Pages that link to "Item:Q1883335"
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The following pages link to Stochastic calculus for finance. II: Continuous-time models. (Q1883335):
Displaying 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)
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
- Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise (Q2660761) (← links)
- Optimization of stock trading with additional information by limit order book (Q2664237) (← links)
- Financial markets and the phase transition between water and steam (Q2669347) (← links)
- Options on bonds: implied volatilities from affine short-rate dynamics (Q2672920) (← links)
- Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (Q2673416) (← links)
- On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs (Q2680508) (← links)
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic (Q2681451) (← links)
- No free lunch for markets with multiple numéraires (Q2686002) (← links)
- Deep physics corrector: a physics enhanced deep learning architecture for solving stochastic differential equations (Q2687567) (← links)
- An optimal portfolio and consumption problem with a benchmark and partial information (Q2690075) (← links)
- Optimal investment strategy for an insurer with partial information in capital and insurance markets (Q2691446) (← links)
- Fast and precise inference on diffusivity in interacting particle systems (Q2696089) (← 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)
- Stock Loans in Incomplete Markets (Q3176522) (← links)
- A long time asymptotic behavior of the free boundary for an American put (Q3182581) (← links)
- Option pricing formulas under a change of numèraire (Q3298110) (← links)
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
- Constrained Brownian processes and constrained Brownian bridges (Q3302946) (← 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)
- Enhanced equity-credit modelling for contingent convertibles (Q4554224) (← links)