publications

publications by categories in reversed chronological order. generated by jekyll-scholar.

2019

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    On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist
    Simon Ellersgaard
    Computational Economics, 2019
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2018

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    Stochastic volatility for utility maximizers — A martingale approach
    Simon Ellersgaard, and Martin Tegnér
    International Journal of Financial Engineering, 2018
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2017

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    The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments
    Simon Ellersgaard, Martin Jönsson, and Rolf Poulsen
    Quantitative Finance, 2017
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    Optimal Hedge Tracking Portfolios in a Limit Order Book
    Simon Ellersgaard, and Martin Tegnér
    Market Microstructure and Liquidity, 2017
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