Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) 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)- 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
- Constrained LQ problem with a random jump and application to portfolio selection
- Systemic risk and interbank lending
- Pricing foreign exchange options under intervention by absorption modeling
- Information-based model with noisy anticipation and its application in finance
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- On backward Kolmogorov equation related to CIR process
- Black-Scholes in a CEV random environment
- On the implied market price of risk under the stochastic numéraire
- Valuation of American strangles through an optimized lower-upper bound approach
- Arbitrage and utility maximization in market models with an insider
- Controlling the occupation time of an exponential martingale
- Optimal investment in markets with over and under-reaction to information
- 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
- Magnitude and speed of consecutive market crashes in a diffusion model
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- The dynamic spread of the forward CDS with general random loss
- Optimal investment under VaR-regulation and minimum insurance
- Risk management of time varying floors for dynamic portfolio insurance
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- The interval market model in mathematical finance. Game-theoretic methods
- No-arbitrage, leverage and completeness in a fractional volatility model
- Mean-variance portfolio selection under a constant elasticity of variance model
- Sensitivity analysis of long-term cash flows
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- Drawdowns and the speed of market crash
- Optimal portfolio and consumption selection with default risk
- Functionals of multidimensional diffusions with applications to finance
- Optimal stopping of a killed exponentially growing process
- Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Optimal control for a linear quadratic problem with a stochastic time scale
- Lévy-Ito models in finance
- An optimal extraction problem with price impact
- Thin times and random times' decomposition
- On the finite horizon optimal switching problem with random lag
- Bayesian numerical methods for nonlinear partial differential equations
- CDS pricing with fractional Hawkes processes
- Optimal switch from a fossil-fueled to an electric vehicle
- Robust consumption portfolio optimization with stochastic differential utility
- Ambiguity in dynamic contracts
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- How to handle negative interest rates in a CIR framework
- Approximate value adjustments for European claims
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition
- On a Lévy process pinned at random time
- Expressions of forward starting option price in Hull-White stochastic volatility model
- Sticky Bessel diffusions
- On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Infinite-server systems with Hawkes arrivals and Hawkes services
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Law of the first passage triple of a spectrally positive strictly stable process
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- Exact long time behavior of some regime switching stochastic processes
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- Single jump filtrations and local martingales
- American perpetual options with random start
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- On distributions of exponential functionals of the processes with independent increments
- American options in a non-linear incomplete market model with default
- A collective investment problem in a stochastic volatility environment: the impact of sharing rules
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- A family of density expansions for Lévy-type processes
- Optimal equivalent probability measures under enlarged filtrations
- Pathwise no-arbitrage in a class of delta hedging strategies
- On the compensator of the default process in an information-based model
- Path developments and tail asymptotics of signature for pure rough paths
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Exact simulation of the first-passage time of diffusions
- Practical synchronization of Winfree oscillators in a random environment
- Existence and regularity of law density of a pair (diffusion, first component running maximum)
- Martingale spaces and representations under absolutely continuous changes of probability
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Optimal stopping with information constraint
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Integral representations of martingales for progressive enlargements of filtrations
- A Prüfer angle approach to semidefinite Sturm-Liouville problems with coupling boundary conditions
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Time-changed CIR default intensities with two-sided mean-reverting jumps
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Default-risky bond prices with jumps, liquidity risk and incomplete information
- A mathematical model for the bond market.
- Progressive enlargements of filtrations with pseudo-honest times
- Mean-variance asset-liability management under constant elasticity of variance process
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
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