Mathematics of financial markets.
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Publication:703590
DOI10.1007/B97681zbMATH Open1140.91032OpenAlexW4214757140MaRDI QIDQ703590FDOQ703590
Authors: Robert J. Elliott, P. Ekkehard Kopp 
Publication date: 11 January 2005
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/b97681
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Cited In (58)
- Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics
- Finanzmarktstatistik
- Super-replication of life-contingent options under the Black-Scholes framework
- Financial finance
- Six decades of the FitzHugh-Nagumo model: a guide through its spatio-temporal dynamics and influence across disciplines
- Filtration reduction and incomplete markets
- Option pricing driven by a telegraph process with random jumps
- Risk measures for derivatives with Markov-modulated pure jump processes
- Title not available (Why is that?)
- Infinitesimal structure of differentiability spaces, and metric differentiation
- Stabilization of company's income modeled by a system of discrete stochastic equations
- Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
- Optimal stochastic investment games under Markov regime switching market
- A stochastic flows approach for asset allocation with hidden economic environment
- Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- A comonotonicity-based valuation method for guaranteed annuity options
- FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Portfolio risk minimization and differential games
- No-arbitrage symmetries
- Farkas' lemma: three decades of generalizations for mathematical optimization
- Derivative pricing methodology in continuous-time models
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- Market Consistent Pricing of Insurance Products
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A central limit theorem for \(m\)-dependent random variables under sublinear expectations
- Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
- Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
- A new elementary geometric approach to option pricing bounds in discrete time models
- An optimal mean-reversion trading rule under a Markov chain model
- Title not available (Why is that?)
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- A general comparison theorem for backward stochastic differential equations
- Title not available (Why is that?)
- Stochastic methods in economics and finance
- Dynamic fund protection for property markets
- A mathematical model for the bond market.
- A self-exciting threshold jump-diffusion model for option valuation
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- An efficient computational method for statistical moments of Burger's equation with random initial conditions
- Integration by parts and martingale representation for a Markov chain
- Risk-hedging in real estate markets
- A note on differentiability in a Markov chain market using stochastic flows
- Maximum principle for discrete-time stochastic control problem of mean-field type
- Quanto pricing in stochastic correlation models
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
- Statistical causality and extremal measures
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- Martingale representation and admissible portfolio process with regime switching
- Strong bubbles and strict local martingales
- Continuous stochastic calculus with applications to finance
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- A new method of valuing American options based on Brownian models
- Farkas lemma for convex systems revisited and applications to sublinear-convex optimization problems
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
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