| Publication | Date of Publication | Type |
|---|
Discussion of: ``Virtual age, is it real?
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Analytical pricing of single barrier options under local volatility models
Quantitative Finance | 2021-07-16 | Paper |
MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH
International Journal of Theoretical and Applied Finance | 2020-01-16 | Paper |
A jump-diffusion model for pricing corporate debt securities in a complex capital structure
Quantitative Finance | 2019-01-14 | Paper |
On the First Passage Time Under Regime-Switching with Jumps
Inspired by Finance | 2018-12-13 | Paper |
A unified approach for the pricing of options relating to averages
Review of Derivatives Research | 2018-11-30 | Paper |
An analytical approximation for pricing VWAP options
Quantitative Finance | 2018-11-19 | Paper |
An extension of the chaos expansion approximation for the pricing of exotic basket options
Applied Mathematical Finance | 2018-09-11 | Paper |
Does the Hurst index matter for option prices under fractional volatility?
Annals of Finance | 2017-04-28 | Paper |
Credit-equity modeling under a latent Lévy firm process
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty
Decisions in Economics and Finance | 2013-11-07 | Paper |
Credit events and the valuation of credit derivatives of basket type
Review of Derivatives Research | 2013-10-29 | Paper |
Valuation of a credit swap of the basket type
Review of Derivatives Research | 2013-10-29 | Paper |
Stochastic processes with applications to finance
| 2013-08-07 | Paper |
EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility
Journal of Economic Dynamics and Control | 2011-03-31 | Paper |
scientific article; zbMATH DE number 5866251 (Why is no real title available?)
| 2011-03-15 | Paper |
scientific article; zbMATH DE number 5866303 (Why is no real title available?)
| 2011-03-15 | Paper |
Pricing of CDOs based on the multivariate Wang transform
Journal of Economic Dynamics and Control | 2010-12-01 | Paper |
Economic models for the environmental Kuznets curve: a survey
Journal of Economic Dynamics and Control | 2010-06-11 | Paper |
Real options in a duopoly market with general volatility structure
| 2010-01-13 | Paper |
Estimation of the local volatility of discount bonds using market quotes for coupon-bond options.
| 2010-01-13 | Paper |
A latent process model for the pricing of corporate securities
Mathematical Methods of Operations Research | 2009-07-06 | Paper |
Pricing of path-dependent American options by Monte Carlo simulation
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
ASTIN Bulletin | 2009-06-15 | Paper |
An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
Insurance Mathematics & Economics | 2008-06-25 | Paper |
THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
Journal of the Operations Research Society of Japan | 2008-04-29 | Paper |
THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
Journal of the Operations Research Society of Japan | 2008-02-05 | Paper |
Value-at-risk in a market subject to regime switching
Quantitative Finance | 2008-01-31 | Paper |
A positive interest rate model with sticky barrier
Quantitative Finance | 2007-10-09 | Paper |
A Note on External Uniformization for Finite Markov Chains in Continuous Time
Probability in the Engineering and Informational Sciences | 2007-01-19 | Paper |
A Consumption–Investment Problem with Production Possibilities
From Stochastic Calculus to Mathematical Finance | 2006-10-23 | Paper |
A Markov model for valuing asset prices in a dynamic bargaining market
Quantitative Finance | 2005-12-09 | Paper |
VaR is subject to a significant positive bias
Statistics & Probability Letters | 2005-08-01 | Paper |
On the term structure of lending interest rates when a fraction of collateral is recovered upon default
Japan Journal of Industrial and Applied Mathematics | 2004-09-27 | Paper |
An economic premium principle in a multiperiod economy.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
Mathematical Finance | 2003-08-13 | Paper |
scientific article; zbMATH DE number 1955484 (Why is no real title available?)
| 2003-07-28 | Paper |
Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
Mathematical Finance | 2003-02-02 | Paper |
Stochastic processes in reliability
| 2002-02-24 | Paper |
Stochastic orders and their applications in financial optimization
Mathematical Methods of Operations Research | 2001-04-08 | Paper |
scientific article; zbMATH DE number 1420965 (Why is no real title available?)
| 2000-03-22 | Paper |
scientific article; zbMATH DE number 1395406 (Why is no real title available?)
| 2000-01-30 | Paper |
A \((T,S)\) inventory/production system with limited production capacity and uncertain demands
Operations Research Letters | 1999-12-19 | Paper |
scientific article; zbMATH DE number 1377728 (Why is no real title available?)
| 1999-12-14 | Paper |
Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains
Journal of Applied Probability | 1999-08-02 | Paper |
PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
Mathematical Finance | 1999-02-23 | Paper |
The generalized harmonic mean and a portfolio problem with dependent assets
Theory and Decision | 1998-07-22 | Paper |
Limiting Conditional Distributions for Birthdeath Processes
Advances in Applied Probability | 1998-02-18 | Paper |
scientific article; zbMATH DE number 1086990 (Why is no real title available?)
| 1997-11-13 | Paper |
A point process model for the reliability of a maintained system subject to general repair
Communications in Statistics. Stochastic Models | 1997-07-08 | Paper |
scientific article; zbMATH DE number 965582 (Why is no real title available?)
| 1997-01-14 | Paper |
Weighted sums of orthogonal polynomials with positive zeros
Journal of Computational and Applied Mathematics | 1996-07-15 | Paper |
American put options with a finite set of exercisable time epochs
Mathematical and Computer Modelling | 1996-02-12 | Paper |
Bounds for the quasi-stationary distribution of some specialized Markov chains
Mathematical and Computer Modelling | 1996-02-12 | Paper |
Numerical Calculation of Ruin Probabilities for Skip-Free Markov Chains
SIAM Review | 1994-05-19 | Paper |
Approximate valuation of average options
Annals of Operations Research | 1994-04-13 | Paper |
A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
Journal of the Operations Research Society of Japan | 1994-03-27 | Paper |
Quasi-limiting distributions of Markov chains that are skip-free to the left in continuous time
Journal of Applied Probability | 1994-02-17 | Paper |
Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
Annals of Operations Research | 1994-02-09 | Paper |
Quasi-Stationary Distributions of Single-Server Phase-Type Queues
Mathematics of Operations Research | 1993-08-05 | Paper |
Evaluation of the decay parameter for some specialized birth-death processes
Journal of Applied Probability | 1993-04-01 | Paper |
The transient solution to a class of Markovian queues
Computers & Mathematics with Applications | 1993-04-01 | Paper |
Computation of the quasi-stationary distributions in \(M(n)/GI/1/K\) and \(GI/M(n)/1/K\) queues
Queueing Systems | 1993-01-17 | Paper |
Replacement policies of a shock model with imperfect preventive maintenance
European Journal of Operational Research | 1993-01-16 | Paper |
THEORY AND ALGORITHMS OF THE LAGUERRE TRANSFORM, PART II: ALGORITHM
Journal of the Operations Research Society of Japan | 1993-01-16 | Paper |
Further monotonicity properties of renewal processes
Advances in Applied Probability | 1992-10-04 | Paper |
A unified approach to gi/m(n)/l/k and m(n)/g/1/k queues via finite quasi-birth-death processes
Communications in Statistics. Stochastic Models | 1992-09-27 | Paper |
Single Machine Scheduling Problem When the Machine Capacity Varies Stochastically
Operations Research | 1992-09-27 | Paper |
On the existence of quasi-stationary distributions in denumerable R-transient Markov chains
Journal of Applied Probability | 1992-08-13 | Paper |
Some results for quasi-stationary distributions of birth-death processes
Journal of Applied Probability | 1992-06-26 | Paper |
scientific article; zbMATH DE number 4187441 (Why is no real title available?)
| 1991-01-01 | Paper |
Decomposition of the M/M/1 transition function
Queueing Systems | 1991-01-01 | Paper |
On the largest negative eigenvalue of the infinitesimal generator associated with M/M/n/n queues
Operations Research Letters | 1990-01-01 | Paper |
On interchangeability for exponential single-server queues in tandem
Journal of Applied Probability | 1990-01-01 | Paper |
ON THE UNIMODALITY OF TRANSITION PROBABILITIES IN MARKOV CHAINS
Australian Journal of Statistics | 1990-01-01 | Paper |
Stochastic Minimization of the Makespan in Flow Shops with Identical Machines and Buffers of Arbitrary Size
Operations Research | 1990-01-01 | Paper |
Some results for repairable systems with general repair
Journal of Applied Probability | 1989-01-01 | Paper |
Replacement policies for a cumulative damage model with minimal repair at failure
IEEE Transactions on Reliability | 1989-01-01 | Paper |
ON THE RELAXATION TIME FOR SINGLE SERVER QUEUES
Journal of the Operations Research Society of Japan | 1989-01-01 | Paper |
Further results for dynamic scheduling of multiclass G/G/1 queues
Journal of Applied Probability | 1989-01-01 | Paper |
An extremal property of FIFO discipline in G/IFR/1 queues
Advances in Applied Probability | 1989-01-01 | Paper |
Evaluation of regular splitting queues
Communications in Statistics. Stochastic Models | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4138889 (Why is no real title available?)
| 1989-01-01 | Paper |
THE LAGUERRE TRANSFORM OF PRODUCT OF FUNCTIONS
Journal of the Operations Research Society of Japan | 1989-01-01 | Paper |
ON TRANSITION PROBABILITIES OF SKIP-FREE MARKOV CHAINS
Australian Journal of Statistics | 1989-01-01 | Paper |
UPPER BOUNDS OF A MEASURE OF DEPENDENCE AND THE RELAXATION TIME FOR FINITE STATE MARKOV CHAINS
Journal of the Operations Research Society of Japan | 1989-01-01 | Paper |
Periodical replacement problem without assuming minimal repair
European Journal of Operational Research | 1988-01-01 | Paper |
THEORY AND ALGORITHMS OF THE LAGUERRE TRANSFORM, PART I:THEORY
Journal of the Operations Research Society of Japan | 1988-01-01 | Paper |
Further properties of extremal sequences in queues
Communications in Statistics. Stochastic Models | 1988-01-01 | Paper |
DISTRIBUTION PROPERTIES OF DISCRETE CHARACTERISTICS IN M/G/1 AND GI/M/1 QUEUES
Journal of the Operations Research Society of Japan | 1988-01-01 | Paper |
On passage and conditional passage times for Markov chains in continuous time
Journal of Applied Probability | 1988-01-01 | Paper |
Spectral structure of the first-passage-time densities for classes of Markov chains
Journal of Applied Probability | 1987-01-01 | Paper |
Some Results for Uniformizable Semi-Markov Processes
Australian Journal of Statistics | 1987-01-01 | Paper |
A useful generalization of renewal theory: counting processes governed by non-negative Markovian increments
Journal of Applied Probability | 1986-01-01 | Paper |
Evaluation of minimum and maximum of a correlated pair of random variables via the bivariate laguerre transform
Communications in Statistics. Stochastic Models | 1986-01-01 | Paper |
The bivariate Laguerre transform and its applications: numerical exploration of bivariate processes
Advances in Applied Probability | 1985-01-01 | Paper |
REPLACEMENT POLICIES IN THE CASE THAT FAILURE DISTRIBUTIONS DEPEND ON THE NUMBER OF FAILURES
Journal of the Operations Research Society of Japan | 1983-01-01 | Paper |
