scientific article; zbMATH DE number 1808239

zbMATH Open1050.91001MaRDI QIDQ3149692FDOQ3149692

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

Publication date: 26 September 2002

Title of this publication is not available (Why is that?)

Recommendations

• Mathematics of financial markets
• scientific article; zbMATH DE number 1940732
• scientific article; zbMATH DE number 1095739
• Introduction to the mathematics of finance.
• Stochastic finance. An introduction in discrete time

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)

Cited In (7)

• Title not available (Why is that?)
• Quantile hedging in models with dividends and application to equity-linked life insurance contracts
• Best-estimate claims reserves in incomplete markets
• Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments
• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• Bachelier model with stopping time and its insurance application
• Optional decomposition of optional supermartingales and applications to filtering and finance

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3149692)