The Mathematics of Financial Derivatives
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(only showing first 100 items - show all)- Monotone convergence of finite element approximations of obstacle problems
- On the numerical solution of nonlinear Black-Scholes equations
- An efficient method for option pricing with discrete dividend payment
- A software architecture framework for on-line option pricing
- Options strategies with the risk adjustment
- A mixed PDE/Monte-Carlo method for stochastic volatility models
- A general framework for evaluating executive stock options
- Exact null controllability of a semilinear parabolic equation arising in finance
- Stochastic modeling of the growth process
- Regime uncertainty and optimal investment timing
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- An upwind approach for an American and European option pricing model
- Analysis of a model of membrane potential for a skin receptor
- Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
- Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
- Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. I.
- Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. II.
- The futility of utility: how market dynamics marginalize Adam Smith
- Volatility of volatility of financial markets
- Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
- Explicit solution of time dependent diffusion problems in a semi-infinite medium.
- A quasi-radial basis functions method for American options pricing.
- Analysis of the nonlinear option pricing model under variable transaction costs
- Speculative futures trading under mean reversion
- A numerical study of Asian option with radial basis functions based finite differences method
- A descent algorithm for generalized complementarity problems based on generalized Fischer-Burmeister functions
- Safety verification for distributed parameter systems using barrier functionals
- Numerical solution of time-fractional Black-Scholes equation
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
- A linearization technique for solving general 3-D shape optimization problems in spherical coordinates
- Numerical techniques for pricing callable bonds with notice
- Option pricing with Mellin transforms
- Preconditioned HSS methods for the solution of non-Hermitian positive definite linear systems and applications to the discrete convection-diffusion equation
- A perturbative approach for reconstructing diffusion coefficients
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- A master equation approach to option pricing
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Derivative securities and difference methods.
- How should a convertible bond be decomposed?
- Mixing Monte-Carlo and partial differential equations for pricing options
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Sparse grid approximation spaces for space-time boundary integral formulations of the heat equation
- Pricing European call options under a hard-to-borrow stock model
- Pricing American drawdown options under Markov models
- Model order reduction for the simulation of parametric interest rate models in financial risk analysis
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- Asian options pricing in Hawkes-type jump-diffusion models
- Downside risk measurement in regime switching stochastic volatility
- A spectral element method for option pricing under regime-switching with jumps
- An efficient alternating direction explicit method for solving a nonlinear partial differential equation
- Removing non-smoothness in solving Black-Scholes equation using a perturbation method
- Green investment under time-dependent subsidy retraction risk
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics
- High accurate modified WENO method for the solution of Black-Scholes equation
- Stability analysis of Crank-Nicolson and Euler schemes for time-dependent diffusion equations
- Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
- Numerical treatment of stochastic models used in statistical systems and financial markets
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- Option pricing using a computational method based on reproducing kernel
- Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
- Numerical methods for backward Markov chain driven Black-Scholes option pricing
- On the rate of convergence of the binomial tree scheme for American options
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
- Convergence of a mimetic finite difference method for static diffusion equation
- Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
- A new direct method for solving the Black-Scholes equation
- Matched asymptotic expansions in financial engineering
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
- Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
- The numerical solution of the one-dimensional heat equation by using third degree B-spline functions
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Rational pricing of leveraged ETF expense ratios
- Quantum vs. classical algorithms for solving the heat equation
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- Pricing of path-dependent European-type options using Monte Carlo simulation
- Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
- Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
- Power-weighted densities for time series data
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- Semi-Lagrangian discontinuous Galerkin schemes for some first- and second-order partial differential equations
- Symmetry Breaking for Black–Scholes Equations
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Optimal timing for an indivisible asset sale
- Optimal impulse control of a portfolio with a fixed transaction cost
- Embedding the Vasicek model into the Cox-Ingersoll-Ross model
- Pricing Asian options for jump diffusion
- Problem of selecting an optimal portfolio with a probabilistic risk function
- On the solution of complementarity problems arising in American options pricing
- Autoregressive trending risk function and exhaustion in random asset price movement
- Option pricing for weighted average of asset prices
- scientific article; zbMATH DE number 5991356 (Why is no real title available?)
- On a constant related to American type options
- Convergence rate of free boundary of numerical scheme for American option
- A note on the exact discretization for a Cauchy-Euler equation: application to the Black-Scholes equation
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- scientific article; zbMATH DE number 7232789 (Why is no real title available?)
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