scientific article; zbMATH DE number 1255542
From MaRDI portal
Publication:4229805
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic analysis (60H99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80)
Recommendations
Cited in
(94)- An optimal investment strategy with maximal risk aversion and its ruin probability
- No arbitrage without semimartingales
- Development of computational algorithms for evaluating option prices associated with square-root volatility processes
- Valuation of default swap with affine-type hazard rate
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- On Hölder fields clustering
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
- A quickest detection problem with an observation cost
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- Linear complexity solution of parabolic integro-differential equations
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- scientific article; zbMATH DE number 1642343 (Why is no real title available?)
- Sensitivities \textit{via} rough paths
- Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
- Real options with a double continuation region
- Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
- Finite-range contact process on the market return intervals distributions
- Convenient multiple directions of stratification
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Time-changed fast mean-reverting stochastic volatility models
- Functional quantization for numerics with an application to option pricing
- A Model with Interacting Assets Driven by Poisson Processes
- Regression methods in pricing American and Bermudan options using consumption processes
- Finite volume methods for the valuation of American options
- MODERN LOGARITHMS FOR THE HESTON MODEL
- A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES
- Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
- QUADRATIC HEDGING FOR THE BATES MODEL
- A posteriorierror analysis for parabolic variational inequalities
- Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion
- A SHOT NOISE MODEL FOR FINANCIAL ASSETS
- Improved lower and upper bound algorithms for pricing American options by simulation
- On constructive complex analysis in finance: Explicit formulas for Asian options
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- Supervised classification of diffusion paths
- Weak approximation of CIR equation by discrete random variables
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
- Error Calculus and Path Sensitivity in Financial Models
- MultiFactor Valuation of Floating Range Notes
- A semigroup expansion for pricing barrier options
- A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
- OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES
- The linear space of generalized Brownian motions with applications
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Affine fractional stochastic volatility models
- Stochastic Volatility for Lévy Processes
- Adaptative Monte Carlo Method, A Variance Reduction Technique
- Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations
- STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
- Strong solutions of a class of stochastic differential equations with jumps
- scientific article; zbMATH DE number 6304887 (Why is no real title available?)
- Optimal control of ultradiffusion processes with application to mathematical finance
- Hedging error estimate of the American put option problem in jump-diffusion processes
- Sharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross Process
- Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
- Elementary stochastic calculus for finance with infinitesimals
- Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- Large deviations for the squared radial Ornstein-Uhlenbeck process
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- Implementing quasi-Monte Carlo simulations with linear transformations
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Some Properties of CIR Processes
- On the equivalence of the static and dynamic asset allocation problems
- QUANTUM MONTE CARLO SIMULATIONS OF FERMIONS: A MATHEMATICAL ANALYSIS OF THE FIXED-NODE APPROXIMATION
- A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model
- A COMMON MARKET MEASURE FOR LIBOR AND PRICING CAPS, FLOORS AND SWAPS IN A FIELD THEORY OF FORWARD INTEREST RATES
- A Stochastic Volatility Alternative to SABR
- EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
- Numerical Procedure for Calibration of Volatility with American Options
- Pricing Perpetual Options for Jump Processes
- scientific article; zbMATH DE number 4189431 (Why is no real title available?)
- Statistical analysis by statistical physics model for the stock markets
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
- Estimation of risk-neutral density surfaces
- Option pricing under a gamma-modulated diffusion process
- Truncated sequential guaranteed estimation for the Cox-Ingersoll-Ross models
- Moderate deviations for parameters estimation in a geometrically ergodic Heston process
- Optimal guaranteed estimation methods for the Cox–Ingersoll–Ross models
- Revisiting Darbo's fixed point theory with application to a class of fractional integral equations
- Asymptotic behavior of improved trajectory fitting estimators for Cox-Ingersoll-Ross model
- On the cutoff phenomenon for Dyson-Laguerre processes
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- Implicit-explicit numerical schemes for jump-diffusion processes
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 Q4229805)
