Pages that link to "Item:Q1883335"
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The following pages link to Stochastic calculus for finance. II: Continuous-time models. (Q1883335):
Displayed 50 items.
- A feasible natural hedging strategy for insurance companies (Q2443233) (← links)
- On the valuation of reverse mortgages with regular tenure payments (Q2445355) (← links)
- Mortality surface by means of continuous time cohort models (Q2445996) (← links)
- Path-dependent game options: a lookback case (Q2447511) (← links)
- Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms (Q2448368) (← links)
- The randomly stopped geometric Brownian motion (Q2453926) (← links)
- Continuous and tractable models for the variation of evolutionary rates (Q2489580) (← links)
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients (Q2510016) (← links)
- Optimal portfolio choice for an insurer with loss aversion (Q2513637) (← links)
- Mimicking self-similar processes (Q2515501) (← links)
- Long-term behavior of stochastic interest rate models with Markov switching (Q2520458) (← links)
- Fitted finite volume method for pricing CO<sub>2</sub>futures option based on the underlying with non-log-normal distribution (Q2804500) (← links)
- Method of Lines Transpose: High Order L-Stable ${\mathcal O}(N)$ Schemes for Parabolic Equations Using Successive Convolution (Q2810566) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- Exotic Properties of Non Homogeneous Markov and Semi-Markov Systems (Q2862301) (← links)
- Default risk in interest rate derivatives with stochastic volatility (Q2866401) (← links)
- Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319) (← links)
- Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077) (← links)
- Impulse Control of Interest Rates (Q2935303) (← links)
- Multilevel Monte Carlo Approximation of Distribution Functions and Densities (Q2945150) (← links)
- Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo (Q2957024) (← links)
- Transmission Valuation Analysis based on Real Options with Price Spikes (Q2974412) (← links)
- On the arbitrage price of European call options (Q2976121) (← links)
- A Generalization of Geometric Brownian Motion with Applications (Q3015918) (← links)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
- Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas (Q3114575) (← links)
- A long time asymptotic behavior of the free boundary for an American put (Q3182581) (← links)
- A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION (Q3444866) (← links)
- ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (Q3553253) (← links)
- A free boundary problem arising from pricing convertible bond (Q3553772) (← links)
- An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads (Q3621148) (← links)
- Valuing qualitative options with stochastic volatility (Q3650963) (← links)
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION (Q4563780) (← links)
- Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298) (← links)
- Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (Q4604901) (← links)
- A Stochastic Model of Optimal Debt Management and Bankruptcy (Q4607052) (← links)
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS (Q4608116) (← links)
- Analysis of a jump-diffusion option pricing model with serially correlated jump sizes (Q4634810) (← links)
- Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index (Q4639222) (← links)
- A review of numerical methods for nonlinear partial differential equations (Q4899977) (← links)
- AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (Q4902545) (← links)
- Computation of the effects of uncertainty in volatility on option pricing and hedging (Q4903549) (← links)
- Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims (Q4915657) (← links)
- Some applications of<i>M</i>-ary detection in quantitative finance (Q5189711) (← links)
- On Suboptimality of Delta Hedging for Asian Options (Q5258450) (← links)
- Elementary stochastic calculus for finance with infinitesimals (Q5270024) (← links)
- Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations (Q5298846) (← links)
- A system of variational inequalities arising from finite expiry Russian option with two regimes (Q5323020) (← links)
- An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (Q5351667) (← links)