Peter Grandits
Economics and Econometrics · 2002–2003
A researcher in the Science corpus: 3 papers; trusts 2 researchers and is trusted by 12 researchers here, as inferred from the citation graph.
Subfields
- Economics and Econometrics — 8 citations into it; #11,501 of 23,481 by trust here, #6,966 by citations
- Finance — 7 citations into it; #2,829 of 10,518 by trust here, #1,924 by citations
- Management Science and Operations Research — 5 citations into it; #5,126 of 11,946 by trust here, #1,867 by citations
Whom Peter Grandits trusts overall
Their strongest outbound trust, strongest first, inferred from their citations.
Who trusts Peter Grandits overall
- Martin Schweizer
- Vicky Henderson
- Dirk Becherer
- Jan Kallsen
- Ana-Maria Matache
- Friedrich Hubalek
- Marco Frittelli
- Mark P. Owen
- Tahir Choulli
- Christophe Stricker
Papers from Peter Grandits's perspective
Ordered by how strongly the researchers Peter Grandits trusts endorse each paper. Same corpus, a different order for every researcher.
- On the Existence of Minimax Martingale Measures
- Optimal investment in incomplete markets when wealth may become negative
- Pricing Via Utility Maximization and Entropy
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Ruin probabilities (Advanced Series on Statistical Science & Applied Probability)
- Power tailed ruin probabilities in the presence of risky investments
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Coherent multiperiod risk adjusted values and Bellman’s principle (Annals of Operations Research)
- Convex measures of risk and trading constraints (Finance and Stochastics)
- Pricing and hedging in incomplete markets
Their papers
- Exponential Hedging and Entropic Penalties (2002) — 425 citations
- Asymptotic ruin probabilities and optimal investment (2003) — 112 citations
- On the minimal entropy martingale measure (2002) — 80 citations