scientific article

Publication date: 30 March 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Actuarial science and mathematical finance (91Gxx) General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to game theory, economics, and finance (91-00)

Related Items

Asset prices and wealth dynamics in a financial market with random demand shocks ⋮ Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ Price impact and bursts in liquidity provision ⋮ NONPARAMETRIC IDENTIFICATION OF POSITIVE EIGENFUNCTIONS ⋮ Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ Liquidity fluctuations and the latent dynamics of price impact ⋮ Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results ⋮ Banach geometry of financial market models ⋮ Optimal market dealing under constraints ⋮ Empirical scaling laws and the aggregation of non-stationary data ⋮ Functional Itô calculus, path-dependence and the computation of Greeks ⋮ ARBITRAGE PRICING THEORY IN ERGODIC MARKETS ⋮ Generation-by-generation dissection of the response function in long memory epidemic processes ⋮ A derivation of the Black-Litterman formula and its symmetry property ⋮ The Alpha‐Heston stochastic volatility model ⋮ Option pricing models without probability: a rough paths approach ⋮ In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ New explicit-in-dimension estimates for the cardinality of high-dimensional hyperbolic crosses and approximation of functions having mixed smoothness ⋮ B-spline quasi-interpolation sampling representation and sampling recovery in Sobolev spaces of mixed smoothness ⋮ Efficient simulation for dependent rare events with applications to extremes ⋮ A mathematical model for value estimation with public information and herding ⋮ American perpetual options with random start ⋮ Market impact with multi-timescale liquidity ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ Some properties of the one-dimensional subordinated stable model ⋮ Characterising model dynamics using sparse grid interpolation: Parameter estimation of cholera ⋮ FORWARD AND FUTURE IMPLIED VOLATILITY ⋮ Sampling and cubature on sparse grids based on a B-spline quasi-interpolation ⋮ HOW LONG CAN YOU ENJOY BLACKJACK WITH 100 CHIPS? ⋮ Filtering Response Directions ⋮ Final-offer arbitration with uncertainty averse parties ⋮ Verification by stochastic Perron's method in stochastic exit time control problems ⋮ Estimating value-at-risk and expected shortfall using the intraday low and range data ⋮ CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION ⋮ Market impact as anticipation of the order flow imbalance ⋮ On the class of distributions of subordinated Lévy processes and bases ⋮ Adaptive interpolation algorithm on sparse meshes for numerical integration of systems of ordinary differential equations with interval uncertainties ⋮ Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains ⋮ INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS ⋮ General Smile Asymptotics with Bounded Maturity ⋮ Agent-based modelling in directional-change intrinsic time ⋮ A new class of survival distribution for degradation processes subject to shocks ⋮ Non-parametric Pricing and Hedging of Exotic Derivatives ⋮ Utility Maximization When Shorting American Options ⋮ RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY