scientific article; zbMATH DE number 1869272
From MaRDI portal
Publication:4794153
zbMath1140.91041MaRDI QIDQ4794153
Publication date: 17 February 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (only showing first 100 items - show all)
Optimal Stopping Problems for Asset Management ⋮ Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion ⋮ MARKET FORCES AND DYNAMIC ASSET PRICING ⋮ Highs and lows: Some properties of the extremes of a diffusion and applications in finance ⋮ Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model ⋮ General Black-Scholes models accounting for increased market volatility from hedging strategies ⋮ Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation ⋮ Stochastic volatility, smile & asymptotics ⋮ Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates ⋮ Volatility skews and extensions of the Libor market model ⋮ Energy futures prices: term structure models with Kalman filter estimation ⋮ Basics of electricity derivative pricing in competitive markets ⋮ Investment Timing with Incomplete Information and Multiple Means of Learning ⋮ Existence and uniqueness of Arrow--Debreu equilibria with consumptions in ${\bf L}^0_+$ ⋮ Matching the moments: a test of three representative agent models ⋮ HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Optimal static quadratic hedging ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ Optimal Hedging of American Options in Discrete Time ⋮ A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option ⋮ AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM ⋮ LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY ⋮ Stochastic Volatility Corrections for Interest Rate Derivatives ⋮ Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities ⋮ LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS ⋮ Realistic Statistical Modelling of Financial Data ⋮ ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS ⋮ HEAT KERNEL MODELS FOR ASSET PRICING ⋮ Hedging quantos, differential swaps and ratios ⋮ Pricing of Unit-linked Life Insurance Policies ⋮ Default Times in a Continuous Time Markov Chain Economy ⋮ Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations ⋮ On financial markets based on telegraph processes ⋮ Switching costs, dynamic uncertainty, and buyer–seller relationships ⋮ INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL ⋮ BEHAVIORAL VALUE ADJUSTMENTS ⋮ FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET ⋮ Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement ⋮ A More General Valuation and Arbitrage Theory for Itô Processes ⋮ EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY ⋮ Existence, uniqueness and space regularity of the adapted solutions of a backward spde ⋮ EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS ⋮ Accurate closed-form approximation for pricing Asian and basket options ⋮ Improving the Design of Financial Products in a Multidimensional Black-Scholes Market ⋮ REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION ⋮ The zero-capital approach to portfolio enhancement and overlay management ⋮ Hedging costs for two large investors ⋮ MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX ⋮ New Econ for Life Actuaries ⋮ TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL ⋮ Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing ⋮ VASIČEK BEYOND THE NORMAL ⋮ ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET ⋮ A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING ⋮ CALIBRATED OPTION BOUNDS ⋮ AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING ⋮ Optimal portfolio selection strategies under some constraints ⋮ Dynamic risk taking with bonus schemes ⋮ HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY ⋮ An optimal portfolio problem in a defaultable market ⋮ Time Dependent Relative Risk Aversion ⋮ MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL ⋮ On consumption/investment problems with long-term time-average utilities ⋮ Time Charters with Purchase Options in Shipping: Valuation and Risk Management ⋮ An introduction to option pricing and the mathematical theory of risk ⋮ Hydropower with Financial Information* ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Interest Guarantees in Banking ⋮ First passage times of a jump diffusion process ⋮ Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures ⋮ Market Consistent Pricing of Insurance Products ⋮ CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE ⋮ CONIC FINANCE AND THE CORPORATE BALANCE SHEET ⋮ Optimal Portfolio Choice Based on α-MEU Under Ambiguity ⋮ SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS ⋮ Pricing credit derivatives under stochastic recovery in a hybrid model ⋮ Stochastic mortality under measure changes ⋮ Optimal Longevity Risk Transfer and Investment Strategies ⋮ Two-step combined nonparametric likelihood estimation of misspecified semiparametric models ⋮ FORWARD AND FUTURES PRICES WITH BUBBLES ⋮ Dynamic hedging portfolios for derivative securities in the presence of large transaction costs ⋮ Martingale property of empirical processes ⋮ MULTIDIMENSIONAL CALIBRATION OF CRUDE OIL AND REFINED PRODUCTS VIA SEMIDEFINITE PROGRAMMING TECHNIQUES ⋮ DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS ⋮ Affine term structure as multi-soliton ⋮ Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung ⋮ DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS ⋮ PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS ⋮ SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION ⋮ WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING ⋮ MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS ⋮ A YIELD‐FACTOR MODEL OF INTEREST RATES ⋮ NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION ⋮ Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case ⋮ Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures ⋮ Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis ⋮ The fair value of guaranteed annuity options ⋮ Rational term structure models with geometric Lévy martingales ⋮ The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
This page was built for publication: