Essays about: "Ivan Yamshchikov"

Found 1 essay containing the words Ivan Yamshchikov.

  1. 1. Liquidity and optimal consumption with random income

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Dmitry Zhelezov; Ivan Yamshchikov; [2011]
    Keywords : Financial Mathematics; HJB equation; liquidity; optimal consumption; random income;

    Abstract : In the first part of our work we focus on the model of the optimal consumption with a random income. We provide the three dimensional equation for this model, demonstrate the reduction to the two dimensional case and provide for two different utility functions the full point-symmetries' analysis of the equations. READ MORE