Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)
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(only showing first 100 items - show all)- Thin times and random times' decomposition
- Optimal investment in markets with over and under-reaction to information
- 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
- An optimal extraction problem with price impact
- Dynamic hedging of longevity risk: the effect of trading frequency
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal market making under partial information with general intensities
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- CDS pricing with fractional Hawkes processes
- Multi-currency credit default swaps
- Optimal control for a linear quadratic problem with a stochastic time scale
- Information-based model with noisy anticipation and its application in finance
- Pricing foreign exchange options under intervention by absorption modeling
- CDS calibration under an extended JDCEV model
- Strong approximation of Bessel processes
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- Optimal entry to an irreversible investment plan with non convex costs
- On the implied market price of risk under the stochastic numéraire
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- On optimal terminal wealth problems with random trading times and drawdown constraints
- The dynamic spread of the forward CDS with general random loss
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Valuation of American strangles through an optimized lower-upper bound approach
- Optimal dividend payout under stochastic discounting
- Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
- Asymptotic behavior of the fractional Heston model
- An optimal dividend problem with capital injections over a finite horizon
- An optimal callback policy for general arrival processes: a pathwise analysis
- Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- Exact simulation of the 3/2 model
- A backward Monte Carlo approach to exotic option pricing
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Controlling the occupation time of an exponential martingale
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Risk management of time varying floors for dynamic portfolio insurance
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Ambiguity in dynamic contracts
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
- Sensitivity analysis of long-term cash flows
- On small-noise equations with degenerate limiting system arising from volatility models
- Arbitrage and utility maximization in market models with an insider
- Robust consumption portfolio optimization with stochastic differential utility
- Magnitude and speed of consecutive market crashes in a diffusion model
- Social discounting and the long rate of interest
- Defaultable Bond markets with jumps
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- Bayesian numerical methods for nonlinear partial differential equations
- Stochastic mortality models: an infinite-dimensional approach
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- On matching diffusions, Laplace transforms and partial differential equations
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- Lévy-Ito models in finance
- Exact simulation of the first-passage time of diffusions
- Progressive enlargements of filtrations with pseudo-honest times
- A remark on credit risk models and copula
- Modeling mortality and pricing life annuities with Lévy processes
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Variance swaps on defaultable assets and market implied time-changes
- A general HJM framework for multiple yield curve modelling
- Option pricing under jump-diffusion processes with regime switching
- Market Models with Optimal Arbitrage
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Random times and multiplicative systems
- Drift operator in a viable expansion of information flow
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Martingale methods in financial modelling.
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Pathwise no-arbitrage in a class of delta hedging strategies
- The law of large numbers for self-exciting correlated defaults
- Simulation of the CEV process and the local martingale property
- Prices and asymptotics for discrete variance swaps
- Mean-variance portfolio selection under a constant elasticity of variance model
- Optimal stopping with information constraint
- Drawdowns and the speed of market crash
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- A reading guide for last passage times with financial applications in view
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Optimal portfolio and consumption selection with default risk
- On arbitrages arising with honest times
- Discrete time stochastic multi-player competitive games with affine payoffs
- A jump to default extended CEV model: an application of Bessel processes
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