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Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate Darses S., Denis E. [hal-00467704 - version 1] (14/04/2010)

Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon. Blanchet-Scalliet C., Eyraud-Loisel A., Royer-Carenzi M. Le bulletin français d'actuariat 20, 10 (2010) http://www.institutdesactuaires.com/bfa/ [hal-00341431 - version 2]

An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems Under Stochastic Constraints Bonami P., Lejeune M. A. Operations Research 57 (2009) 650-670 [hal-00421756 - version 1]