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1

Exponential Hedging and Entropic Penalties

Freddy Delbaen, Peter Grandits, Thorsten Rheinländer, Dominick Samperi, Martin Schweizer, Christophe Stricker

Journal:

Mathematical Finance

Year:

2002

Language:

english

File:

PDF, 228 KB

english, 2002

2

On the Minimal Entropy Martingale Measure

Peter Grandits and Thorsten Rheinländer

Journal:

The Annals of Probability

Year:

2002

Language:

english

File:

PDF, 2.48 MB

english, 2002

3

Some notes on Sonine–Gegenbauer integrals

Grandits, Peter

Journal:

Integral Transforms and Special Functions

Year:

2019

Language:

english

File:

PDF, 1.10 MB

english, 2019

4

ON THE IMPACT OF HIDDEN TRENDS FOR A COMPOUND POISSON MODEL WITH PARETO-TYPE CLAIMS

GRANDITS, PETER, KAINHOFER, REINHOLD, TEMNOV, GRIGORY

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 308 KB

english, 2010

5

Optimal Control and the Value of Information for a Stochastic Epidemiological SIS-Model

Grandits, Peter, Kovacevic, Raimund M., Veliov, Vladimir M.

Journal:

Journal of Mathematical Analysis and Applications

Year:

2019

Language:

english

File:

PDF, 565 KB

english, 2019

6

Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE

Grandits, Peter

Journal:

SIAM Journal on Applied Mathematics

Year:

2001

Language:

english

File:

PDF, 231 KB

english, 2001

7

The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure

Journal:

Year:

1999

Language:

english

File:

PDF, 1.62 MB

english, 1999

8

Leland's Approach to Option Pricing: The Evolution of a Discontinuity

Peter Grandits, Werner Schachinger

Journal:

Mathematical Finance

Year:

2001

Language:

english

File:

PDF, 149 KB

english, 2001

9

A two-dimensional dividend problem for collaborating companies and an optimal stopping problem

Grandits, Peter

Journal:

Scandinavian Actuarial Journal

Year:

2019

Language:

english

File:

PDF, 1.58 MB

english, 2019

10

Frequent Hedging under Transaction Costs and a Nonlinear Fokker-Planck PDE

Journal:

SIAM Journal on Applied Mathematics

Year:

2001

Language:

english

File:

PDF, 1.94 MB

english, 2001

11

TOWARDS A CLASSIFICATION OF FINITE FIELD THEORIES

GRANDITS, PETER

Journal:

Modern Physics Letters A

Year:

1994

Language:

english

File:

PDF, 449 KB

english, 1994

12

Optimal Consumption Under Deterministic Income

Julia Eisenberg, Peter Grandits…

Journal:

Journal of Optimization Theory and Applications

Year:

2014

Language:

english

File:

PDF, 1.08 MB

english, 2014

13

Prognostic Associations of Minnesota Code Serial Electrocardiographic Change Classification With Coronary Heart Disease Mortality in the Multiple Risk Factor Intervention Trial

Richard S Crow, MD, Ronald J Prineas, MD, PhD, Peter J Hannan, MSTAT, Greg Grandits, MS, Henry Blackburn, MD

Journal:

The American Journal of Cardiology

Year:

1997

Language:

english

File:

PDF, 186 KB

english, 1997

14

Is the echocardiogram an appropriate ECG validity standard for the detection and change in left ventricular size?

Richard S. Crow, Peter Hannan, Greg Grandits, Philip Liebson

Journal:

Journal of Electrocardiology

Year:

1996

Language:

english

File:

PDF, 727 KB

english, 1996

15

Prognostic value of heart rate adjustment of exercise-induced ST segment depression in the multiple risk factor intervention trial

Peter M. Okin, Greg Grandits, Pentti M. Rautaharju, Ronald J. Prineas, Jerome D. Cohen, Richard S. Crow, Paul Kligfield

Journal:

Journal of the American College of Cardiology

Year:

1996

Language:

english

File:

PDF, 804 KB

english, 1996

16

On the gain of collaboration in a two dimensional ruin problem

Grandits, Peter

Journal:

European Actuarial Journal

Year:

2019

Language:

english

File:

PDF, 915 KB

english, 2019

17

An Analogue of the Cramér–Lundberg Approximation in the Optimal Investment Case

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 193 KB

english, 2004

18

Optimal Consumption Until Ruin for an Endowment Described by an Autonomous ODE for an Infinite Time Horizon

Grandits, Peter

Journal:

Mathematics of Operations Research

Year:

2016

Language:

english

File:

PDF, 288 KB

english, 2016

19

Risk averse asymptotics in a Black–Scholes market on a finite time horizon

Peter Grandits, Stefan Thonhauser

Journal:

Mathematical Methods of Operations Research

Year:

2011

Language:

english

File:

PDF, 238 KB

english, 2011

20

A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation

Peter Grandits, Grigory Temnov

Journal:

Finance and Stochastics

Year:

2010

Language:

english

File:

PDF, 563 KB

english, 2010

21

Optimal expected exponential utility of dividend payments in a Brownian risk model

Grandits, Peter, Hubalek, Friedrich, Schachermayer, Walter, Žigo, Mislav

Journal:

Scandinavian Actuarial Journal

Year:

2007

Language:

english

File:

PDF, 345 KB

english, 2007

22

Existence and Asymptotic Behavior of an Optimal Barrier for an Optimal Consumption Problem in a Brownian Model with Absorption and Finite Time Horizon

Grandits, Peter

Journal:

Applied Mathematics & Optimization

Year:

2014

Language:

english

File:

PDF, 1.08 MB

english, 2014

23

ON NON-SUPERSYMMETRIC FINITE QUANTUM FIELD THEORIES

GRANDITS, PETER

Journal:

International Journal of Modern Physics A

Year:

1995

Language:

english

File:

PDF, 739 KB

english, 1995

24

A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market

Journal:

Insurance: Mathematics and Economics

Year:

2004

Language:

english

File:

PDF, 100 KB

english, 2004

25

Ruin probabilities in the presence of regularly varying tails and optimal investment

Johanna Gaier, Peter Grandits

Journal:

Insurance: Mathematics and Economics

Year:

2002

Language:

english

File:

PDF, 91 KB

english, 2002

26

Factors in the choice of beta-blocker vs. diuretic for initial treatment of hypertension in convince

Henry R. Black, William J. Elliott, Gregory Grandits, Patricia Grambsch, James D. Neaton, Peter Sleight, William B. White, Alberto Zanchetti, Robert J. Anders

Journal:

American Journal of Hypertension

Year:

2004

Language:

english

File:

PDF, 38 KB

english, 2004

27

Minimal ruin probabilities and investment under interest force for a class of subexponential distributions

Grandits, Peter

Journal:

Scandinavian Actuarial Journal

Year:

2005

Language:

english

File:

PDF, 183 KB

english, 2005

28

A mixed bvp for flow in strongly anisotropic media

Grandits, Peter, Schmeiser, Christian

Journal:

Applicable Analysis

Year:

1990

Language:

english

File:

PDF, 456 KB

english, 1990

29

NO-GO THEOREMS FOR NONSUPERSYMMETRIC FINITE QUANTUM FIELD THEORIES

GRANDITS, PETER

Journal:

Modern Physics Letters A

Year:

1994

Language:

english

File:

PDF, 400 KB

english, 1994

30

Predictors of blood pressure control in the convince trial

Henry R. Black, William J. Elliott, Gregory Grandits, Patricia Grambsch, James D. Neaton, Peter Sleight, William B. White, Alberto Zanchetti, Robert J. Anders

Journal:

American Journal of Hypertension

Year:

2004

Language:

english

File:

PDF, 37 KB

english, 2004

31

Outcomes with physician's choice of initial drug in convince

Henry R. Black, William J. Elliott, Gregory Grandits, Patricia Grambsch, James D. Neaton, Peter Sleight, William B. White, Alberto Zanchetti, Robert J. Anders

Journal:

American Journal of Hypertension

Year:

2004

Language:

english

File:

PDF, 48 KB

english, 2004

32

Optimal Consumption in a Brownian Model with Absorption and Finite Time Horizon

Grandits, Peter

Journal:

Applied Mathematics & Optimization

Year:

2013

Language:

english

File:

PDF, 1.19 MB

english, 2013

33

Embedding in Brownian motion with drift and the Azéma–Yor construction

Peter Grandits, Neil Falkner

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 79 KB

english, 2000

34

Rationale and Design for the Controlled ONset Verapamil INvestigation of Cardiovascular Endpoints (CONVINCE) Trial

Henry R. Black, William J. Elliott, James D. Neaton, Gregory Grandits, Patricia Grambsch, Richard H. Grimm Jr., Lennart Hansson, Yves Lacoucière, James Muller, Peter Sleight, Michael A. Weber, William

Journal:

Controlled Clinical Trials

Year:

1998

Language:

english

File:

PDF, 283 KB

english, 1998

35

Results of the Controlled ONset Verapamil INvestigation of Cardiovascular Endpoints (CONVINCE) trial by geographical region

Black, Henry R, Elliott, William J, Grandits, Gregory, Grambsch, Patricia, Lucente, Tracy, Neaton, James D, Grimm, Richard H, Hansson, Lennart, Lacourcière, Yves, Muller, James E, Sleight, Peter, Webe

Journal:

Journal of Hypertension

Year:

2005

Language:

english

File:

PDF, 175 KB

english, 2005

36

An optimal consumption problem in finite time with a constraint on the ruin probability

Grandits, Peter

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.92 MB

english, 2015

37

Ligand Desolvation steers on-rate and impacts Drug Residence Time of Heat shock protein 90 (Hsp90) Inhibitors

Schuetz, Doris Alexandra, Richter, Lars, amaral, marta, Grandits, Melanie, Graedler, Ulrich, Musil, Djordje, Buchstaller, Hans-Peter, Eggenweiler, Hans-Michael, Frech, Matthias, Ecker, Gerhard F.

Journal:

Journal of Medicinal Chemistry

Year:

2018

Language:

english

File:

PDF, 1.78 MB

english, 2018

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