Mathematical finance
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)
- Lévy-Ito models in finance
- Mean-variance hedging in the presence of estimation risk
- Ruin probabilities for a Sparre Andersen model with investments
- Smiles \& smirks: volatility and leverage by jumps
- On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
- Fourier based methods for the management of complex life insurance products
- Semimartingale price systems in models with transaction costs beyond efficient friction
- A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process
- Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. 3
- Asset Pricing, Financial Markets, and Linear Algebra
- Modern Problems of Financial Mathematics
- Review Paper. A survey of mathematical finance
- Finance, economics, and mathematics. With a foreword by Robert C. Merton
- Mathematical Asset Management
- scientific article; zbMATH DE number 1257762 (Why is no real title available?)
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 1104309 (Why is no real title available?)
- scientific article; zbMATH DE number 1163406 (Why is no real title available?)
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 847292 (Why is no real title available?)
- Diffusion processes, jump processes, and stochastic differential equations
- Variable annuities in a Lévy-based hybrid model with surrender risk
- A multiple curve Lévy swap market model
- From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017
- Financial mathematics in discrete time
- scientific article; zbMATH DE number 7127342 (Why is no real title available?)
- Theoretical Foundations for Quantitative Finance
- Handbooks in operations research and management science: Financial engineering
- scientific article; zbMATH DE number 5181830 (Why is no real title available?)
- Ranked masses in two-parameter Fleming–Viot diffusions
- Stochastic calculus of variations for jump processes
- ETF basket-adjusted covariance estimation
- Optimal investment and consumption for financial markets with jumps under transaction costs
- The bilateral Gamma motion: calibration and option pricing
- The term structure of implied correlations between S\&P and VIX markets
- A value-at-risk approach to futures hedge
- A stochastic representation theorem for sublinear semigroups with non-local generators
- Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
- The fundamental theorem of asset pricing with and without transaction costs
- Parameter estimation for partially observed affine and polynomial processes
- Mathematical methods for financial markets.
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