Found 306 Documents (Results 1–100)
Asset pricing and hedging in financial markets with fixed and proportional transaction costs. (English) Zbl 1542.91406
Pricing European call options with interval-valued volatility and interest rate. (English) Zbl 07894925
Bilateral credit valuation adjustment of CDS under systemic and correlated Idiosyncratic risks. (English) Zbl 1536.91330
Decentralized governance of stablecoins with closed form valuation. (English) Zbl 1534.91183
Pardalos, Panos (ed.) et al., Mathematical research for blockchain economy. 3rd international conference MARBLE 2022, Vilamoura, Portugal, July 12–14, 2022. Cham: Springer. Lect. Notes Oper. Res., 59-73 (2023).
Impact of rough stochastic volatility models on long-term life insurance pricing. (English) Zbl 1518.91218
Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities. (English) Zbl 1538.91096
Contingent convertible obligations and financial stability. (English) Zbl 1518.91303
Reviewer: Jacek Jakubowski (Warszawa)
An operator splitting method for multi-asset options with the Feynman-Kac formula. (English) Zbl 1538.91097
Positive XVAs. (English) Zbl 1500.91134
Valuation of general contingent claims with short selling bans: an equal-risk pricing approach. (English) Zbl 1496.91087
MSC:
91G20
Optimal exercise of American put options near maturity: a new economic perspective. (English) Zbl 1495.91119
Binomial tree method for option pricing: discrete cosine transform approach. (English) Zbl 1540.91093
Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method. (English) Zbl 1510.91189
Capital market finance. An introduction to primitive assets, derivatives, portfolio management and risk. With contributions by Igor Toder. (English) Zbl 1536.91001
Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-030-84598-8/hbk; 978-3-030-84600-8/ebook). xxxvii, 1364 p. (2022).
Reviewer: Jacek Jakubowski (Warszawa)
Equilibrium valuation of currency options under a discontinuous model with co-jumps. (English) Zbl 1503.91139
On the valuation of discrete Asian options in high volatility environments. (English) Zbl 1501.91180
Reviewer: Nikolay Kyurkchiev (Plovdiv)
A new method of valuing American options based on Brownian models. (English) Zbl 07532173
MSC:
62-XX
An efficient numerical method for pricing a Russian option with a finite time horizon. (English) Zbl 1480.91312
A unified market model for swaptions and constant maturity swaps. (English) Zbl 1470.91288
Reviewer: Yuliya S. Mishura (Kyïv)
Revisiting optimal investment strategies of value-maximizing insurance firms. (English) Zbl 1467.91207
Possibilistic fuzzy pay-off method for real option valuation with application to research and development investment analysis. (English) Zbl 1464.91075
MSC:
91G50
Robust statistical arbitrage strategies. (English) Zbl 1466.91345
MSC:
91G20
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 1460.91213
Alternative security valuation model: theory and empirical results. (English) Zbl 1454.91296
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143-3192 (2021).
MSC:
91G20
Option valuation with IG-GARCH model and a U-shaped pricing kernel. (English) Zbl 1489.91281
MSC:
91G30
A finite volume-alternating direction implicit method for the valuation of American options under the Heston model. (English) Zbl 1480.91311
Closed-form formulae for European options under three-factor models. (English) Zbl 1465.91113
Reviewer: George Stoica (Saint John)
A martingale representation theorem and valuation of defaultable securities. (English) Zbl 1508.91553
Robust XVA. (English) Zbl 1508.91550
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach. (English) Zbl 1451.91209
Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation. (English) Zbl 1447.91177
When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286
An adaptive moving mesh method for a time-fractional Black-Scholes equation. (English) Zbl 1487.65118
Efficient willow tree algorithm for credit valuation adjustment of stock options. (Chinese. English summary) Zbl 1449.91179
Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. (English) Zbl 1426.91216
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. (English) Zbl 1422.91354
Valuation of mortgage interest deductibility under uncertainty: an option pricing approach. (English) Zbl 1418.91515
Pricing options on investment project expansions under commodity price uncertainty. (English) Zbl 1415.65195
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement. (English) Zbl 1406.91468
The pricing for warrant bonds under fractional Brownian motion. (Chinese. English summary) Zbl 1424.91120
Are employee stock option exercise decisions better explained through the prospect theory? (English) Zbl 1416.91366
Evaluation of counterparty risk for derivatives with early-exercise features. (English) Zbl 1401.91544
An approximate barrier option model for valuing executive stock options. (English) Zbl 1395.91410
MSC:
91G10
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (English) Zbl 1390.91312
Numerical study of splitting methods for American option valuation. (English) Zbl 1420.91511
Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 373-398 (2017).
Decision-making in incomplete markets with ambiguity – a case study of a gas field acquisition. (English) Zbl 1402.91884
On the multiplicity of option prices under CEV with positive elasticity of variance. (English) Zbl 1417.91515
MSC:
91G20
AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks. (English) Zbl 1395.91492
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities. (English) Zbl 1416.91389
Computing credit valuation adjustment for Bermudan options with wrong way risk. (English) Zbl 1395.91440
Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. (English) Zbl 1395.91249
MSC:
91B30
91G20
Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme. (English) Zbl 1372.91119
Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model. (English) Zbl 1414.91389
Conic trading in a Markovian steady state. (English) Zbl 1390.91304
Reviewer: Yuliya S. Mishura (Kyïv)
A convolution method for numerical solution of backward stochastic differential equations. (English) Zbl 1360.60109
Deterministic and stochastic topics in computational finance. (English) Zbl 1396.91001
Hackensack, NJ: World Scientific (ISBN 978-981-3203-07-5/hbk; 978-981-3203-08-2/pbk). xix, 461 p. (2017).
Reviewer: Nadi Serhan Aydın (Istanbul)
Joint modeling of inflation and real interest rate dynamics with application to equity-linked investment. (English) Zbl 1462.62045
Colubi, Ana (ed.) et al., Proceedings of COMPSTAT 2016 – 22nd international conference on computational statistics, Oviedo, Spain, August 23–26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 361-371 (2016).
Option pricing and sensitivity analysis in the Lévy forward process model. (English) Zbl 1398.91670
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, 285-313 (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).
Efficient lattice method for valuing of options with barrier in a regime switching model. (English) Zbl 1410.91485
On the impact of various formulations of the boundary condition within numerical option valuation by dg method. (English) Zbl 1461.91351
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Combining system dynamic modeling and the Datar-Mathews method for analyzing metal mine investments. (English) Zbl 1414.91416
The pricing for the catastrophe option and chooser option under stock price fluctuation. (Chinese. English summary) Zbl 1374.91132
MSC:
91G20
Valuation and risk assessment of participating life insurance in the presence of credit risk. (English) Zbl 1371.91086
A neural network approach to efficient valuation of large portfolios of variable annuities. (English) Zbl 1371.91092
Pricing derivatives with counterparty risk and collateralization: a fixed point approach. (English) Zbl 1346.91234
Fixing risk neutral risk measures. (English) Zbl 1403.91365
Reviewer: Pavel Stoynov (Sofia)
Pricing options on EU ETS certificates with a time-varying market price of risk model. (English) Zbl 1335.91089
Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 341-360 (2016).
On volatility smile and an investment strategy with out-of-the-money calls. (English) Zbl 1404.91253
Finance, economics, and mathematics. With a foreword by Robert C. Merton. (English) Zbl 1403.91008
Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-12220-3/hbk; 1-119-18622-6/ebook). xii, 354 p. (2016).
Reviewer: Aleksandr D. Borisenko (Kyïv)
Filter Results by …
Document Type
- Journal Articles (274)
- Collection Articles (21)
- Books (11)
all
top 5
Author
- Siu, Tak Kuen (11)
- Brigo, Damiano (9)
- Crepey, Stephane (8)
- Cen, Zhongdi (7)
- Le, Anbo (6)
- Dong, Yinghui (5)
- Elliott, Robert James (5)
- Madan, Dilip B. (5)
- Kimura, Toshikazu (4)
- Pallavicini, Andrea (4)
- Schröder, Michael (4)
- Schweizer, Martin (4)
- Wang, Song (4)
- Bielecki, Tomasz R. (3)
- Capponi, Agostino (3)
- Ching, Wai-Ki (3)
- Collan, Mikael (3)
- Duck, Peter W. (3)
- Eberlein, Ernst W. (3)
- Kiesel, Rüdiger (3)
- Newton, David P. (3)
- Pliska, Stanley R. (3)
- Wang, Guojing (3)
- Xu, Aimin (3)
- Xu, Hong-Kun (3)
- Yuen, Kam Chuen (3)
- Zhu, Dan (3)
- Bauer, Daniel J. (2)
- Bondarenko, Oleg (2)
- Carr, Peter Paul (2)
- Detemple, Jerome B. (2)
- Duan, Jin-Chuan (2)
- Fischer, Tom (2)
- Gatzert, Nadine (2)
- Geman, Hélyette (2)
- Goard, Joanna M. (2)
- Hainaut, Donatien (2)
- Hanke, Michael (2)
- Harrison, John Michael (2)
- Houstis, Elias N. (2)
- Huang, Jian (2)
- Ibrahim, Siti Nur Iqmal (2)
- Keber, Christian (2)
- Kijima, Masaaki (2)
- Kling, Alexander (2)
- Lee, Cheng-Few (2)
- Li, Johnny Siu-Hang (2)
- Li, Nan (2)
- Li, Wen (2)
- Løchte Jørgensen, Peter (2)
- Lütkebohmert, Eva (2)
- Luukka, Pasi (2)
- Moretto, Enrico (2)
- Natolski, Jan (2)
- Oosterlee, Cornelis Willebrordus (2)
- Pantazopoulos, Konstantinos N. (2)
- Pelsser, Antoon A. J. (2)
- Pistorius, Martijn R. (2)
- Rachev, Svetlozar T. (2)
- Ruß, Jochen (2)
- Saadeddine, Bouazza (2)
- Schoutens, Wim (2)
- Sester, Julian (2)
- Song, Na (2)
- Stojanović, Srđan Đ. (2)
- Talponen, Jarno (2)
- Tian, Weidong (2)
- Wang, King-Hang (2)
- Werner, Ralf (2)
- Widdicks, Martin (2)
- Wu, Lixin (2)
- Xing, Yu (2)
- Yang, Hailiang (2)
- Yang, Xiangqun (2)
- Yoshida, Yuji (2)
- Zhu, Songping (2)
- Abbas-Turki, Lokman A. (1)
- Abid, Fathi (1)
- Afkhami, Mohamad (1)
- Agosto, Arianna (1)
- Akbaraly, Adnane (1)
- Albanese, Claudio (1)
- Alexander, David Richard (1)
- Aliahmadi, Alireza (1)
- Alvarez, Luis H. R. (1)
- Amin, Kaushik I. (1)
- Andricopoulos, Ari D. (1)
- Angermann, Lutz (1)
- Antonelli, Fabio (1)
- Arasteh, Abdollah (1)
- Armstrong, Grant F. (1)
- Arratia, Argimiro A. (1)
- Babaei, Esmaeil (1)
- Badescu, Alexandru M. (1)
- Bahaji, Hamza (1)
- Bajo, Emanuele (1)
- Ballotta, Laura (1)
- Barbarin, Jérome (1)
- Barbi, Massimiliano (1)
- Barigou, Karim (1)
- and 394 more Authors
all
top 5
Serial
- Int. J. Theor. Appl. Finance (25)
- Insur. Math. Econ. (17)
- Math. Finance (16)
- Quant. Finance (12)
- Eur. J. Oper. Res. (11)
- Rev. Deriv. Res. (10)
- Appl. Math. Finance (9)
- J. Econom. (7)
- Comput. Math. Appl. (6)
- J. Ind. Manag. Optim. (6)
- ASTIN Bull. (5)
- Ann. Finance (5)
- Appl. Math. Comput. (4)
- J. Comput. Appl. Math. (4)
- SIAM J. Financ. Math. (4)
- Manage. Sci. (3)
- Math. Pract. Theory (3)
- J. Econ. Dyn. Control (3)
- Ann. Oper. Res. (3)
- Int. J. Comput. Math. (3)
- Finance Stoch. (3)
- Methodol. Comput. Appl. Probab. (3)
- J. Nonlinear Convex Anal. (3)
- Scand. Actuar. J. (3)
- Asia-Pac. Financ. Mark. (3)
- Math. Financ. Econ. (3)
- Eur. Actuar. J. (3)
- Adv. Appl. Probab. (2)
- Acta Univ. Palacki. Olomuc., Fac. Rerum Nat., Math. (2)
- Fuzzy Sets Syst. (2)
- J. Oper. Res. Soc. Japan (2)
- Math. Comput. Simul. (2)
- OR Spektrum (2)
- Math. Comput. Modelling (2)
- Ann. Appl. Probab. (2)
- SIAM J. Appl. Math. (2)
- Stochastic Processes Appl. (2)
- Comput. Econ. (2)
- Abstr. Appl. Anal. (2)
- Discrete Contin. Dyn. Syst., Ser. B (2)
- J. Nat. Sci. Hunan Norm. Univ. (2)
- J. Tongji Univ., Nat. Sci. (2)
- Front. Math. Finance (2)
- Int. J. Syst. Sci. (1)
- Inverse Probl. (1)
- J. Appl. Probab. (1)
- J. Econ. Theory (1)
- Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods (1)
- Q. Appl. Math. (1)
- SIAM J. Control Optim. (1)
- J. Inf. Optim. Sci. (1)
- J. Xi’an Jiaotong Univ. (1)
- Acta Math. Appl. Sin. (1)
- Math. Soc. Sci. (1)
- Bull. Korean Math. Soc. (1)
- Stat. Probab. Lett. (1)
- Oper. Res. Lett. (1)
- Riv. Mat. Sci. Econ. Soc. (1)
- Probab. Math. Stat. (1)
- Stochastic Anal. Appl. (1)
- J. Syst. Sci. Math. Sci. (1)
- Acta Math. Appl. Sin., Engl. Ser. (1)
- Chin. J. Appl. Probab. Stat. (1)
- Int. J. Approx. Reasoning (1)
- Appl. Math. Lett. (1)
- J. Appl. Math. Stochastic Anal. (1)
- Lect. Mat. (1)
- Numer. Algorithms (1)
- Dyn. Syst. Appl. (1)
- Commun. Stat., Theory Methods (1)
- Comput. Stat. Data Anal. (1)
- SIAM J. Sci. Comput. (1)
- Appl. Math. (1)
- Filomat (1)
- An. Univ. Craiova, Ser. Mat. Inf. (1)
- ZOR, Math. Methods Oper. Res. (1)
- Bernoulli (1)
- Soft Comput. (1)
- Far East J. Appl. Math. (1)
- Discrete Dyn. Nat. Soc. (1)
- Nat. Resour. Model. (1)
- Interfaces Free Bound. (1)
- Acta Math. Sin., Engl. Ser. (1)
- Eur. Finance Rev. (1)
- Probab. Eng. Inf. Sci. (1)
- Int. J. Appl. Math. (1)
- J. Shaanxi Norm. Univ., Nat. Sci. Ed. (1)
- Commun. Math. Sci. (1)
- J. Actuar. Pract. (1)
- Fuzzy Optim. Decis. Mak. (1)
- Adv. Difference Equ. (1)
- Stochastics (1)
- Pac. J. Optim. (1)
- Front. Math. China (1)
- Int. J. Inf. Technol. Decis. Mak. (1)
- J. Financ. Econ. (1)
- J. Liaoning Univ. Technol., Nat. Sci. (1)
- Risk Decis. Anal. (1)
- Adv. Decis. Sci. (1)
- J. Bus. Econ. Stat. (1)
- and 13 more Serials
all
top 5
Year of Publication
- 2024 (7)
- 2023 (8)
- 2022 (8)
- 2021 (14)
- 2020 (9)
- 2019 (12)
- 2018 (10)
- 2017 (16)
- 2016 (18)
- 2015 (15)
- 2014 (24)
- 2013 (14)
- 2012 (14)
- 2011 (14)
- 2010 (17)
- 2009 (5)
- 2008 (11)
- 2007 (8)
- 2006 (10)
- 2005 (7)
- 2004 (8)
- 2003 (7)
- 2002 (3)
- 2001 (2)
- 2000 (9)
- 1999 (4)
- 1998 (2)
- 1997 (6)
- 1996 (6)
- 1995 (6)
- 1994 (1)
- 1992 (4)
- 1991 (1)
- 1988 (2)
- 1984 (1)
- 1981 (1)
- 1979 (2)
all
top 3
Software
- Deep xVA solver (2)
- Human Mortality (2)
- PMTK (2)
- QRM (2)
- Adam (1)
- Algorithm 647 (1)
- BENCHOP (1)
- CUDA (1)
- Cuba (1)
- Dowd (1)
- ElemStatLearn (1)
- Excel (1)
- FastICA (1)
- Faster R-CNN (1)
- HOGWILD (1)
- Kernlab (1)
- Maple (1)
- Mathematica (1)
- Matlab (1)
- Metrics (1)
- PRMLT (1)
- PerformanceAnalytics (1)
- PyTorch (1)
- Python (1)
- R (1)
- RMetrics (1)
- S-PLUS (1)
- TTR (1)
- XploRe (1)
- astsa (1)
- caret (1)
- clusfind (1)
- fArma (1)
- fExoticOptions (1)
- fGarch (1)
- fOptions (1)
- k-means++ (1)
- quantmod (1)
- tseries (1)
- wmtsa (1)
- xts (1)
