Peter Lakner
Affiliations: | New York University, Graduate School of Business Administration |
Area:
Finance, MathematicsGoogle:
"Peter Lakner"Children
Sign in to add traineeAshay Kadam | grad student | 2002 | New York University, Graduate School of Business Administration |
Merrill A. Heddy | grad student | 2003 | New York University, Graduate School of Business Administration |
Lan Ma Nygren | grad student | 2003 | New York University, Graduate School of Business Administration |
Weijian Liang | grad student | 2008 | New York University, Graduate School of Business Administration |
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Publications
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Lakner P, Reed J, Zwart B. (2019) On the roughness of the paths of RBM in a wedge Annales De L Institut Henri Poincare-Probabilites Et Statistiques. 55: 1566-1598 |
Cadenillas A, Lakner P, Pinedo M. (2013) Optimal production management when demand depends on the business cycle Operations Research. 61: 1046-1062 |
Nygren LM, Lakner P. (2012) Partial Hedging Using Malliavin Calculus Journal of Mathematical Finance. 2012: 203-213 |
Cadenillas A, Lakner P, Pinedo M. (2010) Optimal control of a mean-reverting inventoryz Operations Research. 58: 1697-1710 |
Lakner P, Liang W. (2008) Optimal investment in a defaultable bond Mathematics and Financial Economics. 1: 283-310 |
Lakner P, Nygren LM. (2006) Portfolio optimization with downside constraints Mathematical Finance. 16: 283-299 |
Kadam A, Lakner P, Srinivasan A. (2005) Perpetual call options with non-tradability Optimal Control Applications and Methods. 26: 107-127 |
Jeanblanc M, Lakner P, Kadam A. (2004) Optimal bankruptcy time and consumption/investment policies on an infinite horizon with a continuous debt repayment until bankruptcy Mathematics of Operations Research. 29: 649-671 |
Frydman H, Lakner P. (2003) Maximum likelihood estimation of hidden Markov processes Annals of Applied Probability. 13: 1296-1312 |
Lakner P. (1998) Optimal trading strategy for an investor: The case of partial information Stochastic Processes and Their Applications. 76: 77-97 |