Found 170 Documents (Results 1–100)
A novel portfolio optimization method and its application to the hedging problem. (English) Zbl 07922094
Are minimum variance portfolios in multi-factor models long in low-beta assets? (English) Zbl 07903128
A short note on super-hedging an arbitrary number of European options with integer-valued strategies. (English) Zbl 07891548
Option pricing: examples and open problems. (English) Zbl 1542.91393
Reviewer: Claudio Fontana (Paris)
MSC:
91G20
Managing demand slowdown: the interplay between trade-ins and quality improvement. (English) Zbl 1530.91204
Perpetual cancellable American options with convertible features. (English) Zbl 1533.91474
Reviewer: Gianluca Cassese (Milano)
Separation or integration: the game between retailers with online and offline channels. (English) Zbl 07709083
MSC:
90Bxx
Asset price bubbles, wealth preserving, dominating, and replicating trading strategies. (English) Zbl 1519.91271
Equilibrium strategies and pricing for a congested system with opaque price and loss-averse customers. (English) Zbl 1524.60251
A guaranteed deterministic approach to superhedging: the relationship between the deterministic and probabilistic problem statements without trading constraints. (English. Russian original) Zbl 1512.91154
Theory Probab. Appl. 67, No. 4, 548-569 (2023); translation from Teor. Veroyatn. Primen. 67, No. 4, 548-569 (2022).
Joining strategies of noncooperative and cooperative in a single server retrial queue with \(N\)-policy and multiple server vacations. (English) Zbl 07649689
Buy rough, sell smooth. (English) Zbl 07907635
Gershon, David (ed.) et al., Options – 45 years since the publication of the Black-Scholes-Merton model. The Gershon Fintech Center conference. Singapore: World Scientific. World Sci. Lect. Notes Finance 6, 89-125 (2022).
The effects of price subsidy and fairness concern on pricing and benefits of take-away supply chain. (English) Zbl 1497.91128
The stock implied volatility and the implied dividend volatility. (English) Zbl 1517.91240
MSC:
91G20
Equilibrium strategies and optimal pricing in an online retailing queueing system. (English) Zbl 1523.90090
MSC:
90B22
Guaranteed deterministic approach to superhedging: structural stability and approximation. (English. Russian original) Zbl 1489.91273
Comput. Math. Model. 32, No. 2, 129-146 (2021); translation from Prikl. Mat. Inf. 66, 25-45 (2021).
MSC:
91G20
A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports. (English) Zbl 1479.91417
Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 355-372 (2021).
Macroeconomic stabilisation and monetary policy effectiveness in a low-interest-rate environment. (English) Zbl 1478.91120
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. (English) Zbl 1475.60098
An agent-based market simulation for enriching innovation management education. (English) Zbl 07360132
MSC:
90Bxx
Robust statistical arbitrage strategies. (English) Zbl 1466.91345
MSC:
91G20
How many good and bad funds are there, really? (English) Zbl 1452.91307
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753-3827 (2021).
Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 1454.91225
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059-3098 (2021).
Pricing and inventory strategies under quick response with strategic and myopic consumers. (English) Zbl 07767502
MSC:
90-XX
Two-stage pricing strategy with price discount in online social networks. (English) Zbl 07666349
Wu, Weili (ed.) et al., Combinatorial optimization and applications. 14th international conference, COCOA 2020, Dallas, TX, USA, December 11–13, 2020. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 12577, 185-197 (2020).
Hedging strategies in commodity markets – rolling intrinsic and delta hedging for virtual power plants. (English) Zbl 1466.91326
MSC:
91G20
Buy rough, sell smooth. (English) Zbl 1466.91336
Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods. (English. Russian original) Zbl 1460.91277
Comput. Math. Model. 31, No. 3, 384-401 (2020); translation from Prikl. Mat. Inf. 63, 82-104 (2020).
MSC:
91G20
Analysis of strategies in queueing system based on different prices. (Chinese. English summary) Zbl 1463.90047
A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem. (Russian. English summary) Zbl 1458.91213
Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020); translation in Autom. Remote Control 83, No. 11, 1820-1842 (2022).
Reviewer: George Stoica (Saint John)
MSC:
91G20
A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium. (Russian. English summary) Zbl 1444.91213
Mat. Teor. Igr Prilozh. 12, No. 1, 60-90 (2020); translation in Autom. Remote Control 83, No. 12, 2019-2036 (2022).
Pricing and product-bundling strategies for e-commerce platforms with competition. (English) Zbl 1441.91029
MSC:
91B24
Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404
Reviewer: George Stoica (Saint John)
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models. (English) Zbl 1425.91319
Agricultural commodity futures trading based on cross-country rolling quantile return signals. (English) Zbl 1420.91467
Pricing strategies for complementary products in green supply chain. (Chinese. English summary) Zbl 1424.90136
Dealing with the dimensionality curse in dynamic pricing competition: using frequent repricing to compensate imperfect market anticipations. (English) Zbl 1458.91130
Pricing and sourcing strategies for competing retailers in supply chains under disruption risk. (English) Zbl 1374.90054
Partial hedging for equity-linked products using risk-minimizing strategies. (English) Zbl 1414.91187
MSC:
91B30
A new approach on studying the stability of evolutionary game dynamics for financial systems. (English) Zbl 1424.91175
Add-on pricing in retail financial markets and the fallacies of consumer education. (English) Zbl 1402.91986
Multichannel contagion and systemic stabilisation strategies in interconnected financial markets. (English) Zbl 1402.91992
Pricing and hedging contingent claims using variance and higher order moment swaps. (English) Zbl 1402.91812
MSC:
91G20
Pricing strategies of a three-stage supply chain: a new research in the big data era. (English) Zbl 1412.90024
Retailer optimal pricing and option ordering strategies based on option contract under correlation between market demand and sales price. (Chinese. English summary) Zbl 1399.91121
MSC:
91G20
Pricing strategies with fairness preference by considering quality and marketing efforts. (Chinese. English summary) Zbl 1399.90159
Super-hedging American options with semi-static trading strategies under model uncertainty. (English) Zbl 1396.91716
The space of outcomes of semi-static trading strategies need not be closed. (English) Zbl 1416.91410
Reviewer: Aleksandr D. Borisenko (Kyïv)
Analytical finance. Volume I. The mathematics of equity derivatives, markets, risk and valuation. (English) Zbl 1382.91001
Cham: Springer/Palgrave Macmillan (ISBN 978-3-319-34026-5/pbk; 978-3-319-34027-2/ebook). xxvii, 492 p. (2017).
Reviewer: Anatoliy Swishchuk (Calgary)
Model uncertainty and the pricing of American options. (English) Zbl 1380.91131
Reviewer: Yuliya S. Mishura (Kyïv)
Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models. (English) Zbl 1410.91466
MSC:
91G20
A manufacturer distribution issue: how to manage an online and a traditional retailer. (English) Zbl 1406.91139
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. (English) Zbl 1357.91046
Incentive strategies for an optimal recovery program in a closed-loop supply chain. (English) Zbl 1346.91017
Products difference pricing strategy of closed-loop supply chain with remanufacturing rate random. (Chinese. English summary) Zbl 1349.90022
A note on the self-financing condition for funding, collateral and discounting. (English) Zbl 1337.91089
MSC:
91G20
On an optimization problem related to static super-replicating strategies. (English) Zbl 1299.91140
MSC:
91G20
Sensitivity with respect to the yield curve: duration in a stochastic setting. (English) Zbl 1418.91556
Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 363-385 (2014).
An optimal stochastic control framework for determining the cost of hedging of variable annuities. (English) Zbl 1402.93266
Model-free CPPI. (English) Zbl 1402.91732
A research on outsourcing strategies and stability of closed-loop supply chains with dominant manufacturer. (Chinese. English summary) Zbl 1340.90024
Parametric mortality indexes: from index construction to hedging strategies. (English) Zbl 1306.91140
Optimal strategies for a long-term static investor. (English) Zbl 1303.91163
Reviewer: Yuliya S. Mishura (Kyïv)
Coordinating inventory control and pricing strategies for perishable products. (English) Zbl 1302.91097
On the efficiency of influence-and-exploit strategies for revenue maximization under positive externalities. (English) Zbl 1358.91053
Optimal strategies of the perpetual executive stock options. (Chinese. English summary) Zbl 1313.91191
A new fuzzy functions model tuned by hybridizing imperialist competitive algorithm and simulated annealing. Application: stock price prediction. (English) Zbl 1293.68252
MSC:
68T20
91B25
American options with guarantee – a class of two-sided stopping problems. (English) Zbl 1288.60050
Reviewer: Tomáš Cipra (Praha)
Hedging under arbitrage. (English) Zbl 1262.91138
The pricing problem. I: Exact and approximate algorithms. (Russian, English) Zbl 1324.68048
Diskretn. Anal. Issled. Oper. 19, No. 5, 83-100 (2012); translation in J. Appl. Ind. Math. 7, No. 2, 241-251 (2013).
On duality principle for hedging strategies in diffusion models. (English. Russian original) Zbl 1266.91103
Theory Probab. Appl. 56, No. 3, 376-402 (2012); translation from Teor. Veroyatn. Primen. 56, No. 3, 417-448 (2011).
MSC:
91G20
Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality. (English) Zbl 1260.91235
MSC:
91G20
91B30
Asymmetric marginal costs in search models. (English) Zbl 1253.91075
MSC:
91B24
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