Peter Grandits

On the minimal entropy martingale measure

Peter Grandits, Thorsten Rheinländer · The Annals of Probability · 2002 · 129 citations · Full text

Measure Theory, Engineering, Entropy +5

Asymptotic ruin probabilities and optimal investment

Johanna Gaier, Peter Grandits, Walter Schachermayer · The Annals of Applied Probability · 2003 · 101 citations · Full text

Economics, Computational Finance, Asset Pricing +13

The p-Optimal Martingale Measure and Its Asymptotic Relation with the Minimal-Entropy Martingale Measure

Peter Grandits · Bernoulli · 1999 · 41 citations

Engineering, New Measure, Asymptotic Relation +17

Ruin probabilities in the presence of regularly varying tails and optimal investment

Johanna Gaier, Peter Grandits · Insurance Mathematics and Economics · 2002 · 41 citations

Economics, Ruin Probabilities, Regularly Varying Tails +9

Ruin probabilities and investment under interest force in the presence of regularly varying tails

Johanna Gaier, Peter Grandits · Scandinavian Actuarial Journal · 2004 · 36 citations