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)- Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- On the singular control of exchange rates
- Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- American perpetual options with random start
- Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
- Existence and regularity of law density of a pair (diffusion, first component running maximum)
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- New model for pricing quanto credit default swaps
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- The dynamic spread of the forward CDS with general random loss
- The blank swan. The end of probability
- Uncertainty and inside information
- A new fractal dimension for curves based on fractal structures
- The -hypergeometric stochastic volatility model
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- How to handle negative interest rates in a CIR framework
- On distributions of exponential functionals of the processes with independent increments
- Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS
- A note on switching property for squared Bessel process
- Extreme order statistics of random walks
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- On a Lévy process pinned at random time
- CDS pricing with fractional Hawkes processes
- Correlation function of a random scalar field evolving with a rapidly fluctuating Gaussian process
- On the credit risk of secured loans with maximum loan-to-value covenants
- Trading against disorderly liquidation of a large position under asymmetric information and market impact
- An example of martingale representation in progressive enlargement by an accessible random time
- Regular and anomalous diffusion. I: Foundations
- Market Models with Optimal Arbitrage
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- On a class of singular stochastic control problems for reflected diffusions
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- A general HJM framework for multiple yield curve modelling
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
- Ambit processes, their volatility determination and their applications
- The VIX and future information
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Simulation of the CEV process and the local martingale property
- Influence of risk tolerance on long-term investments: a Malliavin calculus approach
- On arbitrages arising with honest times
- Approximate value adjustments for European claims
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Latency and liquidity risk
- Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
- Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
- Constrained LQ problem with a random jump and application to portfolio selection
- 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
- Some results on Parisian walks
- Exact simulation of the first-passage time of diffusions
- 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
- A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time
- Systemic risk and interbank lending
- Optimal hedging in incomplete markets
- Enlargement of filtration and predictable representation property for semi-martingales
- Risk management of time varying floors for dynamic portfolio insurance
- American options in a non-linear incomplete market model with default
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- Brownian bridges on random intervals
- CDS calibration under an extended JDCEV model
- Random times and multiplicative systems
- On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
- Martingale methods in financial modelling.
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Optimal stopping of a killed exponentially growing process
- A subordinated CIR intensity model with application to wrong-way risk CVA
- 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
- Some sufficient conditions for Novikov's criterion
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
- Optimal investment under VaR-regulation and minimum insurance
- Black-Scholes in a CEV random environment
- Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching
- No-arbitrage, leverage and completeness in a fractional volatility model
- Shapes of implied volatility with positive mass at zero
- Drift operator in a viable expansion of information flow
- On optimal terminal wealth problems with random trading times and drawdown constraints
- Modeling the forward CDS spreads with jumps
- Bayesian numerical methods for nonlinear partial differential equations
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
- Information-based model with noisy anticipation and its application in finance
- Pricing foreign exchange options under intervention by absorption modeling
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
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