scientific article; zbMATH DE number 1808239

MaRDI QIDQ3149692zbMATHFDO

Authors S. N. Volkov, M. L. Nechaev, Alexander Melnikov

Publication date 26 September 2002

zbMATH Keywords

stochastic processescontingent claimsAmerican optionsBlack-Scholes modelhedginginterest ratesinsurancefinancial systeminvestment problemsimcomplete markets

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic models in economics (91B70)

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(7)

• Quantile hedging in models with dividends and application to equity-linked life insurance contracts
• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
• Bachelier model with stopping time and its insurance application
• scientific article; zbMATH DE number 2064644 (Why is no real title available?)
• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• Best-estimate claims reserves in incomplete markets
• Optional decomposition of optional supermartingales and applications to filtering and finance

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