Knightian decision theory. I. Zbl 1041.91023
Bewley, Truman F. |
|
2002
|
Decision analysis using targets instead of utility functions. Zbl 1051.91503
Bordley, Robert; LiCalzi, Marco |
|
2000
|
Homogeneous semi-Markov reliability models for credit risk management. Zbl 1125.91341
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo |
|
2005
|
Optimal consumption and investment under partial information. Zbl 1165.91410
Putschögl, Wolfgang; Sass, Jörn |
|
2008
|
Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110
Cuchiero, Christa; Teichmann, Josef |
|
2019
|
Financial economics without probabilistic prior assumptions. Zbl 1398.91613
Riedel, Frank |
|
2015
|
A bidimensional approach to mortality risk. Zbl 1160.91366
Biffis, Enrico; Millossovich, Pietro |
|
2006
|
Conditional comonotonicity. Zbl 1063.60002
Jouini, Elyès; Napp, Clotilde |
|
2004
|
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad |
|
2019
|
The Aubin private core of differential information economies. Zbl 1125.91383
Graziano, Maria Gabriella; Meo, Claudia |
|
2005
|
On the construction of optimal payoffs. Zbl 1444.91201
Rüschendorf, L.; Vanduffel, Steven |
|
2020
|
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N. |
|
2001
|
Discrete-time delay dynamics of boundedly rational monopoly. Zbl 1302.91135
Matsumoto, Akio; Szidarovszky, Ferenc |
|
2014
|
Ramsey rule with forward/backward utility for long-term yield curves modeling. Zbl 1492.91395
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed |
|
2022
|
Normal approximations by Stein’s method. Zbl 0985.60024
Rinott, Yosef; Rotar, Vladimir |
|
2000
|
One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets. Zbl 1302.91199
Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura |
|
2014
|
Pricing VIX options with stochastic volatility and random jumps. Zbl 1273.91442
Lian, Guang-Hua; Zhu, Song-Ping |
|
2013
|
Optimal impulse control for cash management with quadratic holding-penalty costs. Zbl 1016.93071
Baccarin, Stefano |
|
2002
|
An efficient binomial method for pricing American options. Zbl 1040.91047
Gaudenzi, Marcellino; Pressacco, Flavio |
|
2003
|
Efficient Monte Carlo pricing of European options using mean value control variates. Zbl 1010.91051
Pellizzari, P. |
|
2001
|
A migration equilibrium model with uncertain data and movement costs. Zbl 1398.91474
Causa, A.; Jadamba, B.; Raciti, F. |
|
2017
|
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea |
|
2008
|
A combinatorial approach for pricing Parisian options. Zbl 1156.91364
Costabile, Massimo |
|
2002
|
Reaching nirvana with a defaultable asset? Zbl 1398.91502
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro |
|
2017
|
Market attention and Bitcoin price modeling: theory, estimation and option pricing. Zbl 1444.91208
Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco |
|
2020
|
A note on mixture sets in decision theory. Zbl 1019.91013
Mongin, Philippe |
|
2001
|
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads. Zbl 1137.91468
Ortu, Fulvio |
|
2001
|
On the smoothness of optimal paths. Zbl 1091.91053
Blot, Joël; Crettez, Bertrand |
|
2004
|
Oligopoly models with different learning and production time scales. Zbl 1419.91462
Cavalli, Fausto; Naimzada, Ahmad; Sodini, Mauro |
|
2018
|
Approximating exact expected utility via portfolio efficient frontiers. Zbl 1398.91509
Carleo, Alessandra; Cesarone, Francesco; Gheno, Andrea; Ricci, Jacopo Maria |
|
2017
|
Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544
Biancardi, Marta; Maddalena, Lucia |
|
2018
|
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J. |
|
2012
|
The optimal capital structure of the firm with stable Lévy assets returns. Zbl 1160.91014
Le Courtois, Olivier; Quittard-Pinon, François |
|
2008
|
Does market attention affect bitcoin returns and volatility? Zbl 1431.62474
Figá-Talamanca, Gianna; Patacca, Marco |
|
2019
|
A uniqueness theorem for convex-ranged probabilities. Zbl 0987.28002
Marinacci, Massimo |
|
2000
|
The completion of security markets. Zbl 1152.91525
Kountzakis, Christos; Polyrakis, Ioannis A. |
|
2006
|
An optimal insurance design problem under Knightian uncertainty. Zbl 1277.91075
Bernard, Carole; Ji, Shaolin; Tian, Weidong |
|
2013
|
Explicit solutions for shortfall risk minimization in multinomial models. Zbl 1049.91084
Scagnellato, Caterina; Vargiolu, Tiziano |
|
2002
|
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. Zbl 1137.91455
Korn, Ralf; Oertel, Frank; Schäl, Manfred |
|
2003
|
Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel-penot subdifferential. Zbl 1397.90382
Caristi, Giuseppe; Ferrara, Massimiliano |
|
2017
|
Genetic algorithm versus classical methods in sparse index tracking. Zbl 1398.91518
Giuzio, Margherita |
|
2017
|
Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475
Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio |
|
2018
|
Underestimation functions for a rank-two partitioning method. Zbl 1468.90126
Cambini, Riccardo |
|
2020
|
Utility indifference valuation for jump risky assets. Zbl 1273.91192
Ceci, Claudia; Gerardi, Anna |
|
2011
|
Linear cumulative prospect theory with applications to portfolio selection and insurance demand. Zbl 1218.91038
Schmidt, Ulrich; Zank, Horst |
|
2007
|
Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191
Brachetta, Matteo; Schmidli, Hanspeter |
|
2020
|
Volatility estimation from observed option prices. Zbl 0988.91034
Boyle, Phelim P.; Thangaraj, Draviam |
|
2000
|
Correlating Lévy processes with self-decomposability: applications to energy markets. Zbl 1480.91288
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela |
|
2021
|
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff. Zbl 1106.91035
Sanfelici, Simona |
|
2004
|
Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude |
|
2019
|
Fast and accurate calculation of American option prices. Zbl 1419.91644
Ballestra, Luca Vincenzo |
|
2018
|
Robust games: theory and application to a Cournot duopoly model. Zbl 1398.91022
Crespi, Giovanni Paolo; Radi, Davide; Rocca, Matteo |
|
2017
|
Cyclically monotone equilibrium problems and Ekeland’s principle. Zbl 1394.58006
Giuli, Massimiliano |
|
2017
|
Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate. Zbl 1470.91244
Khodamoradi, Tahereh; Salahi, Maziar; Najafi, Ali Reza |
|
2021
|
Groundwater extraction among overlapping generations: a differential game approach. Zbl 1465.91070
Biancardi, Marta; Maddalena, Lucia; Villani, Giovanni |
|
2020
|
Risk aversion and risk vulnerability in the continuous and discrete case. Zbl 1257.91021
Bohner, Martin; Gelles, Gregory M. |
|
2012
|
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Zbl 1198.91073
Wang, Wen-Kai; Ewald, Christian-Oliver |
|
2010
|
Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346
Hobson, D. G. |
|
2005
|
On the relationship between absolute prudence and absolute risk aversion. Zbl 1160.91331
Maggi, Mario A.; Magnani, Umberto; Menegatti, Mario |
|
2006
|
Market consistent valuations with financial imperfection. Zbl 1391.91167
Assa, Hirbod; Gospodinov, Nikolay |
|
2018
|
Characterisation of optimal dual measures via distortion. Zbl 1131.60063
Monoyios, Michael |
|
2006
|
Hedging and the competitive firm under correlated price and background risk. Zbl 1398.91664
Wong, Kit Pong |
|
2014
|
Two representations of information structures and their comparisons. Zbl 1505.91145
Green, Jerry R.; Stokey, Nancy L. |
|
2022
|
Gambling in contests modelled with diffusions. Zbl 1398.91295
Feng, Han; Hobson, David |
|
2015
|
Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111
Jacod, Jean |
|
2019
|
Semi-analytical prices for lookback and barrier options under the Heston model. Zbl 1432.91121
De Gennaro Aquino, Luca; Bernard, Carole |
|
2019
|
Differentiated oligopolistic markets with concave cost functions via Ky Fan inequalities. Zbl 1398.91399
Bigi, Giancarlo; Passacantando, Mauro |
|
2017
|
Poverty trap, boom and bust periods and growth. A nonlinear model for non-developed and developing countries. Zbl 1419.91494
Grassetti, Francesca; Mammana, Cristiana; Michetti, Elisabetta |
|
2018
|
The firm under uncertainty: real and financial decisions. Zbl 1274.91464
Broll, Udo; Wong, Kit Pong |
|
2013
|
Challenges in approximating the Black and Scholes call formula with hyperbolic tangents. Zbl 1470.91285
Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni |
|
2021
|
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options. Zbl 1165.91411
Sabino, Piergiacomo |
|
2009
|
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino |
|
2009
|
Incoherence measures and relations between coherence conditions for pairwise comparisons. Zbl 1465.91036
Brunelli, Matteo; Cavallo, Bice |
|
2020
|
How should a convertible bond be decomposed? Zbl 1257.91048
Zhu, Song-Ping; Zhang, Jing |
|
2012
|
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John |
|
2010
|
A notion of conditional probability and some of its consequences. Zbl 1455.60006
Berti, Patrizia; Dreassi, Emanuela; Rigo, Pietro |
|
2020
|
Lévy CARMA models for shocks in mortality. Zbl 1426.91222
Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit |
|
2019
|
Option pricing with stochastic volatility models. Zbl 1052.91045
Herzel, Stefano |
|
2000
|
Representing complete and incomplete subjective linear preferences on random numbers. Zbl 1064.91031
Girotto, Bruno; Holzer, Silvano |
|
2003
|
Arbitrage pricing theory and risk-neutral measures. Zbl 1106.91029
Rásonyi, Miklós |
|
2004
|
Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions. Zbl 1091.91032
Campi, Luciano |
|
2004
|
The link between the Shapley value and the beta factor. Zbl 1398.91043
Ortmann, Karl Michael |
|
2016
|
Existence of financial equilibria with endogenous short selling restrictions and real assets. Zbl 1398.91390
Gori, Michele; Pireddu, Marina; Villanacci, Antonio |
|
2014
|
Risk management under a prudential policy. Zbl 1398.91677
Assa, Hirbod |
|
2015
|
Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho |
|
2019
|
Asymptotic expansion for some local volatility models arising in finance. Zbl 1432.91107
Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; Pellegrini, Gregorio |
|
2019
|
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods. Zbl 1432.91137
Hok, Julien; Tan, Shih-Hau |
|
2019
|
A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A. |
|
2019
|
Relational consumption and nonlinear dynamics in an overlapping generations model. Zbl 1302.91136
Antoci, Angelo; Sodini, Mauro; Zarri, Luca |
|
2014
|
Indeterminacy and nonlinear dynamics in an OLG growth model with endogenous labour supply and inherited tastes. Zbl 1302.91139
Gori, Luca; Sodini, Mauro |
|
2014
|
A piecewise linear model of credit traps and credit cycles: a complete characterization. Zbl 1419.91634
Matsuyama, Kiminori; Sushko, Iryna; Gardini, Laura |
|
2018
|
Expectations and industry location: a discrete time dynamical analysis. Zbl 1310.91125
Agliari, Anna; Commendatore, Pasquale; Foroni, Ilaria; Kubin, Ingrid |
|
2014
|
Knightian uncertainty and insurance regulation decision. Zbl 1165.91347
Chen, An; Su, Xia |
|
2009
|
Unawareness, priors and posteriors. Zbl 1165.91350
Modica, Salvatore |
|
2008
|
Shapley and superShapley aggregation emerging from consensus dynamics in the multicriteria Choquet framework. Zbl 1465.91054
Bortot, Silvia; Marques Pereira, Ricardo Alberto; Stamatopoulou, Anastasia |
|
2020
|
A closed-form solution for the continuous-time consumption model with endogenous labor income. Zbl 1198.91200
Zhang, Aihua |
|
2010
|
Continuous-time mean-variance portfolio optimization in a jump-diffusion market. Zbl 1232.91603
Alp, Özge Sezgin; Korn, Ralf |
|
2011
|
Calibration to FX triangles of the 4/2 model under the benchmark approach. Zbl 1491.91145
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard |
|
2022
|
Stochastic Jacobian and Riccati ODE in affine term structure models. Zbl 1154.60056
Grasselli, Martino; Tebaldi, Claudio |
|
2007
|
On the smoothness of optimal paths. II. Some local turnpike results. Zbl 1141.91035
Blot, Joël; Crettez, Bertrand |
|
2007
|
Locally-coherent multi-population mortality modelling via neural networks. Zbl 1518.91200
Perla, Francesca; Scognamiglio, Salvatore |
|
2023
|
Modelplasticity and abductive decision making. Zbl 1515.91057
Mukhopadhyay, Subhadeep |
|
2023
|
Differentiated goods in a dynamic Cournot duopoly with emission charges on output. Zbl 1515.91096
Naimzada, Ahmad; Pireddu, Marina |
|
2023
|
Inverse data envelopment analysis without convexity: double frontiers. Zbl 1519.90080
Asadi, Farzaneh; Kordrostami, Sohrab; Amirteimoori, Alireza; Bazrafshan, Morteza |
|
2023
|
Ramsey rule with forward/backward utility for long-term yield curves modeling. Zbl 1492.91395
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed |
|
2022
|
Two representations of information structures and their comparisons. Zbl 1505.91145
Green, Jerry R.; Stokey, Nancy L. |
|
2022
|
Calibration to FX triangles of the 4/2 model under the benchmark approach. Zbl 1491.91145
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard |
|
2022
|
Expressions of forward starting option price in Hull-White stochastic volatility model. Zbl 1492.91375
Hata, Hiroaki; Liu, Nien-Lin; Yasuda, Kazuhiro |
|
2022
|
Long versus short time scales: the rough dilemma and beyond. Zbl 1492.91355
Garcin, Matthieu; Grasselli, Martino |
|
2022
|
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders. Zbl 1492.91371
De Angelis, Paolo; De Marchis, Roberto; Martire, Antonio L.; Russo, Emilio |
|
2022
|
Bias-optimal vol-of-vol estimation: the role of window overlapping. Zbl 1492.91360
Toscano, Giacomo; Recchioni, Maria Cristina |
|
2022
|
Beating the market? A mathematical puzzle for market efficiency. Zbl 1492.91347
Baumann, Michael Heinrich |
|
2022
|
Correlating Lévy processes with self-decomposability: applications to energy markets. Zbl 1480.91288
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela |
|
2021
|
Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate. Zbl 1470.91244
Khodamoradi, Tahereh; Salahi, Maziar; Najafi, Ali Reza |
|
2021
|
Challenges in approximating the Black and Scholes call formula with hyperbolic tangents. Zbl 1470.91285
Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni |
|
2021
|
An application of sigmoid and double-sigmoid functions for dynamic policyholder behaviour. Zbl 1475.91281
Baione, Fabio; Biancalana, Davide; De Angelis, Paolo |
|
2021
|
Reverse mortgages through artificial intelligence: new opportunities for the actuaries. Zbl 1470.91226
di Lorenzo, Emilia; Piscopo, Gabriella; Sibillo, Marilena; Tizzano, Roberto |
|
2021
|
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate. Zbl 1470.91227
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino |
|
2021
|
Longevity risk and economic growth in sub-populations: evidence from Italy. Zbl 1467.91117
Bozzo, Giuseppina; Levantesi, Susanna; Menzietti, Massimiliano |
|
2021
|
Breaking ties in collective decision-making. Zbl 1511.91058
Bubboloni, Daniela; Gori, Michele |
|
2021
|
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages. Zbl 1480.91276
Figá-Talamanca, Gianna; Focardi, Sergio; Patacca, Marco |
|
2021
|
A deep learning model for gas storage optimization. Zbl 1480.91153
Curin, Nicolas; Kettler, Michael; Kleisinger-Yu, Xi; Komaric, Vlatka; Krabichler, Thomas; Teichmann, Josef; Wutte, Hanna |
|
2021
|
Modelling dynamic lapse with survival analysis and machine learning in CPI. Zbl 1470.91219
Aleandri, Marco; Eletti, Alessia |
|
2021
|
Asian options with zero cost-of-carry: EEX options on freight and iron ore futures. Zbl 1467.91186
Haug, Espen Gaarder |
|
2021
|
Wage bargaining as an optimal control problem: a dynamic version of the efficient bargaining model. Zbl 1470.91129
Guerrazzi, Marco |
|
2021
|
Nonlinear optimal control of coupled time-delayed models of economic growth. Zbl 1470.91167
Rigatos, G.; Siano, P.; Abbaszadeh, M.; Ghosh, T. |
|
2021
|
Non-compliant behaviour in public procurement: an evolutionary model with endogenous monitoring. Zbl 1470.91111
Coppier, Raffaella; Grassetti, Francesca; Michetti, Elisabetta |
|
2021
|
Learning in a double-phase cobweb model. Zbl 1480.91123
Cavalli, Fausto; Naimzada, Ahmad; Parisio, Lucia |
|
2021
|
Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach. Zbl 1480.91273
Campisi, Giovanni; Muzzioli, Silvia; Tramontana, Fabio |
|
2021
|
Cross-section instability in financial markets: impatience, extrapolation, and switching. Zbl 1480.91275
Dieci, Roberto; He, Xue-Zhong |
|
2021
|
Investigating the relationship between volatilities of cryptocurrencies and other financial assets. Zbl 1480.91331
Ghorbel, Achraf; Jeribi, Ahmed |
|
2021
|
Optimal switch from a fossil-fueled to an electric vehicle. Zbl 1480.91157
Falbo, Paolo; Ferrari, Giorgio; Rizzini, Giorgio; Schmeck, Maren Diane |
|
2021
|
CSR leadership, spillovers, and first-mover advantage. Zbl 1480.91105
Kopel, Michael |
|
2021
|
A note on symmetry breaking in a non linear marketing model. Zbl 1481.90197
Caravaggio, Andrea; Cerboni Baiardi, Lorenzo; Sodini, Mauro |
|
2021
|
On the construction of optimal payoffs. Zbl 1444.91201
Rüschendorf, L.; Vanduffel, Steven |
|
2020
|
Market attention and Bitcoin price modeling: theory, estimation and option pricing. Zbl 1444.91208
Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco |
|
2020
|
Underestimation functions for a rank-two partitioning method. Zbl 1468.90126
Cambini, Riccardo |
|
2020
|
Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191
Brachetta, Matteo; Schmidli, Hanspeter |
|
2020
|
Groundwater extraction among overlapping generations: a differential game approach. Zbl 1465.91070
Biancardi, Marta; Maddalena, Lucia; Villani, Giovanni |
|
2020
|
Incoherence measures and relations between coherence conditions for pairwise comparisons. Zbl 1465.91036
Brunelli, Matteo; Cavallo, Bice |
|
2020
|
A notion of conditional probability and some of its consequences. Zbl 1455.60006
Berti, Patrizia; Dreassi, Emanuela; Rigo, Pietro |
|
2020
|
Shapley and superShapley aggregation emerging from consensus dynamics in the multicriteria Choquet framework. Zbl 1465.91054
Bortot, Silvia; Marques Pereira, Ricardo Alberto; Stamatopoulou, Anastasia |
|
2020
|
Changes in multiplicative risks and optimal portfolio choice: new interpretations and results. Zbl 1444.91197
De Donno, Marzia; Magnani, Marco; Menegatti, Mario |
|
2020
|
Relations between coherence conditions and row orders in pairwise comparison matrices. Zbl 1465.91037
Cavallo, Bice; D’Apuzzo, Livia |
|
2020
|
A note on rational inattention and rate distortion theory. Zbl 1444.91082
Denti, Tommaso; Marinacci, Massimo; Montrucchio, Luigi |
|
2020
|
A special issue on the mathematics of subjective probability. Zbl 1493.00019
|
|
2020
|
Predictive distributions that mimic frequencies over a restricted subdomain. Zbl 1444.62032
Lad, Frank; Sanfilippo, Giuseppe |
|
2020
|
Optimal Markov strategies. Zbl 1451.60043
Sudderth, William D. |
|
2020
|
Interactive consistency correction in the analytic hierarchy process to preserve ranks. Zbl 1465.91043
Ishizaka, Alessio; Siraj, Sajid |
|
2020
|
Robust data envelopment analysis via ellipsoidal uncertainty sets with application to the Italian banking industry. Zbl 1465.91124
Mensah, Emmanuel Kwasi |
|
2020
|
Multi-criteria and medical diagnosis for application to health insurance systems: a general approach through non-additive measures. Zbl 1465.91091
Anzilli, Luca; Giove, Silvio |
|
2020
|
Inconsistency evaluation in pairwise comparison using norm-based distances. Zbl 1465.91040
Fedrizzi, Michele; Civolani, Nino; Critch, Andrew |
|
2020
|
Integrating fuzzy goal programming and data envelopment analysis to incorporate preferred decision-maker targets in efficiency measurement. Zbl 1465.91039
Di Caprio, Debora; Ebrahimnejad, Ali; Ghiyasi, Mojtaba; Santos-Arteaga, Francisco J. |
|
2020
|
Pricing electricity forwards under future information on the stochastic mean-reversion level. Zbl 1465.91115
Hess, Markus |
|
2020
|
Constructing dynamic life tables with a single-factor model. Zbl 1468.91120
Atance, David; Balbás, Alejandro; Navarro, Eliseo |
|
2020
|
Semilattices, canonical embeddings and representing measures. Zbl 1442.28002
Cassese, Gianluca |
|
2020
|
Decisions on production and quality. Zbl 1442.49003
Grosset, Luca; Viscolani, Bruno |
|
2020
|
Pricing and hedging defaultable participating contracts with regime switching and jump risk. Zbl 1444.91192
Le Courtois, Olivier; Quittard-Pinon, François; Su, Xiaoshan |
|
2020
|
Markovian lifts of positive semidefinite affine Volterra-type processes. Zbl 1432.91110
Cuchiero, Christa; Teichmann, Josef |
|
2019
|
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad |
|
2019
|
Does market attention affect bitcoin returns and volatility? Zbl 1431.62474
Figá-Talamanca, Gianna; Patacca, Marco |
|
2019
|
Robust calibration and arbitrage-free interpolation of SSVI slices. Zbl 1431.91390
Corbetta, Jacopo; Cohort, Pierre; Laachir, Ismail; Martini, Claude |
|
2019
|
Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111
Jacod, Jean |
|
2019
|
Semi-analytical prices for lookback and barrier options under the Heston model. Zbl 1432.91121
De Gennaro Aquino, Luca; Bernard, Carole |
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2019
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Lévy CARMA models for shocks in mortality. Zbl 1426.91222
Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit |
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2019
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Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho |
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2019
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Asymptotic expansion for some local volatility models arising in finance. Zbl 1432.91107
Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; Pellegrini, Gregorio |
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2019
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Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods. Zbl 1432.91137
Hok, Julien; Tan, Shih-Hau |
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2019
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A realized volatility approach to option pricing with continuous and jump variance components. Zbl 1432.91117
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A. |
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2019
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Kyle equilibrium under random price pressure. Zbl 1426.91315
Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, José |
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2019
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From volatility smiles to the volatility of volatility. Zbl 1432.91122
Dumas, Bernard; Luciano, Elisa |
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2019
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Model-free stochastic collocation for an arbitrage-free implied volatility. I. Zbl 1431.91400
Le Floc’h, Fabien; Oosterlee, Cornelis W. |
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2019
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A note on the implied volatility of floating strike Asian options. Zbl 1432.91118
Alòs, Elisa; León, Jorge A. |
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2019
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Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. Zbl 1426.91203
Bacinello, Anna Rita; Zoccolan, Ivan |
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2019
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Coherent modeling of mortality patterns for age-specific subgroups. Zbl 1426.91220
Giordano, Giuseppe; Haberman, Steven; Russolillo, Maria |
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2019
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Estimating stochastic volatility: the rough side to equity returns. Zbl 1432.91124
Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas |
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2019
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Asymptotic results for the Fourier estimator of the integrated quarticity. Zbl 1432.91112
Livieri, Giulia; Mancino, Maria Elvira; Marmi, Stefano |
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2019
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On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method. Zbl 1432.91109
Cacace, F.; Germani, A.; Papi, M. |
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2019
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Foreword special issue Deaf 2019 – MAF 2018. Zbl 1481.00042
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2019
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Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment. Zbl 1426.91282
Albano, Giuseppina; La Rocca, Michele; Perna, Cira |
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2019
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Time-consistency of risk measures: how strong is such a property? Zbl 1426.91310
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela |
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2019
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Oligopoly models with different learning and production time scales. Zbl 1419.91462
Cavalli, Fausto; Naimzada, Ahmad; Sodini, Mauro |
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2018
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Competition and cooperation in the exploitation of the groundwater resource. Zbl 1419.91544
Biancardi, Marta; Maddalena, Lucia |
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2018
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Some reflections on past and future of nonlinear dynamics in economics and finance. Zbl 1419.91475
Anufriev, Mikhail; Radi, Davide; Tramontana, Fabio |
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2018
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Fast and accurate calculation of American option prices. Zbl 1419.91644
Ballestra, Luca Vincenzo |
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2018
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Market consistent valuations with financial imperfection. Zbl 1391.91167
Assa, Hirbod; Gospodinov, Nikolay |
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2018
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Poverty trap, boom and bust periods and growth. A nonlinear model for non-developed and developing countries. Zbl 1419.91494
Grassetti, Francesca; Mammana, Cristiana; Michetti, Elisabetta |
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2018
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A piecewise linear model of credit traps and credit cycles: a complete characterization. Zbl 1419.91634
Matsuyama, Kiminori; Sushko, Iryna; Gardini, Laura |
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2018
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Optimal strategy for a fund manager with option compensation. Zbl 1391.91150
Nicolosi, Marco |
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2018
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Technology choice in an evolutionary oligopoly game. Zbl 1419.91468
Lamantia, Fabio; Negriu, Anghel; Tuinstra, Jan |
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2018
|
Steady states, stability and bifurcations in multi-asset market models. Zbl 1419.91660
Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank |
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2018
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A heterogeneous agent model of asset price dynamics with two time delays. Zbl 1419.91306
Guerrini, Luca; Matsumoto, Akio; Szidarovszky, Ferenc |
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2018
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An evolutionary model with best response and imitative rules. Zbl 1419.91463
Cerboni Baiardi, Lorenzo; Naimzada, Ahmad K. |
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2018
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Sense, nonsense and the S&P500. Zbl 1419.91625
Rogers, L. C. G. |
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2018
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Advertising a product to face a competitor entry: a differential game approach. Zbl 1419.91460
Buratto, Alessandra; Wrzaczek, Stefan |
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2018
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Global indeterminacy and equilibrium selection in a model with depletion of non-renewable resources. Zbl 1419.91543
Bella, Giovanni; Mattana, Paolo |
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2018
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Environmental depletion, defensive consumption and negative externalities. Zbl 1419.91492
Fiori Maccioni, Alessandro |
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2018
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Effects of fixed and continuously distributed delays in a monopoly model with constant price elasticity. Zbl 1419.91298
Guerrini, Luca; Pecora, Nicolò; Sodini, Mauro |
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2018
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A continuous-time heterogeneous duopoly model with delays. Zbl 1419.91459
Brianzoni, Serena; Campisi, Giovanni; Guerrini, Luca |
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2018
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Real options signaling game models for dynamic acquisition under information asymmetry. Zbl 1391.91160
Leung, Chi Man; Kwok, Yue Kuen |
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2018
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| ...and 142 more Documents |
