Found 3,949 Documents (Results 1–100)
Improved robust price bounds for multi-asset derivatives under market-implied dependence information. (English) Zbl 07927017
A novel portfolio optimization method and its application to the hedging problem. (English) Zbl 07922094
Information-based approach: pricing of a credit risky asset in the presence of default time. (English) Zbl 07920277
Precautionary risk-reduction and saving decisions: two sides of the same coin? (English) Zbl 07915306
Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory. (English) Zbl 07906336
Correction to: “International capital asset pricing model: the case of asymmetric information and short-sale”. (English) Zbl 07905504
Are minimum variance portfolios in multi-factor models long in low-beta assets? (English) Zbl 07903128
Decision-making under risk: when is utility-maximization equivalent to risk-minimization? (English) Zbl 1542.91410
Cross-section without factors: a string model for expected returns. (English) Zbl 07900974
MSC:
91G30
A study on asset price bubble dynamics: explosive trend or quadratic variation? (English) Zbl 1542.91407
MSC:
91G30
Asset pricing and hedging in financial markets with fixed and proportional transaction costs. (English) Zbl 1542.91406
Robust bond portfolio construction via convex-concave saddle point optimization. (English) Zbl 07891540
Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space. (English) Zbl 07890794
The impact of a winner takes all tournament on managers’ strategies and asset mispricing. (English) Zbl 07890793
A conditional version of the second fundamental theorem of asset pricing in discrete time. (English) Zbl 07889734
Modified least squares estimators for Ornstein-Uhlenbeck processes from low-frequency observations. (English) Zbl 07888243
A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM-MVA. (English) Zbl 07885176
Machine learning for asset management and pricing. (English) Zbl 07883913
Other Titles in Applied Mathematics 195. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-1-61197-789-9/pbk; 978-1-61197-790-5/ebook). xxiii, 242 p. (2024).
Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (English) Zbl 1542.91397
Regularized GMM for time-varying models with applications to asset pricing. (English) Zbl 07880904
MSC:
91G30
Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence. (English) Zbl 1540.91080
Forecasting of crude oil prices using wavelet decomposition based denoising with ARMA model. (English) Zbl 1542.91408
Entropy augmented asset pricing model: study on Indian stock market. (English) Zbl 1542.91382
MSC:
91G15
A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (English) Zbl 07866640
Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach. (English) Zbl 1542.91340
Reviewer: Emilia Di Lorenzo (Napoli)
A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S&P500 returns and options. (English) Zbl 07865843
MSC:
90Bxx
Computation and simulation for finance. An introduction with Python. (English) Zbl 07863730
Springer Undergraduate Texts in Mathematics and Technology. Cham: Springer (ISBN 978-3-031-60574-1/hbk; 978-3-031-60577-2/pbk; 978-3-031-60575-8/ebook). (2024).
Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate. (English) Zbl 07860045
Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates. (English) Zbl 1537.91250
Seasonality in commodity prices: new approaches for pricing plain vanilla options. (English) Zbl 1539.91129
ARIMA models for Kijang Emas price forecasting: pre- and post-COVID analysis. (English) Zbl 1537.91336
MSC:
91G30
Financial uncertainty and interest rate movements: is Asian bond market volatility different? (English) Zbl 1537.91301
Forecasting gold price with the XGBoost algorithm and SHAP interaction values. (English) Zbl 1537.91337
When is cross impact relevant? (English) Zbl 1537.91303
An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility. (English) Zbl 1539.91133
Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (English) Zbl 1540.91070
Regime-switching affine term structures. (English) Zbl 1536.91340
MSC:
91G30
Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing. (English) Zbl 1536.91353
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Bifurcation, chaos and multi-stability regions in an asset pricing model with three subsystems. (English) Zbl 1536.39007
Regulated Ornstein-Uhlenbeck process in pandemic-time asset pricing of stocks and derivatives. (English) Zbl 1533.91470
Asset pricing with time preference shocks: existence and uniqueness. (English) Zbl 1533.91475
MSC:
91G30
Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. (English) Zbl 07822335
Rate of convergence in the Smoluchowski-Kramers approximation for mean-field stochastic differential equations. (English) Zbl 07815297
Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition. (English) Zbl 1534.91165
Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates. (English) Zbl 1532.91111
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices. (English) Zbl 1532.91091
Term structure modeling with overnight rates beyond stochastic continuity. (English) Zbl 1536.91341
Reviewer: Stefan Tappe (Freiburg)
MSC:
91G30
A logistic Black-Scholes partial differential equation with stochastic volatility, transaction costs and jumps. (English) Zbl 1538.35392
Lecture notes in risk management. (English) Zbl 07726629
World Scientific Lecture Notes in Finance 7. Singapore: World Scientific (ISBN 978-981-12-7194-6/hbk; 978-981-12-7196-0/ebook). xiii, 306 p. (2024).
On the reducibility of affine models with dependent Lévy factor. arXiv:2407.21425
Preprint, arXiv:2407.21425 [math.PR] (2024).
MSC:
91G30
Dynamical Behavior of a Stochastic Epidemiological Model: Stationary Distribution and Extinction of a SIRS Model with Stochastic Perturbations. arXiv:2404.09233
Preprint, arXiv:2404.09233 [math.DS] (2024).
The Simple Yield Curve Models. arXiv:2403.13531
Preprint, arXiv:2403.13531 [math.DS] (2024).
Closed form solution to zero coupon bond using a linear stochastic delay differential equation. arXiv:2402.16428
Preprint, arXiv:2402.16428 [q-fin.MF] (2024).
Affine term structure models driven by independent Lévy processes. arXiv:2402.07503
Preprint, arXiv:2402.07503 [math.PR] (2024).
MSC:
91G30
Predictive model for a product without history using LightGBM. Pricing model for a new product. (English) Zbl 07877844
Actuarial calculation of annuities under Markov stochastic interest rate model. (Chinese. English summary) Zbl 07869306
Corrigendum to: “A preferred-habitat model of the term structure of interest rates”. (English) Zbl 1539.91135
The Ornstein-Uhlenbeck process and variance gamma process: parameter estimation and simulations. (English) Zbl 07829891
Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model. (English) Zbl 1533.91434
Valuing option under double Heston jump-diffusion model with stochastic interest rate and approximative fractional Brownian motion. (English) Zbl 1543.91105
Melliani, Said (ed.) et al., Recent advances in fuzzy sets theory, fractional calculus, dynamic systems and optimization. Contributions based on the presentations at the international conference on partial differential equations and applications, modeling and simulation, Beni Mellal, Morocco, from June 1–2, 2021. Cham: Springer. Lect. Notes Netw. Syst. 476, 393-403 (2023).
Pricing and hedging of swaptions: setting up a pricer of interest rate swaptions. (English) Zbl 1539.91132
Melliani, Said (ed.) et al., Recent advances in fuzzy sets theory, fractional calculus, dynamic systems and optimization. Contributions based on the presentations at the international conference on partial differential equations and applications, modeling and simulation, Beni Mellal, Morocco, from June 1–2, 2021. Cham: Springer. Lect. Notes Netw. Syst. 476, 228-239 (2023).
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model. (English) Zbl 1533.91460
Interest rate swaps: a comparison of compounded daily versus discrete reference rates. (English) Zbl 1533.91462
Corporate probability of default: a single-index hazard model approach. (English) Zbl 1531.62170
MSC:
62P20
Phase-type representations of stochastic interest rates with applications to life insurance. (English) Zbl 1534.91106
The term structure of short selling costs. (English) Zbl 1534.91166
MSC:
91G30
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