabe Options for Large Investors With Application to Asset-Liability Management in Life Insurance
Journal of Mathematical Finance
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
Mathematical Finance
Finance
Applied Mathematics
Economics
Econometrics
Accounting
Social Sciences
On the Existence and Explicit Representability of Strong Solutions of Lévy Noise Driven SDE's With Irregular Coefficients
Communications in Mathematical Sciences
Mathematics
Applied Mathematics
A Maximum Principle Approach to Risk Indifference Pricing With Partial Information
Journal of Applied Mathematics and Stochastic Analysis