The Library
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Number of items: 15.
2017
Henderson, Vicky, Hobson, David G. and Tse, A.. (2017) Randomized strategies and prospect theory in a dynamic context. Journal of Economic Theory, 168 . pp. 287-300. ISSN 0022-0531
2015
Henderson, Vicky and Liang, Gechun. (2015) A multidimensional exponential utility indifference pricing model with applications to counterparty risk. SIAM Journal on Control and Optimization, 54 (2). pp. 690-717. ISSN 0363-0129
2014
Cvitanić, Jakša, Henderson, Vicky and Lazrak, Ali. (2014) On managerial risk-taking incentives when compensation may be hedged against. Mathematics and Financial Economics, Volume 8 (Number 4). pp. 453-471. ISSN 1862-9679
Henderson, Vicky and Liang, Gechun. (2014) Pseudo linear pricing rule for utility indifference valuation. Finance and Stochastics, Volume 18 (Number 3). pp. 593-615. ISSN 0949-2984
Henderson, Vicky, Sun, Jia and Whalley, A. Elizabeth. (2014) Portfolios of American options under general preferences : results and counterexamples. Mathematical Finance, Volume 24 (Number 3). pp. 533-566. ISSN 0960-1627
2013
Henderson, Vicky and Hobson, David (David G.). (2013) Risk aversion, indivisible timing options and gambling. Operations Research, Volume 61 (Number 1). p. 126. ISSN 0030-364X
2012
Henderson, Vicky. (2012) Prospect theory, liquidation, and the disposition effect. Management Science, Vol.58 (No.2). pp. 445-460. ISSN 0025-1909
2010
Henderson, Vicky. (2010) Is corporate control effective when managers face investment timing decisions in incomplete markets? Journal of Economic Dynamics and Control, Vol.34 (No.6). pp. 1062-1076. ISSN 0165-1889
Henderson, Vicky and Hobson, David (David G.). (2010) Optimal liquidation of derivative portfolios. Mathematical Finance, Volume 21 (Number 3). pp. 365-382. ISSN 0960-1627
2009
Grasselli, Matheus and Henderson, Vicky. (2009) Risk aversion and block exercise of executive stock options. Journal of Economic Dynamics and Control, Vol.33 (No.1). pp. 109-127. ISSN 0165-1889
Henderson, Vicky and Hobson, David (David G.) (2009) Utility indifference pricing : an overview. In: Carmona, R. (Rene), (ed.) Indifference Pricing : Theory and Applications. Princeton : Princeton University Press, pp. 44-74. ISBN 9781400833115
2008
Evans, J. (Jonathan), Henderson, Vicky and Hobson, David (David G.). (2008) Optimal timing for an indivisible asset sale. Mathematical Finance, Vol.18 (No.4, Sp. Iss. SI). pp. 545-567. ISSN 0960-1627
Henderson, Vicky and Hobson, David (David G.). (2008) An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Annals of Applied Probability, Vol.18 (No.5). pp. 1681-1705. ISSN 1050-5164
Henderson, Vicky and Hobson, David (David G.). (2008) Perpetual American options in incomplete markets : the infinitely divisible case. Quantitive Finance, Vol.8 (No.5). pp. 461-469. ISSN 1469-7688
2007
Henderson, Vicky and Hobson, David (David G.) (2007) Horizon-unbiased utility functions. In: 3rd Cornell, Columbia, Carnegie-Mellon, Princeton Conference on Mathematical Finance (CCCP), New York, NY, 28-29 Apr 2006. Published in: Stochastic Processes and their Applications, Vol.117 (No.11). pp. 1621-1641.
This list was generated on Tue Jun 13 17:18:10 2017 BST.