Macroeconomic factors strike back: a Bayesian change-point model of time-varying risk exposures and Premia in the U.S. cross-section. (English) Zbl 07924099
MSC:
62P20
Found 199 Documents (Results 1–100)
The case of “Less is more”: modelling risk-preference with expected downside risk. (English) Zbl 1508.91621
The effect of the behavior of an average consumer on the public debt dynamics. (English) Zbl 1495.91074
Valuation fuzzy soft sets: a flexible fuzzy soft set based decision making procedure for the valuation of assets. (English) Zbl 1425.91100
Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk. (English) Zbl 1414.91159
MSC:
91B30
91G30
A risk-reward model for on-line financial leasing problem with an interest rate. (English) Zbl 1492.91393
Xiao, Mingyu (ed.) et al., Frontiers in algorithmics. 11th international workshop, FAW 2017, Chengdu, China, June 23–25, 2017. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 10336, 68-78 (2017).
MSC:
91G30
Problems in portfolio theory and the fundamentals of financial decision making. (English) Zbl 1422.91006
World Scientific Series in Finance 10. Hackensack, NJ: World Scientific (ISBN 978-981-4759-14-4/hbk; 978-981-4749-93-0/pbk; 978-981-4759-36-6/ebook). x, 201 p. (2017).
Reviewer: Aleksandr D. Borisenko (Kyïv)
Sparse grid combination technique for Hagan SABR/LIBOR market model. (English) Zbl 1420.91519
Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 477-500 (2017).
Negative rates: new market practice. (English) Zbl 1420.91468
Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 47-63 (2017).
Pricing of power options based on mixed fractional Hull-White interest rate model. (Chinese. English summary) Zbl 1424.91147
A new approach on studying the stability of evolutionary game dynamics for financial systems. (English) Zbl 1424.91175
Spurious inference in reduced-rank asset-pricing models. (English) Zbl 1420.91104
MSC:
91B25
62P20
The identification of beliefs from asset demand. (English) Zbl 1420.91073
MSC:
91B16
91B25
Search for yield. (English) Zbl 1420.91483
2D Gauss-Hermite quadrature method for jump-diffusion PIDE option pricing models. (English) Zbl 1418.91600
Constanda, Christian (ed.) et al., Integral methods in science and engineering, Volume 2. Practical applications. Based on talks given at the 14th international conference, Padova, Italy, July 25–29, 2016. Basel: Birkhäuser/Springer. 137-145 (2017).
An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. (English) Zbl 1422.91281
Econophysics and capital asset pricing. Splitting the atom of systematic risk. (English) Zbl 1402.91004
Quantitative Perspectives on Behavioral Economics and Finance. Cham: Palgrave Macmillan (ISBN 978-3-319-63464-7/hbk; 978-3-319-63465-4/ebook). xvi, 287 p. (2017).
A simple skewed distribution with asset pricing applications. (English) Zbl 1402.91745
Rev. Finance 21, No. 6, 2169-2197 (2017); addendum ibid. 21, No. 6, 2401-2402 (2017).
Addendum: “A simple skewed distribution with asset pricing applications”. (English) Zbl 1402.91165
MSC:
91B25
Bermudan option valuation under state-dependent models. (English) Zbl 1417.91492
Londoño, Jaime A. (ed.) et al., Actuarial sciences and quantitative finance. ICASQF2016, Cartagena, Colombia, June 15–18, 2016. Cham: Springer. Springer Proc. Math. Stat. 214, 127-138 (2017).
A re-examination of Libor rigging: a time-varying cointegration perspective. (English) Zbl 1402.91827
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model. (English) Zbl 1402.91810
Calibrating a market model with stochastic volatility to commodity and interest rate risk. (English) Zbl 1402.91831
The value of convexity: a theoretical and empirical investigation. (English) Zbl 1400.91632
MSC:
91G30
Stochastic interest model based on compound Poisson process and applications in actuarial science. (English) Zbl 1427.91237
Some computational results for the fuzzy random value of life actuarial liabilities. (English) Zbl 1398.91324
The US dollar/euro exchange rate: structural modeling and forecasting during the recent financial crises. (English) Zbl 1397.62561
Estimating asset pricing models with frictions. (English) Zbl 1396.91216
MSC:
91B25
62P20
Banking regulation and the changing geography of off-balance sheet activities. (English) Zbl 1398.91578
Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments. (English) Zbl 1396.91217
Hidden vs. known gender effects in experimental asset markets. (English) Zbl 1395.91205
MSC:
91B25
91A90
Temperature shocks and welfare costs. (English) Zbl 1401.91070
MSC:
91B25
91B76
The impact of EMU on bond yield convergence: evidence from a time-varying dynamic factor model. (English) Zbl 1401.91526
Interest rates and financial fragility. (English) Zbl 1401.91541
MSC:
91G30
Equilibrium asset pricing with Epstein-Zin and loss-averse investors. (English) Zbl 1401.91074
MSC:
91B25
Markets with heterogeneous beliefs: a necessary and sufficient condition for a trader to vanish. (English) Zbl 1401.91064
Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application. (English) Zbl 1395.65120
Pricing of power options under Ornstein-Uhlenbeck process and Hull-White interest rate with continuous dividend. (Chinese. English summary) Zbl 1399.91107
Ordering and pricing model of supplier-dominated transshipment with return constraints. (Chinese. English summary) Zbl 1399.90004
The optimal price decision and incentive contract design under asymmetric information. (Chinese. English summary) Zbl 1399.90171
Cubic trigonometric B-spline collocation method for Black-Scholes model. (Chinese. English summary) Zbl 1399.65052
The ruin probability of a bidimensional risk model based on entrance processes with constant interest rate. (Chinese. English summary) Zbl 1399.91047
Non-exponential upper bounds of ruin probability for stochastic premium risk model with investment income. (Chinese. English summary) Zbl 1399.91038
Nonlinear regression model and option analysis of real estate price. (Chinese. English summary) Zbl 1399.62115
A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk. (English) Zbl 1402.91833
Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model. (English) Zbl 1390.91183
Financial risk, inventory decision and process improvement for a firm with random capacity. (English) Zbl 1402.90007
Ruin probability of a two-dimensional discrete time risk model with random interest rates. (Chinese. English summary) Zbl 1399.91039
Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints. (English) Zbl 1395.91534
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. (English) Zbl 1398.91574
A fractional version of the Heston model with Hurst parameter \(H \in (1/2, 1)\). (English) Zbl 1386.91099
A Lévy-driven asset price model with bankruptcy and liquidity risk. (English) Zbl 1383.62232
Ferger, Dietmar (ed.) et al., From statistics to mathematical finance. Festschrift in honour of Winfried Stute. Cham: Springer (ISBN 978-3-319-50985-3/hbk; 978-3-319-50986-0/ebook). 387-416 (2017).
Fixed income analytics. Bonds in high and low interest rate environments. (English) Zbl 1386.91007
Cham: Springer (ISBN 978-3-319-48540-9/hbk; 978-3-319-48541-6/ebook). xvii, 204 p. (2017).
Stochastic methods in asset pricing. (English) Zbl 1482.91003
Cambridge, MA: MIT Press (ISBN 978-0-262-03655-9/hbk). xxv, 605 p. (2017).
Reviewer: Marten Hillebrand (Freiburg)
Stochastic financial model based on fractional Brownian motion. (Stochastic financial model based on fractional Brown motion.) (English) Zbl 1409.91252
Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making. (English) Zbl 1409.91246
An interest-rate model with regime-switching mean-reversion level. (English) Zbl 1382.91003
Mathematik. München: Dr. Hut; Kaiserslautern: TU Kaiserslautern, Fachbereich Mathematik (Diss. 2016) (ISBN 978-3-8439-3087-1/hbk). ii, 111 p. (2017).
Term structure forecasting in affine framework with time-varying volatility. (English) Zbl 1441.62268
Close integration of pricing and supply chain decisions has strategic as well as operations level benefits. (English) Zbl 1400.90185
A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance. (English) Zbl 1380.91135
Discrete-time market models from the small investor point of view and the first fundamental-type theorem. (English) Zbl 1390.91341
Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process. (English) Zbl 1408.91226
Analytical finance. Volume II. The mathematics of interest rate derivatives, markets, risk and valuation. (English) Zbl 1382.91002
Cham: Springer/Palgrave Macmillan (ISBN 978-3-319-52583-9/pbk; 978-3-319-52584-6/ebook). xxxi, 728 p. (2017).
Portfolio optimization for a large investor under partial information and price impact. (English) Zbl 1386.49025
Asset pricing in an imperfect world. (English) Zbl 1398.91285
MSC:
91B25
91G20
Filter Results by …
Document Type
- Journal Articles (173)
- Collection Articles (11)
- Books (14)
- arXiv Preprints (1)
all
top 5
Author
- Fabozzi, Frank J. (3)
- Borovykh, Anastasia (2)
- Chiu, Mei Choi (2)
- De Roon, Frans A. (2)
- Hu, Jianqiang (2)
- Hu, Jiaqiao (2)
- Hung, Mao-wei (2)
- Karehnke, Paul (2)
- Kubler, Felix (2)
- Mehrdoust, Farshid (2)
- Oosterlee, Cornelis Willebrordus (2)
- Pan, Jian (2)
- Pascucci, Andrea (2)
- Rebonato, Riccardo (2)
- Recchioni, Maria Cristina (2)
- Renne, Jean-Paul (2)
- Roussellet, Guillaume (2)
- Tedeschi, Gabriele (2)
- Teichmann, Josef (2)
- Tong, Jun (2)
- Vázquez Cendón, Carlos (2)
- Wong, Hoi Ying (2)
- Abada, Ibrahim (1)
- Ahuja, Visant (1)
- Airaudo, Marco (1)
- Aksamit, Anna (1)
- An, Yang (1)
- Andrade-Pineda, José Luis (1)
- Arai, Takuji (1)
- Armenti, Yannick (1)
- Arreola-Risa, Antonio (1)
- Asimakopoulou, Georgia E. (1)
- Au, Charles (1)
- Augustyniak, Maciej (1)
- Avinadav, Tal (1)
- Aydin, Nadi Serhan (1)
- Bank, Peter (1)
- Bartkowiak, Marcin (1)
- Barucci, Emilio (1)
- Basu, Parantap (1)
- Bauer, Michael D. (1)
- Bäurer, Patrick (1)
- Bayraktar, Erhan (1)
- Bell, Peter C. (1)
- Bensoussan, Alain (1)
- Bermin, Hans-Peter (1)
- Bhamra, Harjoat Singh (1)
- Bhatt, Vipul (1)
- Bi, Xiuchun (1)
- Biagini, Francesca (1)
- Biagini, Sara (1)
- Bianchi, Daniele (1)
- Bion-Nadal, Jocelyne (1)
- Blomvall, Jörgen (1)
- Bonnisseau, Jean-Marc (1)
- Boonyanet, Wachira (1)
- Bosi, Stefano (1)
- Bouchard, Bruno (1)
- Boudreault, Mathieu (1)
- Boyarchenko, Svetlana I. (1)
- Brumm, Johannes (1)
- Bučková, Zuzana (1)
- Caldeira, João F. (1)
- Çanakoğlu, Ethem (1)
- Canca, David (1)
- Cao, Wen (1)
- Cao, Wenwen (1)
- Cassese, Gianluca (1)
- Castelli, Fabrizio (1)
- Chaiyapo, Nattiya (1)
- Chan, Ngai Hang (1)
- Chang, Yuanchen (1)
- Chassagneux, Jean-François (1)
- Chen, Huijie (1)
- Chen, James Ming (1)
- Chen, Jing (Jenny) (1)
- Chen, Liying (1)
- Chen, Xiaoli (1)
- Cheng, Jianhua (1)
- Cheridito, Patrick (1)
- Chernonog, Tatyana (1)
- Chery, Achis (1)
- Choi, Sun-Yong (1)
- Chotai, Hinesh (1)
- Choy, S. T. Boris (1)
- Chua, Chew Lian (1)
- Company, Rafael (1)
- Corcuera, José Manuel (1)
- Creal, Drew D. (1)
- Crepey, Stephane (1)
- Criens, David (1)
- Crotty, Kevin (1)
- Cruz Rambaud, Salvador (1)
- Dai, Hongshuai (1)
- Dai, Jun (1)
- Dan, Bin (1)
- D’Avino, Carmela (1)
- de Andrés Sánchez, Jorge (1)
- De Luca, Roberto (1)
- de Maere d’Aertrycke, Gauthier (1)
- and 320 more Authors
all
top 5
Serial
- Int. J. Theor. Appl. Finance (8)
- Eur. J. Oper. Res. (7)
- J. Econ. Dyn. Control (6)
- Ann. Oper. Res. (6)
- Econ. Lett. (6)
- Math. Finance (5)
- Econometrica (4)
- J. Econ. Theory (4)
- Econ. Theory (4)
- Quant. Finance (4)
- J. Syst. Eng. (4)
- Rev. Finance (4)
- J. Forecast. (4)
- J. Econom. (3)
- Insur. Math. Econ. (3)
- Stochastic Anal. Appl. (3)
- Int. J. Comput. Math. (3)
- Appl. Math. Finance (3)
- Finance Stoch. (3)
- Math. Methods Oper. Res. (3)
- SIAM J. Financ. Math. (3)
- J. Math. Anal. Appl. (2)
- Physica A (2)
- Int. Econ. Rev. (2)
- J. Math. Econ. (2)
- Asia-Pac. J. Oper. Res. (2)
- Japan J. Ind. Appl. Math. (2)
- Dyn. Syst. Appl. (2)
- Commun. Stat., Theory Methods (2)
- Soft Comput. (2)
- OR Spectrum (2)
- Stoch. Dyn. (2)
- Rev. Deriv. Res. (2)
- J. Bus. Econ. Stat. (2)
- Eur. Actuar. J. (2)
- Computing (1)
- J. Comput. Appl. Math. (1)
- J. Sichuan Univ., Nat. Sci. Ed. (1)
- J. Math., Wuhan Univ. (1)
- Oper. Res. Lett. (1)
- J. Time Ser. Anal. (1)
- Math. Pract. Theory (1)
- J. Syst. Sci. Math. Sci. (1)
- J. Econ. (1)
- Algorithmica (1)
- J. Qufu Norm. Univ., Nat. Sci. (1)
- Math. Appl. (1)
- J. Dalian Univ. Technol. (1)
- Ann. Appl. Probab. (1)
- Comput. Stat. (1)
- Math. Program. (1)
- Appl. Math., Ser. B (Engl. Ed.) (1)
- J. Convex Anal. (1)
- J. Nonparametric Stat. (1)
- Math. Probl. Eng. (1)
- J. Appl. Anal. (1)
- J. Zhengzhou Univ., Nat. Sci. Ed. (1)
- Stud. Nonlinear Dyn. Econom. (1)
- Chin. Q. J. Math. (1)
- Ital. J. Pure Appl. Math. (1)
- Commun. Korean Math. Soc. (1)
- Optim. Eng. (1)
- Appl. Stoch. Models Bus. Ind. (1)
- J. Nonlinear Convex Anal. (1)
- J. Northwest Norm. Univ., Nat. Sci. (1)
- Discrete Contin. Dyn. Syst., Ser. B (1)
- J. Syst. Sci. Complex. (1)
- Stoch. Models (1)
- J. Jilin Univ., Sci. (1)
- ASTIN Bull. (1)
- J. Shandong Univ., Nat. Sci. (1)
- N. Am. Actuar. J. (1)
- J. Hefei Univ. Technol., Nat. Sci. (1)
- Stat. Methods Appl. (1)
- Adv. Difference Equ. (1)
- Iran. J. Fuzzy Syst. (1)
- J. Ind. Manag. Optim. (1)
- Stochastics (1)
- Front. Math. China (1)
- Math. Financ. Econ. (1)
- B. E. J. Theor. Econ. (1)
- Risk Decis. Anal. (1)
- Bull. Econ. Res. (1)
- Ann. Univ. Paedagog. Crac., Stud. Math. (1)
- Symmetry (1)
- Quant. Econ. (1)
- J. Chongqing Norm. Univ., Nat. Sci. (1)
- Mathematics (1)
- Comput. Methods Differ. Equ. (1)
- World Sci. Ser. Finance (1)
- SpringerBriefs Math. Planet Earth (1)
- SpringerBriefs Quant. Finance (1)
- Springer Finance (1)
- Contrib. Manag. Sci. (1)
- Quant. Perspect. Behav. Econ. Finance (1)
- Phys. World Discov. (1)
- Probab. Uncertain. Quant. Risk (1)
- Mathematik (1)
