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
- Optimal switch from a fossil-fueled to an electric vehicle
- A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
- Single jump filtrations and local martingales
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Functionals of multidimensional diffusions with applications to finance
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- Optimal stopping of a killed exponentially growing process
- Mathematical finance
- The American put with finite‐time maturity and stochastic interest rate
- American options in an imperfect complete market with default
- Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes
- Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS
- Explosion time for some Laplace transforms of the Wishart process
- A note on switching property for squared Bessel process
- Time series regression on integrated continuous-time processes with heavy and light tails
- scientific article; zbMATH DE number 1687011 (Why is no real title available?)
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- Functional analytic (ir-)regularity properties of SABR-type processes
- On certain integral functionals of squared Bessel processes
- A collective investment problem in a stochastic volatility environment: the impact of sharing rules
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Geometric Brownian motion with affine drift and its time-integral
- Martingale spaces and representations under absolutely continuous changes of probability
- The early exercise boundary under the jump to default extended CEV model
- KPZ equation tails for general initial data
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- On the singular control of exchange rates
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
- A mathematical model for the bond market.
- On the diversity score: a copula approach
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Polynomial jump-diffusions on the unit simplex
- Explicit form of the first-passage-time density for accelerating subdiffusion
- On the excursions of drifted Brownian motion and the successive passage times of Brownian motion
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Quantifying risks with exact analytical solutions of derivative pricing distribution
- Optimal investment under VaR-regulation and minimum insurance
- A nonconvex singular stochastic control problem and its related optimal stopping boundaries
- Game options in an imperfect market with default
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
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