According to our database1, Olaf Menkens authored at least 3 papers between 2005 and 2015.
Legend:Book In proceedings Article PhD thesis Other
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs.
SIAM J. Control and Optimization, 2015
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus.
Math. Meth. of OR, 2011
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach.
Math. Meth. of OR, 2005