Voir la notice de l'article provenant de la source Math-Net.Ru
[1] Abramovits M., Stigan I. (red.), Spravochnik po spetsialnym funktsiyam s formulami, grafikami i matematicheskimi tablitsami, Nauka, M., 1979, 830 pp. | MR
[2] Boguslavsky M., Boguslavskaya E., “Arbitrage under power”, RISK, 2003, June, 69–77
[3] Brigo D., Mercurio F., Interest Rate Models —Theory and Practice: with Smile, Inflation and Credit, Springer, Berlin, 2006, 981 pp. | MR
[4] Chacko G., Viceira L., “Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets”, Rev. Financ. Stud., 18:4 (2005), 1369–1402 | DOI
[5] Cox J. C., Ingersoll J. E., Ross S. A., “A theory of the term structure of interest rates”, Econometrica, 53:2 (1985), 385–407 | DOI | MR | Zbl
[6] Fouque J.-P., Sircar R., Zariphopoulou T., “Portfolio optimization and stochastic volatility asymptotics”, Math. Finance (to appear) | DOI
[7] Heston S. L., “A closed-form solution for options with stochastic volatility with applications to bond and currency options”, Rev. Finan. Stud., 6:2 (1993), 327–343 | DOI
[8] Gatheral J., Taleb N., Volatility Surface. A Practioner's Guide, Wiley Finance, 2006, 208 pp.
[9] Gradshtein I. S., Ryzhik I. M., Tablitsy integralov, summ, ryadov i proizvedednii, Nauka, M., 1971, 1108 pp.
[10] Kabanov Yu., Safarian M., Market with Transaction Costs, Springer-Verlag, Mathematical Theory. Berlin, 2009 | MR
[11] Kraft H., “Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility”, Quantitative Finance, 5:3 (2005), 303–313 | DOI | MR | Zbl
[12] Merton R. C., “Optimum consumption and portfolio rules in a continuous-time model”, J. Econ. Theory, 3:4 (1971), 373–413 | DOI | MR | Zbl
[13] Merton R. C., Continuous-Time Finance, Blackwell, Cambridge, 1990, 732 pp.
[14] Obizhaeva A., Wang J., “Optimal trading strategy and supply/demand dynamics”, J. Financial Markets, 16:1 (2013), 1–32 | DOI
[15] Zariphopoulou T., “A solution approach to valuation with unhedgeable risks”, Finance Stoch., 5:1 (2001), 61–82 | DOI | MR | Zbl