ORF 557 Stochastic Analysis Seminar: Markets with Transaction
Costs
Publications and Preprints
M. Bichuch: Pricing a Contingent Claim
Liability Using Asymptotic Analysis for Optimal Investment in
Finite Time with Transaction Costs
Preprint (submitted), 2011 PDF,
arXiv
M. Bichuch, S.
Sturm: Portfolio Optimization Under Convex
Incentive Schemes
Preprint (submitted), 2011 PDF, arXiv, SSRN
M. Bichuch, S.
Shreve: Utility Maximization Trading Two
Futures with Transaction Costs
Preprint (submitted), 2011 PDF
M. Bichuch: Asymptotic Analysis for Optimal
Investment in Finite Time with Transaction Costs SIAM Journal on Financial
Mathematics, 3(1), 433–458 (2012) PDF, arXiv, Article
M. Bichuch: Asymptotic Analysis for Optimal
Investment with Transaction Costs in Finite Time with Two
Correlated Futures Contracts PhD Thesis Carnegie Mellon
University, 2010 under the supervision of Steven Shreve. PDF
