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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
StatisticsProbability
2011English

SDE Solutions in the Space of Smooth Random Variables

Communications on Stochastic Analysis
StatisticsProbability
2012English

A Bayes Formula for Nonlinear Filtering With Gaussian and Cox Noise

Journal of Probability and Statistics
StatisticsProbability
2011English

Pricing of Margrabe Options for Large Investors With Application to Asset-Liability Management in Life Insurance

Journal of Mathematical Finance
2014English

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

Mathematical Finance
FinanceApplied MathematicsEconomicsEconometricsAccountingSocial Sciences
2003English

On the Existence and Explicit Representability of Strong Solutions of Lévy Noise Driven SDE's With Irregular Coefficients

Communications in Mathematical Sciences
MathematicsApplied Mathematics
2006English

A Maximum Principle Approach to Risk Indifference Pricing With Partial Information

Journal of Applied Mathematics and Stochastic Analysis
2008English

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