Found 114 Documents (Results 1–100)
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model. (English) Zbl 1533.91432
A market- and time-consistent extension for the EIOPA risk-margin. (English) Zbl 1534.91135
MSC:
91G05
Dynamic programming principle and computable prices in financial market models with transaction costs. (English) Zbl 1511.91145
Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield. (English) Zbl 1512.91135
MSC:
91G15
Stochastic integrals and two filtrations. (English) Zbl 1498.60187
Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités LI. Cham: Springer. Lect. Notes Math. 2301, 1-28 (2022).
Open markets. (English) Zbl 1522.91227
MSC:
91G10
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. (English) Zbl 1475.60098
A revised option pricing formula with the underlying being banned from short selling. (English) Zbl 1454.91289
MSC:
91G20
Structure conditions under progressively added information. (English. Russian original) Zbl 1452.91287
Theory Probab. Appl. 65, No. 3, 418-453 (2020); translation from Teor. Veroyatn. Primen. 65, No. 3, 538-582 (2020).
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives. (English) Zbl 1448.91293
Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences. (English) Zbl 1425.91218
A general class of distortion operators for pricing contingent claims with applications to CAT bonds. (English) Zbl 1422.91695
Time-consistent asymptotic exponential arbitrage with small probable maximum loss. (English) Zbl 1417.91464
MSC:
91G10
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. (English) Zbl 1411.91542
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. (English) Zbl 1411.91248
Pricing participating policies under the Meixner process and stochastic volatility. (English) Zbl 1402.91214
Endogenous current coupons. (English) Zbl 1422.91687
Unit-linked life insurance policies: optimal hedging in partially observable market models. (English) Zbl 1395.91247
Stability of the exponential utility maximization problem with respect to preferences. (English) Zbl 1377.91153
Reviewer: Tak Kuen Siu (Sydney)
Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application. (English) Zbl 1400.91597
MSC:
91G20
Pricing European options with stochastic volatility under the minimal entropy martingale measure. (English) Zbl 1408.91214
Benchmarked risk minimization. (English) Zbl 1386.91124
Reviewer: George Stoica (Saint John)
MSC:
91G10
Separation results for multi-product inventory hedging problems. (English) Zbl 1336.90012
MSC:
90B05
Robustness of quadratic hedging strategies in finance via Fourier transforms. (English) Zbl 1331.91174
A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility. (English) Zbl 1348.60097
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (English) Zbl 1308.91077
Analytical pricing of vulnerable options under a generalized jump-diffusion model. (English) Zbl 1308.91161
An \(f\)-divergence approach for optimal portfolios in exponential Lévy models. (English) Zbl 1418.91455
Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 83-101 (2014).
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. (English) Zbl 1298.91096
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. (English) Zbl 1314.60090
Variance optimal hedging for continuous time additive processes and applications. (English) Zbl 1306.60047
Local risk-minimization under the benchmark approach. (English) Zbl 1308.91157
Reviewer: Alexander Szimayer (Hamburg)
MSC:
91G20
Time-consistent and market-consistent evaluations. (English) Zbl 1303.91095
Reviewer: Tamás Mátrai (Budapest)
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. (English) Zbl 1298.91163
Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. (English) Zbl 1290.91179
A note on asymptotic exponential arbitrage with exponentially decaying failure probability. (English) Zbl 1286.91124
Reviewer: Anatoliy Swishchuk (Calgary)
Diffusion-based models for financial markets without martingale measures. (English) Zbl 1306.91125
Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 45-81 (2013).
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. (English) Zbl 1288.60058
Reviewer: Antonis Papapantoleon (Berlin)
Time-consistent mean-variance portfolio selection in discrete and continuous time. (English) Zbl 1263.91046
Reviewer: Anatoliy Swishchuk (Calgary)
Minimal martingale measure on a finite probability space. (English. Ukrainian original) Zbl 1273.91195
Theory Probab. Math. Stat. 84, 33-42 (2012); translation from Teor. Jmovirn. Mat. Stat. 84, 34-42 (2011).
Mean-variance hedging via stochastic control and BSDEs for general semimartingales. (English) Zbl 1273.60053
Reviewer: Klaus Schürger (Bonn)
Local risk-minimization for defaultable claims with recovery process. (English) Zbl 1244.93152
MSC:
93E03
91B30
Optimal martingale measures for defaultable assets. (English) Zbl 1258.91209
Reviewer: Anatoliy Swishchuk (Calgary)
Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks. (English) Zbl 1241.91129
MSC:
91G60
Risk aversion asymptotics for power utility maximization. (English) Zbl 1242.91224
Reviewer: Christos E. Kountzakis (Karlovassi)
The Bellman equation for power utility maximization with semimartingales. (English) Zbl 1239.91165
Reviewer: Anatoliy Swishchuk (Calgary)
Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts. (English) Zbl 1235.91104
MSC:
91B30
On the stability of prices of contingent claims in incomplete models under statistical estimations. (English) Zbl 1246.91139
Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VI. Centro Stefano Franscini, Ascona, Italy, May 19–23, 2008. Basel: Birkhäuser (ISBN 978-3-0348-0020-4/pbk; 978-3-0348-0021-1/ebook). Progress in Probability 63, 453-471 (2011).
The opportunity process for optimal consumption and investment with power utility. (English) Zbl 1255.91452
Indifference valuation in incomplete binomial models. (English) Zbl 1204.91137
Reviewer: Piotr Jaworski (Warszawa)
Application of Moore-Penrose inverse in deciding the minimal martingale measure. (English) Zbl 1213.91176
Reviewer: Yuliya S. Mishura (Kyïv)
The Föllmer-Schweizer decomposition: comparison and description. (English) Zbl 1196.60077
Reviewer: Thomas Wakefield (Youngstown)
MSC:
60G46
Risk-neutral measures and pricing for a pure jump price process. (English) Zbl 1186.91239
Reviewer: Krzysztof Piasecki (Poznań)
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints. (English) Zbl 1188.91203
Reviewer: Klaus Schürger (Bonn)
Minimal martingale measure: pricing and hedging in a pure jump model under restricted information. (English) Zbl 1238.91132
Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 71, No. 12, e-Suppl., e1771-e1787 (2009).
Local risk minimization for defaultable markets. (English) Zbl 1185.91092
Reviewer: Pavel Stoynov (Sofia)
Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure. (English) Zbl 1161.60317
Minimal Hellinger martingale measures of order \(q\). (English) Zbl 1164.60035
Reviewer: N. M. Zinchenko (Kyïv)
A discrete-time model for reinvestment risk in bond markets. (English) Zbl 1158.62072
MSC:
62P05
91B28
The structure of optimal consumption streams in general incomplete markets. (English) Zbl 1204.91064
Sharpe ratio maximation and expected utility when asset prices have jumps. (English) Zbl 1141.91429
MSC:
91G10
Quadratic hedging methods for defaultable claims. (English) Zbl 1142.91028
Reviewer: Giovanni Puccetti (Firenze)
Minimal \(f^q\)-Martingale measures for exponential Lévy processes. (English) Zbl 1140.60026
Reviewer: Yuliya S. Mishura (Kyïv)
Stability of utility-maximization in incomplete markets. (English) Zbl 1132.91427
MSC:
91B16
91B28
On convergence to the exponential utility problem. (English) Zbl 1221.91027
Reviewer: Yuliya S. Mishura (Kyïv)
The mean-variance hedging of a defaultable option with partial information. (English) Zbl 1132.91468
On the structure of general mean-variance hedging strategies. (English) Zbl 1124.91028
Reviewer: Yuliya S. Mishura (Kyïv)
Valuation of equity-linked insurance and annuity products with binomial models. (English) Zbl 1480.91204
Valuation and hedging of life insurance liabilities with systematic mortality risk. (English) Zbl 1201.91089
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