References
- Ben Amor , J. and Trad , A. 2001 . “ Pricing with utility function ” . In Proceedings, International Finance Conference in Hammam-Sousse, Port el Kantaoui, Tunisia Financial Markets, Risk Management and Corporate Governance
- Davis , M.H.A. 1997 . “ Option pricing in incomplete markets ” . In Mathematics of Derivative Securities , 216 – 226 . Cambridge : Publications of the Newton Institute, Cambridge University Press .
- Debreu , G. 1989 . Mathematical Economics: Twenty Papers of Gerard Debreu Economic Society Monographs (reprinted)
- Delbaen , F. and Schachermayer , W. 1997 . The Banach space of workable contingent claims in Arbitrage theory . Ann. Inst. Henri Poincaré , 33 ( 1 ) : 113 – 144 .
- Ekeland , I. 1979 . Éléments d'Economie Mathématique , Paris : Henmann .
- Ekeland , I. 1990 . Convexity Methods in Hamiltonian Mecanics , New York, NY : Springer-Verlag .
- Ekeland , I. and Temam , R. 1974 . Analyse Convexe et Problèmes Variationnels , Paris : Dunod, Gauthier–Villars .
- Foldes , L. 1990 . Conditions for optimality in the infinite horizon portfolio-cum-savings problem with semi-martingale investments . Stoch. Stoch. Rep. , 29 : 133 – 171 .
- Foldes , L. 2000 . Valuation and martingale properties of shadow prices: An exposition . J. Econ. Dyn. Control , 24 : 1641 – 1701 .
- Fôllmer , H. and Kabanov , Y. 1998 . On the optional decomposition theorem and the Lagrange multipliers . Finance Stoch. , 2 ( 1 ) : 69 – 81 .
- Fôllmer , H. and Kramkov , D.O. 1997 . Optional decompositions under constraints . Probab. Theory Relat. Fields , 109 : 1 – 25 .
- Harrison , M. and Pliska , S. 1981 . Martingales and stochastic integrals in the theory of continuous trading . Stoch. Process Appl , 11 : 215 – 260 .
- Hugonnier , J. , Kramkov , D. and Schachermyer , W. 2005 . “ On the utility based pricing of contingent claims in incomplete markets ” . In Math. Finance Vol. 15 , 203 – 212 . 2
- Karatzas , I. and Kou , S.G. 1996 . On the pricing of contingent claims under constraints . Ann. Appl. Probab. , 6 : 321 – 369 .
- Kramkov , D.O. 1996 . Optional decomposition of supermartingales and Hedging in incomplete security markets . Probab. Theory Relat. Fields , 105 ( 4 ) : 459 – 479 .
- Luemberger , D.G. 1969 . Optimisation by Vector Space Methods , New York : Wiley .
- Monat , P. and Stricker , C. 1995 . Fôllmer–Schweizer decomposition and mean-variance hedging of general claims . Ann. Probab. , 23 : 605 – 628 .
- Pham , H. 1998 . Méthodes d'Evaluation et Couverture d'Options en Marchés Incomplet ENSAE, Option Formation pour la Recherche
- Protter , Ph. 1990 . Stochastic Integration and Differential Equations, a New Approach , Berlin, Heidelberg, New York : Springer-Verlag .
- Revuz , D. and Yor , M. 1991 . Continuous Martingales and Brownian Motion , Berlin, Heidelberg, New York : Springer-Verlag .
- Schachermayer , W. 2000 . “ Optimal investment in incomplete financial markets ” . In Mathematic Finance – Bachelier Congress 427 – 462 .
- Sir Hicks , J.R. 1986 . A Revision of Demand Theory , Oxford : Oxford University Press . (First Edition 1956)