Mathematical methods for financial markets.
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Publication:819974
DOI10.1007/978-1-84628-737-4zbMATH Open1205.91003OpenAlexW4301088890MaRDI QIDQ819974FDOQ819974
Authors: Marc Yor, Marc Chesney, Monique Jeanblanc 
Publication date: 4 April 2006
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-84628-737-4
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Cited In (only showing first 100 items - show all)
- The dynamic spread of the forward CDS with general random loss
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- CDS pricing with fractional Hawkes processes
- Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
- Pricing electricity forwards under future information on the stochastic mean-reversion level
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- CDS calibration under an extended JDCEV model
- Risk management of time varying floors for dynamic portfolio insurance
- On optimal terminal wealth problems with random trading times and drawdown constraints
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Information-based model with noisy anticipation and its application in finance
- Pricing foreign exchange options under intervention by absorption modeling
- 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
- Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
- Exact simulation of the 3/2 model
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- On the implied market price of risk under the stochastic numéraire
- Dynamic hedging of longevity risk: the effect of trading frequency
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Optimal control for a linear quadratic problem with a stochastic time scale
- Valuation of American strangles through an optimized lower-upper bound approach
- Social discounting and the long rate of interest
- Asymptotic behavior of the fractional Heston model
- An optimal extraction problem with price impact
- An optimal callback policy for general arrival processes: a pathwise analysis
- On small-noise equations with degenerate limiting system arising from volatility models
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- Sensitivity analysis of long-term cash flows
- Arbitrage and utility maximization in market models with an insider
- Optimal investment in markets with over and under-reaction to information
- Optimal market making under partial information with general intensities
- Multi-currency credit default swaps
- A backward Monte Carlo approach to exotic option pricing
- Controlling the occupation time of an exponential martingale
- Robust consumption portfolio optimization with stochastic differential utility
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal dividend payout under stochastic discounting
- Ambiguity in dynamic contracts
- 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
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Strong approximation of Bessel processes
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Defaultable Bond markets with jumps
- Thin times and random times' decomposition
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Simplified stochastic calculus via semimartingale representations
- Magnitude and speed of consecutive market crashes in a diffusion model
- An optimal dividend problem with capital injections over a finite horizon
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- On the singular control of exchange rates
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- Extreme order statistics of random walks
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS
- A note on switching property for squared Bessel process
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Latency and liquidity risk
- Constrained LQ problem with a random jump and application to portfolio selection
- Optimal hedging in incomplete markets
- 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
- Systemic risk and interbank lending
- American options in a non-linear incomplete market model with default
- Optimal stopping of a killed exponentially growing process
- Optimal investment under VaR-regulation and minimum insurance
- Black-Scholes in a CEV random environment
- No-arbitrage, leverage and completeness in a fractional volatility model
- Modeling the forward CDS spreads with jumps
- Optimal contract with moral hazard for public private partnerships
- Parisian options with jumps: a maturity-excursion randomization approach
- Mathematical finance
- Time series regression on integrated continuous-time processes with heavy and light tails
- A nonconvex singular stochastic control problem and its related optimal stopping boundaries
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
- Functional analytic (ir-)regularity properties of SABR-type processes
- Random matrix models for datasets with fixed time horizons
- Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
- A collective investment problem in a stochastic volatility environment: the impact of sharing rules
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Optimal switch from a fossil-fueled to an electric vehicle
- Single jump filtrations and local martingales
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- On the diversity score: a copula approach
- Functionals of multidimensional diffusions with applications to finance
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
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