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)- 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
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Analytical expansions for parabolic equations
- Local volatility of volatility for the VIX market
- Brownian bridges on random intervals
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- Power law statistics in the velocity fluctuations of Brownian particle in inhomogeneous media and driven by colored noise
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- A family of density expansions for Lévy-type processes
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Financial Modelling with Jump Processes
- Conditional Markov chains: properties, construction and structured dependence
- On distributions of exponential functionals of the processes with independent increments
- On the finite horizon optimal switching problem with random lag
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- On the control of the difference between two Brownian motions: a dynamic copula approach
- On the control of the difference between two Brownian motions: an application to energy markets modeling
- A new topological indicator for chaos in mechanical systems
- Uncertainty and inside information
- scientific article; zbMATH DE number 2003409 (Why is no real title available?)
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Time-changed CIR default intensities with two-sided mean-reverting jumps
- A new fractal dimension for curves based on fractal structures
- The \(\alpha\)-hypergeometric stochastic volatility model
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
- Stochastic areas of diffusions and applications
- The impact of quantitative easing on the US term structure of interest rates
- Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
- Asymptotic arbitrage in the Heston model
- 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
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