Group for Research in Decision Analysis


Chantal Labbé


A simple discretization scheme for nonnegative diffusion processes with applications to option pricing
, , and
Journal of Computational Finance, 15, 3–35, 2012 BibTeX reference
The Gerber-Shiu function and the generalized Cramér-Lundberg model
, , and
Applied Mathematics and Computation, 218, 3035–3056, 2011 BibTeX reference
Conjugate duality in problems of constrained utility maximization
Stochastics, 81, 545–565, 2009 BibTeX reference
The expected discounted penalty function under a risk model with stochastic income
Applied Mathematics and Computation, 215, 1852–1867, 2009 BibTeX reference
Convex duality in constrained mean-variance portfolio optimization
Advances in Applied Probability, 39(1), 77–104, 2007 BibTeX reference