The state of financial modelling in 2012, as shaped by the GFC

DOI10.1007/S10100-014-0339-6MaRDI QIDQ301201zbMATH OpenOpenAlexFDO

Authors

Publication date 30 June 2016

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-014-0339-6

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A stochastic model for investments in different technologies for electricity production in the long period
• Are we using the wrong letters? An analysis of executive stock option Greeks
• Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
• Downside risk in multiperiod tracking error models
• Market efficiency of the post communist East European stock markets
• On relations between DEA-risk models and stochastic dominance efficiency tests
• Optimal impulse control of a portfolio with a fixed transaction cost
• Option pricing in a conditional bilateral Gamma model
• \(n\)-tuple S\&P patterns across decades, 1950--2011

Cited in

(3)

• Preface: Analytical models for financial modeling and risk management
• Econophysics and data driven modelling of market dynamics. Proceedings of the 8th conference, Kolkata, India, March 14--17, 2014
• scientific article; zbMATH DE number 48596 (Why is no real title available?)

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