Found 154 Documents (Results 1–100)
Advice to a young mathematical biologist. (English) Zbl 07837735
MSC:
92-XX
European funds and regional convergence: from the european context to the Italian scenario. (English) Zbl 07921415
Brentari, Eugenio (ed.) et al., Models for data analysis. SIS 2018. Selected papers based on the presentations at the 49th scientific meeting of the Italian Statistical Society, Palermo, Italy, June 20–22, 2018. Cham: Springer. Springer Proc. Math. Stat. 402, 241-258 (2023).
MSC:
62-XX
Coordinating buyback contract in supply chains with limited funding. (English) Zbl 07918207
Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume XVI. Collected papers presented at the 16th international conference on game theory and management, GTM 2023, Saint Petersburg, Russia, June 28–30, 2023. St. Petersburg: St. Petersburg State University. 20-52 (2023).
An interview with Professor John J. H. Miller. (English) Zbl 1529.01035
MSC:
01A70
A defined benefit pension plan model with stochastic salary and heterogeneous discounting. (English) Zbl 1519.91213
On the surplus management of funds with assets and liabilities in presence of solvency requirements. (English) Zbl 1525.91151
Reviewer: James P. Howard II (Columbia)
Positive XVAs. (English) Zbl 1500.91134
Shareholder disputes and commonality in liquidity: evidence from the equity markets in China. (English) Zbl 1497.91302
MSC:
91G15
Heterogeneous causal effects with imperfect compliance: a Bayesian machine learning approach. (English) Zbl 1498.62303
Optimal funding coverage in a mixed oligopoly with quality competition and price regulation. (English) Zbl 1497.91175
Wealth management products, banking competition, and stability: evidence from China. (English) Zbl 1489.91298
MSC:
91G45
Participatory funding coordination: model, axioms and rules. (English) Zbl 07670920
Fotakis, Dimitris (ed.) et al., Algorithmic decision theory. 7th international conference, ADT 2021, Toulouse, France, November 3–5, 2021. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 13023, 409-423 (2021).
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics. (English) Zbl 1479.91440
MSC:
91G50
What do deviations from covered interest parity and higher FX hedging costs mean for Asia? (English) Zbl 1470.91278
An integrated model for the cost-minimizing funding of corporate activities over time. (English) Zbl 1454.91352
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1821-1844 (2021).
MSC:
91G50
How does a bank’s involvement interplay with a firm’s capacity investment? An analysis and comparison of different consortium structures. (English) Zbl 07767645
MSC:
90-XX
Optimizing payments based on efficiency, quality, complexity, and heterogeneity: the case of hospital funding. (English) Zbl 07767557
MSC:
90-XX
Some borrowers are more equal than others: bank funding shocks and credit reallocation. (English) Zbl 1505.91400
MSC:
91G40
Time consistent pension funding in a defined benefit pension plan with non-constant discounting. (English) Zbl 1454.91197
Reviewer: Emilia Di Lorenzo (Napoli)
MSC:
91G05
Wealth transfers, indifference pricing, and XVA compression schemes. (English) Zbl 1448.91327
Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 219-248 (2020).
O-SII designation and deposit funding costs. (English) Zbl 1442.91111
MSC:
91G45
When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement. (English) Zbl 1406.91468
Impact of multiple curve dynamics in credit valuation adjustments under collateralization. (English) Zbl 1469.91058
An empirical investigation on funding liquidity and market liquidity. (English) Zbl 1402.91767
MSC:
91G20
Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance. (English) Zbl 1416.91192
On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements. (English) Zbl 1390.91158
MSC:
91B30
91G50
Fair bilateral pricing under funding costs and exogenous collateralization. (English) Zbl 1390.91284
Arbitrage-free XVA. (English) Zbl 1390.91276
Pension risk management with funding and buyout options. (English) Zbl 1398.91322
MSC:
91B30
91G20
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios. (English) Zbl 1432.91130
MSC:
91G40
The sustainable Black-Scholes equations. (English) Zbl 1417.91436
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, 155-167 (2017).
Impact of multiple curve dynamics in credit valuation adjustments under collateralization. (English) Zbl 1400.91579
Student loans: when is risk sharing desirable? (English) Zbl 1398.91638
MSC:
91G40
Best practices for biostatistical consultation and collaboration in academic health centers. (English) Zbl 07665871
MSC:
62-XX
Lend global, fund local? Price and funding cost margins in multinational banking. (English) Zbl 1402.91982
Fed funds futures variance futures. (English) Zbl 1400.91588
MSC:
91G20
Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives. (English) Zbl 1398.91668
Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 53-82 (2016).
Analysis of nonlinear valuation equations under credit and funding effects. (English) Zbl 1398.91635
Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 37-52 (2016).
Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs. (English) Zbl 1398.91636
Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 3-35 (2016).
The commitment value of funding pensions. (English) Zbl 1396.91302
MSC:
91B30
Collateralized borrowing and default risk. (English) Zbl 1367.91188
Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 167-187 (2016).
MSC:
91G40
Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (English) Zbl 1371.91148
BSDEs driven by multidimensional martingales and their applications to markets with funding costs. (English. Russian original) Zbl 1352.60086
Theory Probab. Appl. 60, No. 4, 604-630 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 686-719 (2015).
Counterparty risk and funding: immersion and beyond. (English) Zbl 1380.91139
Reviewer: Anatoliy Swishchuk (Calgary)
A BSDE approach to fair bilateral pricing under endogenous collateralization. (English) Zbl 1380.91133
Reviewer: Aleksandr D. Borisenko (Kyïv)
Europe’s rebirth begins with research. (English) Zbl 1432.01111
MSC:
01A80
Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework. (English) Zbl 1390.91279
MSC:
91G10
91B30
Optimal surplus, minimum pension benefits and consumption plans in a mean-variance portfolio approach for a defined contribution pension scheme. (English) Zbl 1335.91068
Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates. (English) Zbl 1409.91244
Londoño, Jaime A. (ed.) et al., Actuarial sciences and quantitative finance. Proceedings of the 1st international congress on actuarial science and quantitative finance, ICASQF, Bogotá, Colombia, June 17–20, 2014. Cham: Springer. Springer Proc. Math. Stat. 135, 65-95 (2015).
MSC:
91G20
Valuation and hedging of contracts with funding costs and collateralization. (English) Zbl 1320.91151
Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets. (English) Zbl 1337.91108
MSC:
91G20
A note on the self-financing condition for funding, collateral and discounting. (English) Zbl 1337.91089
MSC:
91G20
Market-consistent valuation and funding of cash balance pensions. (English) Zbl 1414.91197
MSC:
91B30
The effectiveness of non-standard monetary policy in addressing liquidity risk during the financial crisis: the experiences of the federal reserve and the European central bank. (English) Zbl 1402.91538
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. (English) Zbl 1402.90200
MSC:
90C39
91B30
Robust decomposable Markov decision processes motivated by allocating school budgets. (English) Zbl 1339.90328
Strengthening fundamental researches to meet industrial innovation demands – Enlightenment for basic research funding from case study of model-free control. (Chinese. English summary) Zbl 1340.93108
Subprime mortgage funding and liquidity risk. (English) Zbl 1294.91080
MSC:
91B30
91G40
Prepayment option of a perpetual corporate loan: the impact of the funding costs. (English) Zbl 1304.91236
Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo. (English) Zbl 1294.91005
Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4665-1645-8/hbk). xxi, 365 p. (2014).
Reviewer: Tomáš Cipra (Praha)
Filter Results by …
Document Type
- Journal Articles (139)
- Collection Articles (12)
- Books (3)
all
top 5
Author
- Crepey, Stephane (13)
- Brigo, Damiano (9)
- Haberman, Steven (9)
- Josa-Fombellida, Ricardo (8)
- Pallavicini, Andrea (7)
- Rincón-Zapatero, Juan Pablo (6)
- Rutkowski, Marek (6)
- Francischello, Marco (4)
- Albanese, Claudio (3)
- Armenti, Yannick (3)
- Bielecki, Tomasz R. (3)
- Devolder, Pierre (3)
- Dufresne, Daniel (3)
- Hurd, Thomas R. (3)
- Lütkebohmert, Eva (3)
- Nesbitt, Cecil J. (3)
- Nie, Tianyang (3)
- Sung, Joo-Ho (3)
- Xiao, Yajun (3)
- Avanzi, Benjamin (2)
- Beetsma, Roel M. W. J. (2)
- Bormetti, Giacomo (2)
- Bowers, Newton L. jun. (2)
- Buescu, Cristin (2)
- Chen, Ping (2)
- Filipović, Damir (2)
- Henriksen, Lars Frederik Brandt (2)
- Hickman, James Charles (2)
- Jarrow, Robert Alan (2)
- López-Casado, Paula (2)
- Minca, Andreea (2)
- Navas, Jorge A. (2)
- Song, Shiqi (2)
- Wong, Bernard (2)
- Wu, Lixin (2)
- Zhou, Chao (2)
- Ahn, Dong-Hyun (1)
- Albrecher, Hansjörg (1)
- Alonso-García, Jennifer (1)
- Alwohaibi, Maram (1)
- Andersen, Torben M. (1)
- Andreev, Andriy (1)
- Arcalean, Calin (1)
- Aziz, Haris (1)
- Bacchetti, Peter (1)
- Baek, In-Seok (1)
- Bargagli-Stoffi, Falco J. (1)
- Baskaya, Yusuf Soner (1)
- Bédard, Diane (1)
- Berezinets, Irina (1)
- Bi, Gongbing (1)
- Bichuch, Maxim (1)
- Blake, David (1)
- Bots, Pieter W. G. (1)
- Caenazzo, Simone (1)
- Cao, Erbao (1)
- Capponi, Agostino (1)
- Carpenter, Seth (1)
- Cellai, Davide (1)
- Chang, Shih-Chieh (1)
- Chataigner, Marc (1)
- Chen, John J. (1)
- Chukova, Stefanka St. (1)
- Chung, Ji-Yeong (1)
- Chung, Tsz-Kin (1)
- Cialenco, Igor (1)
- Ciommi, Mariateresa (1)
- Coffin, Valérie (1)
- Cox, Samuel H. jun. (1)
- Daboni, Luciano (1)
- Davey, Cynthia S. (1)
- De Jonghe, Olivier (1)
- De Waal, Bernadine (1)
- De Waegenaere, Anja (1)
- de Witte, Kristof (1)
- Demiralp, Selva (1)
- Deshmukh, Shailaja R. (1)
- Dewachter, Hans (1)
- Di Giovanni, Julian (1)
- Diakoulaki, Danae (1)
- Dimitrov, Nedialko B. (1)
- Dimitrov, Stanko (1)
- Dottori, Davide (1)
- Eckwert, Bernhard (1)
- Eisenschmidt, Jens (1)
- Embrechts, Paul (1)
- Estevan, Fernanda (1)
- Faia, Ester (1)
- Feng, Xu (1)
- Ferreira, Diogo Cunha (1)
- Fourman, Michael Paul (1)
- Gai, Prasanna (1)
- Galema, Rients (1)
- Ganguly, Aditya (1)
- Garon, Jean-Denis (1)
- Geng, Botao (1)
- Gerber, Hans U. (1)
- Gerrard, Russell (1)
- Ghandour, Ziad (1)
- Gnecco, Giorgio (1)
- and 156 more Authors
all
top 5
Serial
- Insur. Math. Econ. (21)
- Eur. J. Oper. Res. (9)
- Int. J. Theor. Appl. Finance (9)
- Quant. Finance (9)
- J. Econ. Dyn. Control (7)
- Math. Finance (6)
- ASTIN Bull. (5)
- SIAM J. Financ. Math. (5)
- Econ. Lett. (4)
- J. Actuar. Pract. (4)
- Scand. Actuar. J. (3)
- Rev. Finance (3)
- Am. Stat. (2)
- Stat. Sci. (2)
- J. Econ. (2)
- Mitt., Schweiz. Ver. Versicherungsmath. (2)
- Int. Trans. Oper. Res. (2)
- Finance Stoch. (2)
- Asia-Pac. Financ. Mark. (2)
- Probab. Uncertain. Quant. Risk (2)
- J. Math. Anal. Appl. (1)
- Bull. Math. Biol. (1)
- Chaos Solitons Fractals (1)
- Theory Probab. Appl. (1)
- Appl. Math. Optim. (1)
- Bl., Dtsch. Ges. Versicherungsmath. (1)
- Econometrica (1)
- J. Econ. Theory (1)
- Mitt., Ver. Schweiz. Versicherungsmath. (1)
- Oper. Res. (1)
- Q. J. Econ. (1)
- Rend. Semin. Mat. Fis. Milano (1)
- Rev. Econ. Stud. (1)
- Scand. Actuarial J. (1)
- Optim. Control Appl. Methods (1)
- Scand. J. Econ. (1)
- Oper. Res. Lett. (1)
- Soc. Choice Welfare (1)
- J. Syst. Sci. Math. Sci. (1)
- Comput. Oper. Res. (1)
- Ann. Oper. Res. (1)
- Games Econ. Behav. (1)
- Ir. Math. Soc. Bull. (1)
- Open Econ. Rev. (1)
- J. Multi-Criteria Decis. Anal. (1)
- Appl. Stoch. Models Bus. Ind. (1)
- N. Am. Actuar. J. (1)
- Comput. Manag. Sci. (1)
- Math. Financ. Econ. (1)
- Ann. Appl. Stat. (1)
- Involve (1)
- Bull. Econ. Res. (1)
- Int. J. Econ. Theory (1)
- Eur. Actuar. J. (1)
- Stat. Risk. Model. (1)
- Lett. Mat., Int. Ed. (1)
- Konuralp J. Math. (1)
- Chapman Hall/CRC Financ. Math. Ser. (1)
- Front. Math. Finance (1)
all
top 5
Year of Publication
- 2024 (3)
- 2023 (8)
- 2022 (8)
- 2021 (6)
- 2020 (10)
- 2019 (3)
- 2018 (13)
- 2017 (10)
- 2016 (15)
- 2015 (14)
- 2014 (10)
- 2013 (4)
- 2012 (3)
- 2010 (1)
- 2009 (4)
- 2008 (4)
- 2007 (1)
- 2006 (2)
- 2005 (2)
- 2004 (2)
- 2003 (2)
- 2002 (1)
- 2001 (1)
- 1999 (2)
- 1997 (3)
- 1996 (3)
- 1994 (2)
- 1993 (4)
- 1992 (3)
- 1990 (2)
- 1989 (1)
- 1987 (1)
- 1986 (1)
- 1982 (2)
- 1981 (2)
- 1980 (1)
