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Agatha Murgoci
Agatha Murgoci
Aarhus BSS, Department of Economics and Business Economics
Verified email at econ.au.dk
Title
Cited by
Cited by
Year
Mean–variance portfolio optimization with state‐dependent risk aversion
T Björk, A Murgoci, XY Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014
4602014
A general theory of Markovian time inconsistent stochastic control problems
T Bjork, A Murgoci
Available at SSRN 1694759, 2010
3592010
On time-inconsistent stochastic control in continuous time
T Björk, M Khapko, A Murgoci
Finance and Stochastics 21, 331-360, 2017
2362017
A theory of Markovian time-inconsistent stochastic control in discrete time
T Björk, A Murgoci
Finance and Stochastics 18, 545-592, 2014
1822014
Financial sector linkages and the dynamics of bank and sovereign credit spreads
R Kallestrup, D Lando, A Murgoci
Journal of Empirical Finance 38, 374-393, 2016
1312016
Convexity Adjustments for ATS models
RM Gaspar, A Murgoci
ISEG Advance Working Paper, 2008
112008
Vulnerable derivatives and good deal bounds: a structural model
A Murgoci
Applied Mathematical Finance 20 (3), 246-263, 2013
10*2013
Time inconsistent stochastic control in continuous time: theory and examples
T Björk, M Khapko, A Murgoci
arXiv preprint arXiv:1612.03650, 2016
72016
Pricing counter-party risk using good deal bounds
A Murgoci
Available at SSRN 1096590, 2014
52014
Essays in Mathematical Finance
A Murgoci
Economic Research Institute, Stockholm School of Economics (EFI), 2009
2009
This text is intended as an introductory overview of stochastic calculus for marked point processes and jump diffusions with applications to filtering, stochastic control and …
MP Dziubinski, N van Foreest, M Hinnerich, J Kjaer, T Koski, M Khapko, ...
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