Bish, Ebru K.; Wang, Qiong Optimal investment strategies for flexible resources, considering pricing and correlated demands. (English) Zbl 1165.91428 Oper. Res. 52, No. 6, 954-964 (2004). MSC: 91B32 90B05 91B28 PDFBibTeX XMLCite \textit{E. K. Bish} and \textit{Q. Wang}, Oper. Res. 52, No. 6, 954--964 (2004; Zbl 1165.91428) Full Text: DOI Link
Linetsky, Vadim Spectral expansions for Asian (average price) options. (English) Zbl 1165.91406 Oper. Res. 52, No. 6, 856-867 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{V. Linetsky}, Oper. Res. 52, No. 6, 856--867 (2004; Zbl 1165.91406) Full Text: DOI Link
Kumar, Sunil; Muthuraman, Kumar A numerical method for solving singular stochastic control problems. (English) Zbl 1165.49305 Oper. Res. 52, No. 4, 563-582 (2004). MSC: 49L20 35R60 65C30 91B28 93E20 PDFBibTeX XMLCite \textit{S. Kumar} and \textit{K. Muthuraman}, Oper. Res. 52, No. 4, 563--582 (2004; Zbl 1165.49305) Full Text: DOI
Bertsimas, Dimitris; Sim, Melvyn The price of robustness. (English) Zbl 1165.90565 Oper. Res. 52, No. 1, 35-53 (2004). MSC: 90C05 90C31 91B28 PDFBibTeX XMLCite \textit{D. Bertsimas} and \textit{M. Sim}, Oper. Res. 52, No. 1, 35--53 (2004; Zbl 1165.90565) Full Text: DOI Link
Liu, Shao Yue; Yang, Xiang Qun Pricing of European contingent claim in fractional Brownian motion environment. (Chinese. English summary) Zbl 1153.91545 Chin. J. Appl. Probab. Stat. 20, No. 4, 429-434 (2004). MSC: 91B28 60H10 60H30 PDFBibTeX XMLCite \textit{S. Y. Liu} and \textit{X. Q. Yang}, Chin. J. Appl. Probab. Stat. 20, No. 4, 429--434 (2004; Zbl 1153.91545)
Yao, Jun Min; Ye, Zhong Xing Effect of financial constraints on stock returns. (Chinese. English summary) Zbl 1155.91397 Chin. J. Appl. Probab. Stat. 20, No. 3, 307-312 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{J. M. Yao} and \textit{Z. X. Ye}, Chin. J. Appl. Probab. Stat. 20, No. 3, 307--312 (2004; Zbl 1155.91397)
Zheng, Cheng Li; Han, Li Yan Simulating pricing for American put options based on partial least squares method. (Chinese. English summary) Zbl 1155.62473 Chin. J. Appl. Probab. Stat. 20, No. 3, 295-300 (2004). MSC: 62P05 91B28 65C60 PDFBibTeX XMLCite \textit{C. L. Zheng} and \textit{L. Y. Han}, Chin. J. Appl. Probab. Stat. 20, No. 3, 295--300 (2004; Zbl 1155.62473)
Chen, Xuedong On reserving unit-linked policies with stochastic interest and simulation. (Chinese. English summary) Zbl 1155.91379 Chin. J. Appl. Probab. Stat. 20, No. 1, 54-58 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{X. Chen}, Chin. J. Appl. Probab. Stat. 20, No. 1, 54--58 (2004; Zbl 1155.91379)
Wu, Guang Xu; Cheng, Qian Sheng; Pan, Jia Zhu Nonparametric estimation of value-at-risk of Chinese stock market. (Chinese) Zbl 1150.91474 Acta Sci. Nat. Univ. Pekin. 40, No. 5, 696-701 (2004). MSC: 91B82 91B28 62P05 62G05 PDFBibTeX XMLCite \textit{G. X. Wu} et al., Acta Sci. Nat. Univ. Pekin. 40, No. 5, 696--701 (2004; Zbl 1150.91474)
Zhan, Hui Rong; Cheng, Qian Sheng A new multiple control variate estimator for Asian options. (Chinese) Zbl 1150.91409 Acta Sci. Nat. Univ. Pekin. 40, No. 1, 5-11 (2004). MSC: 91B28 60H10 60H30 PDFBibTeX XMLCite \textit{H. R. Zhan} and \textit{Q. S. Cheng}, Acta Sci. Nat. Univ. Pekin. 40, No. 1, 5--11 (2004; Zbl 1150.91409)
Zhao, Xiaoyan; Nie, Zankan Utility maximization from consumption and terminal wealth with random endowment. (Chinese. English summary) Zbl 1151.91553 Math. Appl. 17, No. 4, 562-567 (2004). MSC: 91B28 90C15 PDFBibTeX XMLCite \textit{X. Zhao} and \textit{Z. Nie}, Math. Appl. 17, No. 4, 562--567 (2004; Zbl 1151.91553)
Otáhal, Miroslav Chain ladder method. (English) Zbl 1134.62376 Horová, Ivana (ed.), Summer school DATASTAT 03. Proceedings. Devoted to the memory of Pavel Osecký. Brno: Masaryk University (ISBN 80-210-3564-1/pbk). Folia Facultatis Scientiarum Naturalium Universitatis Masarykianae Brunensis. Mathematica 15, 279-297 (2004). MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{M. Otáhal}, Folia Fac. Sci. Nat. Univ. Masaryk. Brun., Math. 15, 279--297 (2004; Zbl 1134.62376)
David, Stanislav; Vašíček, Osvald Application of the constrained Kalman filter in a monetary policy area. (English) Zbl 1134.62363 Horová, Ivana (ed.), Summer school DATASTAT 03. Proceedings. Devoted to the memory of Pavel Osecký. Brno: Masaryk University (ISBN 80-210-3564-1/pbk). Folia Facultatis Scientiarum Naturalium Universitatis Masarykianae Brunensis. Mathematica 15, 67-76 (2004). MSC: 62M20 62P05 62P20 91B28 PDFBibTeX XMLCite \textit{S. David} and \textit{O. Vašíček}, Folia Fac. Sci. Nat. Univ. Masaryk. Brun., Math. 15, 67--76 (2004; Zbl 1134.62363)
Davis, Mark H. A. Valuation, hedging and investment in incomplete financial markets. (English) Zbl 1151.91052 Hill, James M. (ed.) et al., Applied mathematics entering the 21st century. Papers from the 5th international congress on industrial and applied mathematics (ICIAM 2003), Sydney, Australia, July 7–11, 2003. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-0-89871-559-0/hbk). Proceedings in Applied Mathematics 116, 49-70 (2004). Reviewer: Antonis Papapantoleon (Wien) MSC: 91B28 91-02 93E20 PDFBibTeX XMLCite \textit{M. H. A. Davis}, Proc. Appl. Math. 116, 49--70 (2004; Zbl 1151.91052)
Sprott, J. C. Competition with evolution in ecology and finance. (English) Zbl 1161.91405 Phys. Lett., A 325, No. 5-6, 329-333 (2004). MSC: 91B28 92D40 PDFBibTeX XMLCite \textit{J. C. Sprott}, Phys. Lett., A 325, No. 5--6, 329--333 (2004; Zbl 1161.91405) Full Text: DOI
O, Jangmin; Lee, Jae Won; Lee, Jongwoo; Zhang, Byoung-Tak Dynamic asset allocation exploiting predictors in reinforcement learning framework. (English) Zbl 1132.68579 Boulicaut, J.-F. (ed.) et al., Machine learning: ECML 2004. 15th European conference on machine learning, Pisa, Italy, September 20–24, 2004, Proceedings. Berlin: Springer (ISBN 978-3-540-23105-9/pbk). Lecture Notes in Computer Science 3201. Lecture Notes in Artificial Intelligence, 298-309 (2004). MSC: 68T05 91B28 PDFBibTeX XMLCite \textit{J. O} et al., Lect. Notes Comput. Sci. 3201, 298--309 (2004; Zbl 1132.68579) Full Text: DOI
Ray, Ajit Kumar; Khan, Mohammed Shamim Uddin An approach to measure information content conveyed by a stock price index. (English) Zbl 1151.91708 Opsearch 41, No. 4, 209-222 (2004). MSC: 91B82 91B28 94A17 PDFBibTeX XMLCite \textit{A. K. Ray} and \textit{M. S. U. Khan}, Opsearch 41, No. 4, 209--222 (2004; Zbl 1151.91708)
Smarandache, Florentin; Khoshnevisan, M.; Bhattacharya, Sukanto Computational exploration of investor utilities underlying a portofolio insurance strategy. (English) Zbl 1150.91387 Stud. Cercet. Ştiinţ., Ser. Mat., Univ. Bacău 14, 179-200 (2004). MSC: 91B28 91B30 62P20 PDFBibTeX XMLCite \textit{F. Smarandache} et al., Stud. Cercet. Științ., Ser. Mat., Univ. Bacău 14, 179--200 (2004; Zbl 1150.91387)
Ermoliev, Yuri; Norkin, Vladimir Stochastic optimization of risk functions via parametric smoothing. (English) Zbl 1137.90627 Marti, Kurt (ed.) et al., Dynamic stochastic optimization. Selected papers presented at the IFIP / IIASA / GAMM-workshop on “Dynamic stochastic optimization”, Laxenburg, Austria, March 11–14, 2002. Berlin: Springer (ISBN 3-540-40506-2/pbk). Lect. Notes Econ. Math. Syst. 532, 225-247 (2004). MSC: 90C15 60G40 91B28 91B30 PDFBibTeX XMLCite \textit{Y. Ermoliev} and \textit{V. Norkin}, Lect. Notes Econ. Math. Syst. 532, 225--247 (2004; Zbl 1137.90627)
Dempster, M. A. H.; Germano, M.; Medova, E. A.; Villaverde, M. Structured products for pension funds. (English) Zbl 1170.90451 Marti, Kurt (ed.) et al., Dynamic stochastic optimization. Selected papers presented at the IFIP / IIASA / GAMM-workshop on “Dynamic stochastic optimization”, Laxenburg, Austria, March 11–14, 2002. Berlin: Springer (ISBN 3-540-40506-2/pbk). Lect. Notes Econ. Math. Syst. 532, 115-130 (2004). MSC: 90C15 90C39 91B28 PDFBibTeX XMLCite \textit{M. A. H. Dempster} et al., Lect. Notes Econ. Math. Syst. 532, 115--130 (2004; Zbl 1170.90451)
Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming Estimating Libor/swaps spot-volatilities: the EpiVolatility model. (English) Zbl 1137.91429 Marti, Kurt (ed.) et al., Dynamic stochastic optimization. Selected papers presented at the IFIP / IIASA / GAMM-workshop on “Dynamic stochastic optimization”, Laxenburg, Austria, March 11–14, 2002. Berlin: Springer (ISBN 3-540-40506-2/pbk). Lect. Notes Econ. Math. Syst. 532, 99-114 (2004). MSC: 91B28 90C15 PDFBibTeX XMLCite \textit{S. W. Bianchi} et al., Lect. Notes Econ. Math. Syst. 532, 99--114 (2004; Zbl 1137.91429)
Hebrard, Pierre The financial crisis of the Netherlands: De Witt, Hudde and life annuities in Amsterdam (1671-1673). (La détresse des Pays-Bas: De Witt, Hudde et les rentes viagères d’Amsterdam ( 1671- 1673).) (French. English summary) Zbl 1127.01305 Math. Sci. Hum., Math. Soc. Sci. 166, 47-63 (2004). MSC: 01A45 91-03 91B28 PDFBibTeX XMLCite \textit{P. Hebrard}, Math. Sci. Hum., Math. Soc. Sci. 166, 47--63 (2004; Zbl 1127.01305)
Bayev, A. V.; Bondarev, B. V. Estimation of unknown parameters in diffusion models of interest rates of the prices of bonds. (Russian. English summary) Zbl 1164.62405 Prykl. Stat., Aktuarna Finans. Mat. 2004, No. 2, 56-76 (2004). MSC: 62P05 91B28 62M05 60J70 62F12 PDFBibTeX XMLCite \textit{A. V. Bayev} and \textit{B. V. Bondarev}, Prykl. Stat., Aktuarna Finans. Mat. 2004, No. 2, 56--76 (2004; Zbl 1164.62405)
Yukhnovskyj, Yu. V. General type and robustness of local minimal risk strategies. (Ukrainian. English summary) Zbl 1164.62428 Prykl. Stat., Aktuarna Finans. Mat. 2004, No. 2, 47-55 (2004). MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{Yu. V. Yukhnovskyj}, Prykl. Stat., Aktuarna Finans. Mat. 2004, No. 2, 47--55 (2004; Zbl 1164.62428)
Moreno, Rafael; Alonso-Conde, Ana B. Job scheduling and resource management techniques in economic grid environments. (English) Zbl 1129.68384 Fernández Rivera, Francisco (ed.) et al., Grid computing. First European across grids conference, Santiago de Compostela, Spain, February 13–14, 2003. Revised papers. Berlin: Springer (ISBN 3-540-21048-2/pbk). Lecture Notes in Computer Science 2970, 25-32 (2004). MSC: 68M14 68M20 91B28 PDFBibTeX XMLCite \textit{R. Moreno} and \textit{A. B. Alonso-Conde}, Lect. Notes Comput. Sci. 2970, 25--32 (2004; Zbl 1129.68384) Full Text: DOI
Joseph, Nathan Lael; Brée, David S.; Kalyvas, Efstathios Using non-parametric search algorithms to forecast daily excess stock returns. (English) Zbl 1118.91325 Binner, Jane M. (ed.) et al., Applications of artificial intelligence in finance and economics. Selected papers of international conference on artificial intelligence (IC-AI ’03), Las Vegas, NV, USA, June 23–26, 2003. Amsterdam: Elsevier/JAI (ISBN 0-7623-1150-9/hbk). Advances in Econometrics 19, 93-125 (2004). MSC: 91B28 68T05 90C59 PDFBibTeX XMLCite \textit{N. L. Joseph} et al., Adv. Econom. 19, 93--125 (2004; Zbl 1118.91325) Full Text: DOI
Peretti, Alberto On the selection of an efficient portfolio in the mean-variance approach. (English) Zbl 1128.91325 J. Interdiscip. Math. 7, No. 1, 41-59 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{A. Peretti}, J. Interdiscip. Math. 7, No. 1, 41--59 (2004; Zbl 1128.91325) Full Text: DOI
Slim, Chokri Forecasting the volatility of stock index returns: A stochastic neural network approach. (English) Zbl 1116.91331 Laganà, Antonio (ed.) et al., Computational science and its applications — ICCSA 2004. International conference, Assisi, Italy, May 14–17, 2004. Proceedings, Part III. Berlin: Springer (ISBN 3-540-22057-7/pbk). Lecture Notes in Computer Science 3045, 935-944 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{C. Slim}, Lect. Notes Comput. Sci. 3045, 935--944 (2004; Zbl 1116.91331) Full Text: DOI
Cho, Chung-Ki; Kang, Sunbu; Kim, Taekkeun; Kwon, YongHoon A new approach for numerical identification of optimal exercise curve. (English) Zbl 1116.91325 Laganà, Antonio (ed.) et al., Computational science and its applications — ICCSA 2004. International conference, Assisi, Italy, May 14–17, 2004. Proceedings, Part III. Berlin: Springer (ISBN 3-540-22057-7/pbk). Lecture Notes in Computer Science 3045, 926-934 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{C.-K. Cho} et al., Lect. Notes Comput. Sci. 3045, 926--934 (2004; Zbl 1116.91325) Full Text: DOI
Vaninsky, Alexander Combining data envelopment analysis with neural networks: application to analysis of stock prices. (English) Zbl 1117.90318 J. Inf. Optim. Sci. 25, No. 3, 589-611 (2004). MSC: 90B50 90C59 90C09 91B28 PDFBibTeX XMLCite \textit{A. Vaninsky}, J. Inf. Optim. Sci. 25, No. 3, 589--611 (2004; Zbl 1117.90318) Full Text: DOI
Lin, Tyrone T. A new real options entry model with HARA utility class. (English) Zbl 1138.91461 J. Inf. Optim. Sci. 25, No. 1, 121-136 (2004). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{T. T. Lin}, J. Inf. Optim. Sci. 25, No. 1, 121--136 (2004; Zbl 1138.91461) Full Text: DOI
Lin, Chin-Tsai; Wu, Cheng-Ru Strategic timing decision for entering foreign market: a real options approach. (English) Zbl 1137.91462 Int. J. Oper. Res., Taichung 1, No. 1, 23-28 (2004). MSC: 91B28 90B50 PDFBibTeX XMLCite \textit{C.-T. Lin} and \textit{C.-R. Wu}, Int. J. Oper. Res., Taichung 1, No. 1, 23--28 (2004; Zbl 1137.91462)
Wessex Institute of Technology (ed.) Computational finance and application. Papers from the 1st international conference, Bologna, Italy, April 21–23, 2004. (English) Zbl 1109.91004 Southhampton: Wit Press (ISBN 1-85312-709-4/hbk). vii, 307 p. (2004). MSC: 91-06 65-06 91B28 00B25 PDFBibTeX XMLCite \textit{Wessex Institute of Technology}, Computational finance and application. Papers from the 1st international conference, Bologna, Italy, April 21--23, 2004. Southhampton: Wit Press (2004; Zbl 1109.91004)
Răducanu, Răzvan An essay on an optimal control theory in investement strategies. (English) Zbl 1150.91384 Bul. Inst. Politeh. Iași, Secț. I, Mat. Mec. Teor. Fiz. 50(54), No. 1-2, 67-72 (2004). MSC: 91B28 49N90 PDFBibTeX XMLCite \textit{R. Răducanu}, Bul. Inst. Politeh. Iași, Secț. I, Mat. Mec. Teor. Fiz. 50(54), No. 1--2, 67--72 (2004; Zbl 1150.91384)
Hayashi, Takaki (ed.) Special issue: 7th Columbia JAFEE mathematics of finance conference, New York, NY, USA, October 8–9, 2004. Selected papers. (English) Zbl 1109.91302 Asia-Pac. Financ. Mark. 11, No. 3, 215-365 (2004). MSC: 91-06 00B25 91B28 PDFBibTeX XML
Boyarintseva, N. S.; Khametov, V. M. A new martingale representation theorem (discrete time). (English. Russian original) Zbl 1108.60035 Math. Notes 75, No. 1, 38-50 (2004); translation from Mat. Zametki 75, No. 1, 40-54 (2004). MSC: 60G42 91B28 PDFBibTeX XMLCite \textit{N. S. Boyarintseva} and \textit{V. M. Khametov}, Math. Notes 75, No. 1, 38--50 (2004; Zbl 1108.60035); translation from Mat. Zametki 75, No. 1, 40--54 (2004) Full Text: DOI
Chu, Chi Chiu; Kwok, Yue Kuen Reset and withdrawal rights in dynamic fund protection. (English) Zbl 1136.91421 Insur. Math. Econ. 34, No. 2, 273-295 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{C. C. Chu} and \textit{Y. K. Kwok}, Insur. Math. Econ. 34, No. 2, 273--295 (2004; Zbl 1136.91421) Full Text: DOI
Weber, Stefan Measures and models of financial risk. (English) Zbl 1126.91383 Berlin: Humboldt-Univ., Mathematisch-Naturwissenschaftliche Fakultät II (Diss.). 152 p. (2004). MSC: 91B30 91B28 91B26 PDFBibTeX XMLCite \textit{S. Weber}, Measures and models of financial risk. Berlin: Humboldt-Univ., Mathematisch-Naturwissenschaftliche Fakultät II (Diss.) (2004; Zbl 1126.91383) Full Text: Link
Zhao, Liping A method of comprehensive evaluation on value of security investment. (Chinese. English summary) Zbl 1154.91492 J. Ningxia Univ., Nat. Sci. Ed. 25, No. 1, 20-22 (2004). MSC: 91B28 62H25 PDFBibTeX XMLCite \textit{L. Zhao}, J. Ningxia Univ., Nat. Sci. Ed. 25, No. 1, 20--22 (2004; Zbl 1154.91492)
Ishimura, Naoyuki; Sakaguchi, Toshi-hiko Exact solutions of a model for asset prices by K. Takaoka. (English) Zbl 1154.91450 Asia-Pac. Financ. Mark. 11, No. 4, 445-451 (2004). MSC: 91B28 35K15 PDFBibTeX XMLCite \textit{N. Ishimura} and \textit{T.-h. Sakaguchi}, Asia-Pac. Financ. Mark. 11, No. 4, 445--451 (2004; Zbl 1154.91450) Full Text: DOI
Fujiwara, Tsukasa From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes. (English) Zbl 1154.91442 Asia-Pac. Financ. Mark. 11, No. 4, 367-391 (2004). MSC: 91B28 91B16 60G44 60G51 60G52 60H20 60J75 94A17 PDFBibTeX XMLCite \textit{T. Fujiwara}, Asia-Pac. Financ. Mark. 11, No. 4, 367--391 (2004; Zbl 1154.91442) Full Text: DOI
Ryabchenko, Valeriy; Sarykalin, Sergey; Uryasev, Stan Pricing European options by numerical replication: quadratic programming with constraints. (English) Zbl 1147.91330 Asia-Pac. Financ. Mark. 11, No. 3, 301-333 (2004). MSC: 91B28 90C20 PDFBibTeX XMLCite \textit{V. Ryabchenko} et al., Asia-Pac. Financ. Mark. 11, No. 3, 301--333 (2004; Zbl 1147.91330) Full Text: DOI
Nakamura, Nobuhiro Numerical approach to asset pricing models with stochastic differential utility. (English) Zbl 1147.91328 Asia-Pac. Financ. Mark. 11, No. 3, 267-300 (2004). MSC: 91B28 91B16 60H10 65C30 PDFBibTeX XMLCite \textit{N. Nakamura}, Asia-Pac. Financ. Mark. 11, No. 3, 267--300 (2004; Zbl 1147.91328) Full Text: DOI
Jin, Xuejun; Yang, Xiaolan Empirical study on mutual fund objective classification. (Chinese. English summary) Zbl 1115.91331 J. Zhejiang Univ., Sci. 5, No. 5, 533-538 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{X. Jin} and \textit{X. Yang}, J. Zhejiang Univ., Sci. 5, No. 5, 533--538 (2004; Zbl 1115.91331) Full Text: DOI
McDonald, John F. The \(Q\) theory of investment, the capital asset pricing model, and asset valuation: a synthesis. (Chinese. English summary) Zbl 1119.91327 J. Zhejiang Univ., Sci. 5, No. 5, 499-508 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{J. F. McDonald}, J. Zhejiang Univ., Sci. 5, No. 5, 499--508 (2004; Zbl 1119.91327) Full Text: DOI Link
Jönsson, H.; Kukush, A. G.; Silvestrov, D. S. Threshold structure of optimal stopping strategies for American type option. I. (English) Zbl 1101.91040 Teor. Jmovirn. Mat. Stat. 71, 82-92 (2004) and Theory Probab. Math. Stat. 71, 93-103 (2005). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B28 60G40 62L15 62P05 60J25 PDFBibTeX XMLCite \textit{H. Jönsson} et al., Teor. Ĭmovirn. Mat. Stat. 71, 82--92 (2004; Zbl 1101.91040) Full Text: Link
Bayev, A. V.; Kolesnikov, M. S. The least squares estimate of unknown parameters in recurrent procedures describing financial flows in a bank. (Russian. English summary) Zbl 1097.62111 Visn. Donetsk. Univ., Ser. A, Pryrod. Nauky 2004, No. 1, 56-68 (2004). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62P05 62F25 91B28 PDFBibTeX XMLCite \textit{A. V. Bayev} and \textit{M. S. Kolesnikov}, Visn. Donetsk. Univ., Ser. A, Pryrod. Nauky 2004, No. 1, 56--68 (2004; Zbl 1097.62111)
Chen, Xuedong A recursive procedure for calculation of distribution for heterogeneous policies portfolios. (Chinese. English summary) Zbl 1125.91340 J. Huzhou Teach. Coll. 26, No. 1, 17-20 (2004). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{X. Chen}, J. Huzhou Teach. Coll. 26, No. 1, 17--20 (2004; Zbl 1125.91340)
Li, Ting; Zhang, Weiguo An optimal portfolio under constraints of both VaR and allowing for risk-free lending and borrowing. (Chinese. English summary) Zbl 1125.91354 J. Ningxia Univ., Nat. Sci. Ed. 25, No. 4, 305-308 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{T. Li} and \textit{W. Zhang}, J. Ningxia Univ., Nat. Sci. Ed. 25, No. 4, 305--308 (2004; Zbl 1125.91354)
Wang, Jun; Ye, Zhongxing Application of an improved continuous genetic algorithm in multiple object optimization of a portfolio. (Chinese. English summary) Zbl 1115.68491 J. Ningxia Univ., Nat. Sci. Ed. 25, No. 3, 226-229 (2004). MSC: 68T05 68W05 91B28 94A17 PDFBibTeX XMLCite \textit{J. Wang} and \textit{Z. Ye}, J. Ningxia Univ., Nat. Sci. Ed. 25, No. 3, 226--229 (2004; Zbl 1115.68491)
Rao, Lanlan; Cai, Donghan The optimal solution of the model with physical and human capital adjustment costs. (English) Zbl 1150.91386 Wuhan Univ. J. Nat. Sci. 9, No. 4, 404-406 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{L. Rao} and \textit{D. Cai}, Wuhan Univ. J. Nat. Sci. 9, No. 4, 404--406 (2004; Zbl 1150.91386) Full Text: DOI
Frankiewicz, Ewa Pricing of a defaultable coupon bond in an extended Merton’s model. (English) Zbl 1136.91021 Opusc. Math. 24, No. 1, 57-69 (2004). Reviewer: Anatoly N. Kochubei (Kyïv) MSC: 91B28 91B70 60J35 PDFBibTeX XMLCite \textit{E. Frankiewicz}, Opusc. Math. 24, No. 1, 57--69 (2004; Zbl 1136.91021)
Hernández, Jorge A general framework for term structure models driven by Lévy processes. (English) Zbl 1097.60031 J. Concr. Appl. Math. 2, No. 4, 327-367 (2004). MSC: 60G51 91B28 91B70 PDFBibTeX XMLCite \textit{J. Hernández}, J. Concr. Appl. Math. 2, No. 4, 327--367 (2004; Zbl 1097.60031)
Satoyoshi, Kiyotaka An empirical study of volatility in the Japanese stock market using the Markov switching GARCH model. (Japanese. English summary) Zbl 1129.91330 J. Jpn. Stat. Soc. 34, No. 1, Jpn. Iss., 1-19 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{K. Satoyoshi}, J. Jpn. Stat. Soc. 34, No. 1, 1--19 (2004; Zbl 1129.91330) Full Text: DOI
Collin-Dufresne, P.; Goldstein, R.; Hugonnier, J. A general formula for valuing defaultable securities. (English) Zbl 1141.91431 Econometrica 72, No. 5, 1377-1407 (2004). MSC: 91B28 91B26 91B30 PDFBibTeX XMLCite \textit{P. Collin-Dufresne} et al., Econometrica 72, No. 5, 1377--1407 (2004; Zbl 1141.91431) Full Text: DOI
Huberman, Gur; Stanzl, Werner Price manipulation and quasi-arbitrage. (English) Zbl 1141.91450 Econometrica 72, No. 4, 1247-1275 (2004). MSC: 91B28 91B24 91B26 PDFBibTeX XMLCite \textit{G. Huberman} and \textit{W. Stanzl}, Econometrica 72, No. 4, 1247--1275 (2004; Zbl 1141.91450) Full Text: DOI
Conlon, John R. Simple finite horizon bubbles robust to higher order knowledge. (English) Zbl 1141.91432 Econometrica 72, No. 3, 927-936 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{J. R. Conlon}, Econometrica 72, No. 3, 927--936 (2004; Zbl 1141.91432) Full Text: DOI
Zhang, Libing; Wang, Jinyu; Cui, Haibo; Pan, Dehui Determination of obligated cash proportion of open-end funds based on jump-diffusion processes. (English) Zbl 1139.91348 J. Northeast. Univ., Nat. Sci. 25, No. 12, 1203-1206 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{L. Zhang} et al., J. Northeast. Univ., Nat. Sci. 25, No. 12, 1203--1206 (2004; Zbl 1139.91348)
Vučić, Sonja; Radukić, Snežana; Janković-Milić, Vesna The analysis of the influence of ICT investment on firm productivity and efficiency – stochastic approach. (Serbian) Zbl 1092.62125 Vujić, Slobodan (ed.), 31st symposium on operations research, SYM-OP-IS 2004, Iriški Venac, Fruška Gora, Serbia and Montenegro, September 14–17, 2004. Proceedings. Beograd: Planeta print (ISBN 86-7352-123-8). 29-32 (2004). Reviewer: Ljiljana Petrović (Kragujevac) MSC: 62P20 62J05 91B28 PDFBibTeX XMLCite \textit{S. Vučić} et al., in: XXXI simpozijum o operacionim istraživanjima. Zbornik Radova. Beograd: Planeta print. 29--32 (2004; Zbl 1092.62125)
Baaquie, Belal E. Quantum finance. Path integrals and Hamiltonians for options and interest rates. (English) Zbl 1096.91021 Cambridge: Cambridge University Press (ISBN 0-521-84045-7/hbk). xv, 316 p. (2004). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91B28 81P99 91-02 PDFBibTeX XMLCite \textit{B. E. Baaquie}, Quantum finance. Path integrals and Hamiltonians for options and interest rates. Cambridge: Cambridge University Press (2004; Zbl 1096.91021) Full Text: DOI
Zhong, Liming; Liu, Hailong; Wu, Chongfeng Optimal control strategy of institutional investor’s execution cost. (English) Zbl 1088.91038 J. Southeast Univ., Engl. Ed. 20, No. 2, 240-244 (2004). MSC: 91B28 49N90 PDFBibTeX XMLCite \textit{L. Zhong} et al., J. Southeast Univ., Engl. Ed. 20, No. 2, 240--244 (2004; Zbl 1088.91038)
Polasek, Wolfgang; Poljarliev, Momtchil Global European portfolio construction: Does a changing volatility structure matter? (English) Zbl 1092.91030 Appl. Stoch. Models Bus. Ind. 20, No. 3, 265-280 (2004). Reviewer: L. M. Sakhno (Kyïv) MSC: 91B28 62P05 91B82 62P10 91B84 PDFBibTeX XMLCite \textit{W. Polasek} and \textit{M. Poljarliev}, Appl. Stoch. Models Bus. Ind. 20, No. 3, 265--280 (2004; Zbl 1092.91030) Full Text: DOI
Thomassen, L.; van Wouwe, M. The influence of a stochastic interest rate on the \(n\)-fold compound option. (English) Zbl 1171.91344 Hubert, Mia (ed.) et al., Theory and applications of recent robust methods. Selected papers of the international conference on robust statistics 2003, ICORS 2003, Antwerp, Belgium, July 13–18, 2003. Basel: Birkhäuser (ISBN 3-7643-7060-2/hbk). Statistics for Industry and Technology, 343-353 (2004). MSC: 91B28 60J60 60J70 62F35 62P05 PDFBibTeX XMLCite \textit{L. Thomassen} and \textit{M. van Wouwe}, in: Theory and applications of recent robust methods. Selected papers of the international conference on robust statistics 2003, ICORS 2003, Antwerp, Belgium, July 13--18, 2003. Basel: Birkhäuser. 343--353 (2004; Zbl 1171.91344)
Basset, G.; Gerber, G.; Rocco, P. Robust strategies for quantitative investment management. (English) Zbl 1088.62065 Hubert, Mia (ed.) et al., Theory and applications of recent robust methods. Selected papers of the international conference on robust statistics 2003, ICORS 2003, Antwerp, Belgium, July 13–18, 2003. Basel: Birkhäuser (ISBN 3-7643-7060-2/hbk). Statistics for Industry and Technology, 27-37 (2004). MSC: 62G35 91B28 62G08 62P05 PDFBibTeX XMLCite \textit{G. Basset} et al., in: Theory and applications of recent robust methods. Selected papers of the international conference on robust statistics 2003, ICORS 2003, Antwerp, Belgium, July 13--18, 2003. Basel: Birkhäuser. 27--37 (2004; Zbl 1088.62065)
Remer, Ralf; Mahnke, Reinhard Probabilistic analysis of DAX high frequency data. (English) Zbl 1124.91341 Buikis, Andris (ed.) et al., Progress in industrial mathematics at ECMI 2002. Papers of the 12th ECMI conference, Jurvala, Latvia, September 10-14, 2002. Berlin: Springer (ISBN 3-540-40113-X/hbk). Math. Ind. 5, 347-351 (2004). MSC: 91B28 91B84 PDFBibTeX XMLCite \textit{R. Remer} and \textit{R. Mahnke}, Math. Ind. 5, 347--351 (2004; Zbl 1124.91341)
Enders, Walter; Siklos, Pierre D-TAR versus C-TAR models? Modelling the dynamics of inflation. (English) Zbl 1125.91394 Becker, Ralf (ed.) et al., Contemporary issues in economics and econometrics. Theory and applications. Selected papers based on the presentation at the Australasian meeting of the Econometric Society, ESAM 2002, Brisbane, Australia, July 7–10, 2002. Cheltenham: Edward Elgar Publishing (ISBN 1-84376-617-5/hbk). 205-225 (2004). MSC: 91B64 91B28 91B82 PDFBibTeX XMLCite \textit{W. Enders} and \textit{P. Siklos}, in: Contemporary issues in economics and econometrics. Theory and applications. Selected papers based on the presentation at the Australasian meeting of the Econometric Society, ESAM 2002, Brisbane, Australia, July 7--10, 2002. Cheltenham: Edward Elgar Publishing. 205--225 (2004; Zbl 1125.91394)
Pavlov, Vlad Missing data and interpolation in dynamic term structure models. (English) Zbl 1124.91036 Becker, Ralf (ed.) et al., Contemporary issues in economics and econometrics. Theory and applications. Selected papers based on the presentation at the Australasian meeting of the Econometric Society, ESAM 2002, Brisbane, Australia, July 7–10, 2002. Cheltenham: Edward Elgar Publishing (ISBN 1-84376-617-5/hbk). 162-175 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{V. Pavlov}, in: Contemporary issues in economics and econometrics. Theory and applications. Selected papers based on the presentation at the Australasian meeting of the Econometric Society, ESAM 2002, Brisbane, Australia, July 7--10, 2002. Cheltenham: Edward Elgar Publishing. 162--175 (2004; Zbl 1124.91036)
Smirnov, Vladimir; Wait, Andrew Industry shunk cost and entry dynamics. (English) Zbl 1126.91385 Becker, Ralf (ed.) et al., Contemporary issues in economics and econometrics. Theory and applications. Selected papers based on the presentation at the Australasian meeting of the Econometric Society, ESAM 2002, Brisbane, Australia, July 7–10, 2002. Cheltenham: Edward Elgar Publishing (ISBN 1-84376-617-5/hbk). 34-49 (2004). MSC: 91B38 91B28 91A80 PDFBibTeX XMLCite \textit{V. Smirnov} and \textit{A. Wait}, in: Contemporary issues in economics and econometrics. Theory and applications. Selected papers based on the presentation at the Australasian meeting of the Econometric Society, ESAM 2002, Brisbane, Australia, July 7--10, 2002. Cheltenham: Edward Elgar Publishing. 34--49 (2004; Zbl 1126.91385)
Yu, Xuefei; Wang, Wenquan; Pan, Dehui Solving method and solution characters of banker control stock price model. (Chinese. English summary) Zbl 1131.91319 J. Syst. Eng. 19, No. 4, 398-402 (2004). MSC: 91B24 91B28 PDFBibTeX XMLCite \textit{X. Yu} et al., J. Syst. Eng. 19, No. 4, 398--402 (2004; Zbl 1131.91319)
Wei, Yanhua; Zhang, Shiying; Guo, Yan Research on degree and patterns of dependence in financial markets. (Chinese. English summary) Zbl 1131.91349 J. Syst. Eng. 19, No. 4, 355-362 (2004). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{Y. Wei} et al., J. Syst. Eng. 19, No. 4, 355--362 (2004; Zbl 1131.91349)
Tan, Duoduo; Yang, Xiangqun; Tian, Wei The application of major medical expense insurance option. (Chinese. English summary) Zbl 1131.91348 J. Nat. Sci. Hunan Norm. Univ. 27, No. 3, 7-10, 16 (2004). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{D. Tan} et al., J. Nat. Sci. Hunan Norm. Univ. 27, No. 3, 7--10, 16 (2004; Zbl 1131.91348)
Zheng, Ziyu Numerical analysis of stochastic differential systems and its applications in finance. (English) Zbl 1126.91379 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 403-429 (2004). MSC: 91B28 60H10 PDFBibTeX XMLCite \textit{Z. Zheng}, in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 403--429 (2004; Zbl 1126.91379)
Trück, Stefan; Özturkmen, Emrah Estimation, adjustment and application of transition matrices in credit risk models. (English) Zbl 1126.91382 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 373-402 (2004). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{S. Trück} and \textit{E. Özturkmen}, in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 373--402 (2004; Zbl 1126.91382)
Testuri, Carlos E.; Uryasev, Stanislav On relation between expected regret and conditional value-at-risk. (English) Zbl 1126.91378 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 361-372 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{C. E. Testuri} and \textit{S. Uryasev}, in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 361--372 (2004; Zbl 1126.91378)
Schlottmann, Frank; Seese, Detlef Modern heuristics for finance problems: a survey of selected methods and applications. (English) Zbl 1126.91375 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 331-359 (2004). MSC: 91B28 90C59 PDFBibTeX XMLCite \textit{F. Schlottmann} and \textit{D. Seese}, in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 331--359 (2004; Zbl 1126.91375)
Stoyanov, Stoyan; Racheva-Jotova, Borjana Numerical methods for stable modeling in financial risk management. (English) Zbl 1126.91376 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 299-329 (2004). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{S. Stoyanov} and \textit{B. Racheva-Jotova}, in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 299--329 (2004; Zbl 1126.91376)
Pagès, Gilles; Pham, Huyên; Printems, Jacques Optimal quantization methods and applications to numerical problems in finance. (English) Zbl 1138.91467 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 253-297 (2004). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{G. Pagès} et al., in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 253--297 (2004; Zbl 1138.91467)
Kokoszka, Piotr; Parfionovas, Andrejus Bootstrap unit root tests for heavy-tailed time series. (English) Zbl 1126.91406 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 175-195 (2004). MSC: 91B84 91B82 91B28 PDFBibTeX XMLCite \textit{P. Kokoszka} and \textit{A. Parfionovas}, in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 175--195 (2004; Zbl 1126.91406)
D’Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana Valuation of a credit spread put option: the stable Paretian model with copulas. (English) Zbl 1126.91364 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 15-69 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{D. D'Souza} et al., in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 15--69 (2004; Zbl 1126.91364)
Blaskowitz, Oliver J.; Härdle, Wolfgang K.; Schmidt, Peter Skewness and kurtosis trades. (English) Zbl 1126.91362 Rachev, Svetlozar T. (ed.), Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser (ISBN 0-8176-3219-0/hbk). 1-14 (2004). MSC: 91B28 91B26 91B60 PDFBibTeX XMLCite \textit{O. J. Blaskowitz} et al., in: Handbook of computational and numerical methods in finance. Boston, MA: Birkhäuser. 1--14 (2004; Zbl 1126.91362)
Liu, Shaoyue; Yang, Xianqin Pricing of bi-direction European options when underlying asset price submitting to geometric fractional Brownian motion. (Chinese. English summary) Zbl 1134.91445 Nat. Sci. J. Xiangtan Univ. 26, No. 2, 1-4 (2004). MSC: 91B28 60G15 PDFBibTeX XMLCite \textit{S. Liu} and \textit{X. Yang}, Nat. Sci. J. Xiangtan Univ. 26, No. 2, 1--4 (2004; Zbl 1134.91445)
Liu, Xuanhui; Hu, Qiying Hedging strategy of a contingent claim in incomplete market. (Chinese. English summary) Zbl 1127.91345 J. Syst. Eng. 19, No. 3, 284-289 (2004). MSC: 91B28 91B30 91B26 PDFBibTeX XMLCite \textit{X. Liu} and \textit{Q. Hu}, J. Syst. Eng. 19, No. 3, 284--289 (2004; Zbl 1127.91345)
Chen, Jinlong; Zhang, Wei Study on correlation pricing formula for derivative assets in incomplete markets. (Chinese. English summary) Zbl 1137.91436 J. Syst. Eng. 19, No. 3, 278-283 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Chen} and \textit{W. Zhang}, J. Syst. Eng. 19, No. 3, 278--283 (2004; Zbl 1137.91436)
Fu, Quiang; Li, Xiao Optimizing capital structure under uncertainty. (Chinese. English summary) Zbl 1125.91344 J. Sichuan Univ., Nat. Sci. Ed. 41, No. 5, 901-905 (2004). MSC: 91B28 49J15 PDFBibTeX XMLCite \textit{Q. Fu} and \textit{X. Li}, J. Sichuan Univ., Nat. Sci. Ed. 41, No. 5, 901--905 (2004; Zbl 1125.91344)
Fu, Shichang; Xu, Yuandong Comparison study on value and exercise time of options with same intrinsic value. (Chinese. English summary) Zbl 1123.91322 J. Southwest Jiaotong Univ. 39, No. 4, 507-510 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{S. Fu} and \textit{Y. Xu}, J. Southwest Jiaotong Univ. 39, No. 4, 507--510 (2004; Zbl 1123.91322)
Lin, Chomin; Cheng, Wanhsiu; Liu, Herchang The determinants and performance of mergers in Taiwan’s banks. (Chinese. English summary) Zbl 1122.91332 Tamsui Oxf. J. Econ. Bus. 10, 57-84 (2004). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{C. Lin} et al., Tamsui Oxf. J. Econ. Bus. 10, 57--84 (2004; Zbl 1122.91332)
Sheĭnzon, I. A. Comparison of theoretical formulas for price and hedging strategy of the Russian option with real data. (Russian, English) Zbl 1083.91057 Vestn. Mosk. Univ., Ser. I 2004, No. 4, 17-24 (2004); translation in Mosc. Univ. Math. Bull. 59, No. 4, 17-23 (2004). MSC: 91B28 91B74 PDFBibTeX XMLCite \textit{I. A. Sheĭnzon}, Vestn. Mosk. Univ., Ser. I 2004, No. 4, 17--24 (2004; Zbl 1083.91057); translation in Mosc. Univ. Math. Bull. 59, No. 4, 17--23 (2004)
Ou, Hui; Xiang, Xuyan; Yang, Xiangqun Pricing of the innovative reset options under stochastic interest. (Chinese. English summary) Zbl 1151.91531 J. Hunan Univ. Arts Sci., Nat. Sci. 16, No. 3, 6-10, 14 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{H. Ou} et al., J. Hunan Univ. Arts Sci., Nat. Sci. 16, No. 3, 6--10, 14 (2004; Zbl 1151.91531)
Caldarelli, Guido; Battiston, Stefano; Garlaschelli, Diego; Catanzaro, Michele Emergence of complexity in financial networks. (English) Zbl 1122.91324 Ben-Naim, Eli (ed.) et al., Complex networks. Papers from the conference ‘complex networks: structure, dynamics, and function’, 23rd annual conference of the Center for Nonlinear Studies, Santa Fe, NM, USA, May 12–16, 2003. Berlin: Springer (ISBN 3-540-22354-1/hbk). Lecture Notes in Physics 650, 399-423 (2004). MSC: 91B28 90B10 90B15 PDFBibTeX XMLCite \textit{G. Caldarelli} et al., Lect. Notes Phys. 650, 399--423 (2004; Zbl 1122.91324)
Gil-Bazo, Javier; Rubio, Gonzalo A nonparametric dimension test of the term structure. (English) Zbl 1081.91529 Stud. Nonlinear Dyn. Econom. 8, No. 3, Article 6, 26 p. (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Gil-Bazo} and \textit{G. Rubio}, Stud. Nonlinear Dyn. Econom. 8, No. 3, Article 6, 26 p. (2004; Zbl 1081.91529) Full Text: DOI Link
De Luca, Giovanni; Gallo, Giampiero M. Mixture processes for financial intradaily durations. (English) Zbl 1081.91526 Stud. Nonlinear Dyn. Econom. 8, No. 2, Article 8, 18 p. (2004). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{G. De Luca} and \textit{G. M. Gallo}, Stud. Nonlinear Dyn. Econom. 8, No. 2, Article 8, 18 p. (2004; Zbl 1081.91526) Full Text: DOI
Lee, Kai Ming; Koopman, Siem Jan Estimating stochastic volatility models: a comparison of two importance samplers. (English) Zbl 1081.91534 Stud. Nonlinear Dyn. Econom. 8, No. 2, Article 5, 15 p. (2004). MSC: 91B28 93E11 PDFBibTeX XMLCite \textit{K. M. Lee} and \textit{S. J. Koopman}, Stud. Nonlinear Dyn. Econom. 8, No. 2, Article 5, 15 p. (2004; Zbl 1081.91534) Full Text: DOI
Laurini, Fabrizio Clusters of extreme observations and extremal index estimate in GARCH processes. (English) Zbl 1081.91533 Stud. Nonlinear Dyn. Econom. 8, No. 2, Article 4, 21 p. (2004). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{F. Laurini}, Stud. Nonlinear Dyn. Econom. 8, No. 2, Article 4, 21 p. (2004; Zbl 1081.91533) Full Text: DOI
Vázquez, Jesús Switching regimes in the term structure of interest rates during U.S. post-war: a case for the Lucas proof equilibrium? (English) Zbl 1081.91598 Stud. Nonlinear Dyn. Econom. 8, No. 1, Article 5, 39 p. (2004). MSC: 91B99 91B28 PDFBibTeX XMLCite \textit{J. Vázquez}, Stud. Nonlinear Dyn. Econom. 8, No. 1, Article 5, 39 p. (2004; Zbl 1081.91598) Full Text: Link
Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. Inferring the forward looking equity risk premium from derivative prices. (English) Zbl 1081.91522 Stud. Nonlinear Dyn. Econom. 8, No. 1, Article 3, 26 p. (2004). MSC: 91B28 91B30 93E20 PDFBibTeX XMLCite \textit{R. Bhar} et al., Stud. Nonlinear Dyn. Econom. 8, No. 1, Article 3, 26 p. (2004; Zbl 1081.91522) Full Text: DOI Link
Kelly, David L.; Steigerwald, Douglas G. Private information and high-frequency stochastic volatility. (English) Zbl 1081.91531 Stud. Nonlinear Dyn. Econom. 8, No. 1, Article 1, 30 p. (2004). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{D. L. Kelly} and \textit{D. G. Steigerwald}, Stud. Nonlinear Dyn. Econom. 8, No. 1, Article 1, 30 p. (2004; Zbl 1081.91531) Full Text: DOI Link
Aspnes, James; Fischer, David F.; Fischer, Michael J.; Kao, Ming-Yang; Kumar, Alok Towards understanding the predictability of stock markets from the perspective of computational complexity. (English) Zbl 1127.91331 Wille, Luc T. (ed.), New directions in statistical physics. Econophysics, bioinformatics, and pattern recognition. Berlin: Springer (ISBN 3-540-43182-9/hbk). 129-151 (2004). MSC: 91B26 91B28 PDFBibTeX XMLCite \textit{J. Aspnes} et al., in: New directions in statistical physics. Econophysics, bioinformatics, and pattern recognition. Berlin: Springer. 129--151 (2004; Zbl 1127.91331)
Johnson, Neil F.; Lamper, David; Jefferies, Paul; Hart, Michael L. Toward an understanding of financial markets using multi-agent games. (English) Zbl 1137.91338 Wille, Luc T. (ed.), New directions in statistical physics. Econophysics, bioinformatics, and pattern recognition. Berlin: Springer (ISBN 3-540-43182-9/hbk). 115-127 (2004). MSC: 91A80 91B28 91B84 PDFBibTeX XMLCite \textit{N. F. Johnson} et al., in: New directions in statistical physics. Econophysics, bioinformatics, and pattern recognition. Berlin: Springer. 115--127 (2004; Zbl 1137.91338)
Ausloos, Marcel; Ivanova, Kristinka Patterns, trends and predictions in stock market indices and foreign currency exchange rates. (English) Zbl 1137.91397 Wille, Luc T. (ed.), New directions in statistical physics. Econophysics, bioinformatics, and pattern recognition. Berlin: Springer (ISBN 3-540-43182-9/hbk). 93-114 (2004). MSC: 91B26 91B28 91B82 PDFBibTeX XMLCite \textit{M. Ausloos} and \textit{K. Ivanova}, in: New directions in statistical physics. Econophysics, bioinformatics, and pattern recognition. Berlin: Springer. 93--114 (2004; Zbl 1137.91397) Full Text: arXiv
Kolkiewicz, Adam W.; Tan, Ken Seng Volatility risk for regime-switching models. (English) Zbl 1085.62510 N. Am. Actuar. J. 8, No. 4, 127-145 (2004). MSC: 62P05 91B84 91B28 PDFBibTeX XMLCite \textit{A. W. Kolkiewicz} and \textit{K. S. Tan}, N. Am. Actuar. J. 8, No. 4, 127--145 (2004; Zbl 1085.62510) Full Text: DOI