Mathematical methods for financial markets.
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Publication:819974
DOI10.1007/978-1-84628-737-4zbMATH Open1205.91003OpenAlexW4301088890MaRDI QIDQ819974FDOQ819974
Authors: Marc Yor, Marc Chesney, Monique Jeanblanc 
Publication date: 4 April 2006
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-84628-737-4
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- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- CDS pricing with fractional Hawkes processes
- Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- CDS calibration under an extended JDCEV model
- Risk management of time varying floors for dynamic portfolio insurance
- On optimal terminal wealth problems with random trading times and drawdown constraints
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Information-based model with noisy anticipation and its application in finance
- Pricing foreign exchange options under intervention by absorption modeling
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
- Exact simulation of the 3/2 model
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- On the implied market price of risk under the stochastic numéraire
- Dynamic hedging of longevity risk: the effect of trading frequency
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Optimal control for a linear quadratic problem with a stochastic time scale
- Valuation of American strangles through an optimized lower-upper bound approach
- Social discounting and the long rate of interest
- Asymptotic behavior of the fractional Heston model
- An optimal extraction problem with price impact
- An optimal callback policy for general arrival processes: a pathwise analysis
- On small-noise equations with degenerate limiting system arising from volatility models
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- Sensitivity analysis of long-term cash flows
- Arbitrage and utility maximization in market models with an insider
- Optimal investment in markets with over and under-reaction to information
- Optimal market making under partial information with general intensities
- Multi-currency credit default swaps
- A backward Monte Carlo approach to exotic option pricing
- Controlling the occupation time of an exponential martingale
- Robust consumption portfolio optimization with stochastic differential utility
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal dividend payout under stochastic discounting
- Ambiguity in dynamic contracts
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- Optimal entry to an irreversible investment plan with non convex costs
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Strong approximation of Bessel processes
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Defaultable Bond markets with jumps
- Thin times and random times' decomposition
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Magnitude and speed of consecutive market crashes in a diffusion model
- An optimal dividend problem with capital injections over a finite horizon
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Correlation function of a random scalar field evolving with a rapidly fluctuating Gaussian process
- Regular and anomalous diffusion. I: Foundations
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time
- Asymptotic analysis of the Heston model and its statistical and financial applications
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
- Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
- Pricing and hedging of temperature derivatives in a model with memory
- Generalized Cox model for default times
- On SDEs for Bessel processes in low dimension and path-dependent extensions
- Short communication: Chances for the honest in honest versus insider trading
- Enlarged filtrations and indistinguishable processes
- Interest rate modeling with generalized Langevin equations
- An expected exponential utility maximization problem for bitcoin miners
- Which Urbanik class \(L_k\), do the hyperbolic and the generalized logistic characteristic functions belong to?
- Some Remarks on Enlargement of Filtration and Finance
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
- Information-based approach: pricing of a credit risky asset in the presence of default time
- Computations and global properties for traces of Bessel's Dirichlet form
- VIX MODELING FOR A MARKET INSIDER
- Distributional properties of continuous time processes: from CIR to bates
- Sandwiched filtrations
- Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
- Crypto quanto and inverse options
- Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
- Spectral operator learning for parametric PDEs without data reliance
- PDE for the joint law of the pair of a continuous diffusion and its running maximum
- Exposure valuations and their capital requirements
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
- The Girsanov theorem without (so much) stochastic analysis
- The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
- An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line
- European option pricing under the log mean-reverting jump diffusion stochastic volatility model
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
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