Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. (English) Zbl 07793542 Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107725, 34 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M60 65C05 91G20 PDFBibTeX XMLCite \textit{Í. Arregui} et al., Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107725, 34 p. (2024; Zbl 07793542) Full Text: DOI
Jeon, Junkee; Kim, Geonwoo Variational inequality arising from variable annuity with mean reversion environment. (English) Zbl 07781456 J. Inequal. Appl. 2023, Paper No. 99, 20 p. (2023). MSC: 49J40 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{G. Kim}, J. Inequal. Appl. 2023, Paper No. 99, 20 p. (2023; Zbl 07781456) Full Text: DOI
Sadik, Somaya; Et-tolba, Mohamed; Nsiri, Benayad A novel regularization-based optimization approach to sparse mean-reverting portfolios selection. (English) Zbl 1527.91152 Optim. Eng. 24, No. 4, 2549-2577 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{S. Sadik} et al., Optim. Eng. 24, No. 4, 2549--2577 (2023; Zbl 1527.91152) Full Text: DOI
Chen, Xiaodong; Lee, Roger EMA-type trading strategies maximize utility under partial information. (English) Zbl 1519.91239 Front. Math. Finance 2, No. 1, 124-140 (2023). MSC: 91G15 60G35 PDFBibTeX XMLCite \textit{X. Chen} and \textit{R. Lee}, Front. Math. Finance 2, No. 1, 124--140 (2023; Zbl 1519.91239) Full Text: DOI
Chen, Yuwei; Christara, Christina C. Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation. (English) Zbl 1519.91254 Appl. Numer. Math. 185, 236-259 (2023). MSC: 91G20 35Q91 91G60 65M06 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{C. C. Christara}, Appl. Numer. Math. 185, 236--259 (2023; Zbl 1519.91254) Full Text: DOI
Darus, M.; Taib, C. M. I. C. Modelling temperature using CARMA processes with stochastic speed of mean reversion for temperature insurance pricing. (English) Zbl 07811511 Malays. J. Math. Sci. 16, No. 2, 273-288 (2022). MSC: 91G05 62P05 60H30 PDFBibTeX XMLCite \textit{M. Darus} and \textit{C. M. I. C. Taib}, Malays. J. Math. Sci. 16, No. 2, 273--288 (2022; Zbl 07811511) Full Text: DOI
Tvedt, Jostein Optimal entry and exit decisions under uncertainty and the impact of mean reversion. (English) Zbl 1501.91179 SN Oper. Res. Forum 3, No. 4, Paper No. 54, 21 p. (2022). MSC: 91G50 49L12 93E20 PDFBibTeX XMLCite \textit{J. Tvedt}, SN Oper. Res. Forum 3, No. 4, Paper No. 54, 21 p. (2022; Zbl 1501.91179) Full Text: DOI
Boguslavskaya, Elena; Boguslavsky, Michael; Muravey, Dmitry Trading multiple mean reversion. (English) Zbl 1484.91416 Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250006, 34 p. (2022). MSC: 91G10 60J60 PDFBibTeX XMLCite \textit{E. Boguslavskaya} et al., Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250006, 34 p. (2022; Zbl 1484.91416) Full Text: DOI arXiv
Guasoni, Paolo; Nagy, Lóránt; Rásonyi, Miklós Young, timid, and risk takers. (English) Zbl 1522.91221 Math. Finance 31, No. 4, 1332-1356 (2021). MSC: 91G10 60J60 PDFBibTeX XMLCite \textit{P. Guasoni} et al., Math. Finance 31, No. 4, 1332--1356 (2021; Zbl 1522.91221) Full Text: DOI OA License
Mari, Carlo; Mari, Emiliano Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis. (English) Zbl 1480.91154 Decis. Econ. Finance 44, No. 2, 1039-1062 (2021). MSC: 91B74 60J74 68T07 PDFBibTeX XMLCite \textit{C. Mari} and \textit{E. Mari}, Decis. Econ. Finance 44, No. 2, 1039--1062 (2021; Zbl 1480.91154) Full Text: DOI
Griveau-Billion, T.; Calderhead, B. Efficient computation of mean reverting portfolios using cyclical coordinate descent. (English) Zbl 1479.91357 Quant. Finance 21, No. 4, 673-684 (2021). MSC: 91G10 PDFBibTeX XMLCite \textit{T. Griveau-Billion} and \textit{B. Calderhead}, Quant. Finance 21, No. 4, 673--684 (2021; Zbl 1479.91357) Full Text: DOI arXiv
Ma, Yong-Ki Correlated log-normal random variables under a multiscale volatility model. (English) Zbl 1478.62172 Adv. Math. Phys. 2021, Article ID 5916312, 7 p. (2021). MSC: 62H30 62P20 PDFBibTeX XMLCite \textit{Y.-K. Ma}, Adv. Math. Phys. 2021, Article ID 5916312, 7 p. (2021; Zbl 1478.62172) Full Text: DOI
Donaldson, John B.; Mehra, Rajnish Average crossing time: an alternative characterization of mean aversion and reversion. (English) Zbl 1475.91373 Quant. Econ. 12, No. 3, 903-944 (2021). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{J. B. Donaldson} and \textit{R. Mehra}, Quant. Econ. 12, No. 3, 903--944 (2021; Zbl 1475.91373) Full Text: DOI
Alexander, Carol; Chen, Xi Model risk in real option valuation. (English) Zbl 1476.91214 Ann. Oper. Res. 299, No. 1-2, 1025-1056 (2021). MSC: 91G50 91B06 PDFBibTeX XMLCite \textit{C. Alexander} and \textit{X. Chen}, Ann. Oper. Res. 299, No. 1--2, 1025--1056 (2021; Zbl 1476.91214) Full Text: DOI arXiv
Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 1460.91213 Insur. Math. Econ. 96, 232-247 (2021). MSC: 91G05 91G20 60J70 PDFBibTeX XMLCite \textit{R. Brignone} et al., Insur. Math. Econ. 96, 232--247 (2021; Zbl 1460.91213) Full Text: DOI
Bao, Si; Chen, Shi; Zheng, Wei An; Zhou, Yu Forecasting semi-stationary processes and statistical arbitrage. (English) Zbl 07660240 Stat. Theory Relat. Fields 4, No. 2, 179-189 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Bao} et al., Stat. Theory Relat. Fields 4, No. 2, 179--189 (2020; Zbl 07660240) Full Text: DOI
Saliba, Pamela The information content of high-frequency traders aggressive orders: recent evidence. (English) Zbl 1471.91551 Quant. Finance 20, No. 11, 1779-1794 (2020). MSC: 91G15 PDFBibTeX XMLCite \textit{P. Saliba}, Quant. Finance 20, No. 11, 1779--1794 (2020; Zbl 1471.91551) Full Text: DOI
Gourieroux, C.; Jasiak, J.; Monfort, A. Stationary bubble equilibria in rational expectation models. (English) Zbl 1464.91058 J. Econom. 218, No. 2, 714-735 (2020). MSC: 91B62 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{C. Gourieroux} et al., J. Econom. 218, No. 2, 714--735 (2020; Zbl 1464.91058) Full Text: DOI Link
Zeddouk, Fadoua; Devolder, Pierre Mean reversion in stochastic mortality: why and how? (English) Zbl 1455.91231 Eur. Actuar. J. 10, No. 2, 499-525 (2020). MSC: 91G05 60J70 PDFBibTeX XMLCite \textit{F. Zeddouk} and \textit{P. Devolder}, Eur. Actuar. J. 10, No. 2, 499--525 (2020; Zbl 1455.91231) Full Text: DOI Link
Guyon, Julien Inversion of convex ordering in the VIX market. (English) Zbl 1454.91288 Quant. Finance 20, No. 10, 1597-1623 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{J. Guyon}, Quant. Finance 20, No. 10, 1597--1623 (2020; Zbl 1454.91288) Full Text: DOI
Hambly, Ben; Kolliopoulos, Nikolaos Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. (English) Zbl 1447.91161 Finance Stoch. 24, No. 3, 757-794 (2020). MSC: 91G10 60H15 PDFBibTeX XMLCite \textit{B. Hambly} and \textit{N. Kolliopoulos}, Finance Stoch. 24, No. 3, 757--794 (2020; Zbl 1447.91161) Full Text: DOI arXiv
Peng, Zijin; Xu, Weijun; Li, Hongyi A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion. (English) Zbl 1447.91163 Discrete Dyn. Nat. Soc. 2020, Article ID 5956146, 13 p. (2020). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 91G10 90C25 PDFBibTeX XMLCite \textit{Z. Peng} et al., Discrete Dyn. Nat. Soc. 2020, Article ID 5956146, 13 p. (2020; Zbl 1447.91163) Full Text: DOI
Mac Cawley, Alejandro; Cubillos, Maximiliano; Pascual, Rodrigo A real options approach for joint overhaul and replacement strategies with mean reverting prices. (English) Zbl 1437.90067 Ann. Oper. Res. 286, No. 1-2, 303-324 (2020). MSC: 90B25 60K10 PDFBibTeX XMLCite \textit{A. Mac Cawley} et al., Ann. Oper. Res. 286, No. 1--2, 303--324 (2020; Zbl 1437.90067) Full Text: DOI
Cayé, Thomas; Herdegen, Martin; Muhle-Karbe, Johannes Scaling limits of processes with fast nonlinear mean reversion. (English) Zbl 1434.60112 Stochastic Processes Appl. 130, No. 4, 1994-2031 (2020). MSC: 60F25 60H10 PDFBibTeX XMLCite \textit{T. Cayé} et al., Stochastic Processes Appl. 130, No. 4, 1994--2031 (2020; Zbl 1434.60112) Full Text: DOI arXiv Link
Martin, R. J.; Craster, R. V.; Pannier, A.; Kearney, M. J. Analytical approximation to the multidimensional Fokker-Planck equation with steady state. (English) Zbl 1505.60077 J. Phys. A, Math. Theor. 52, No. 8, Article ID 085002, 30 p. (2019). MSC: 60J70 35Q84 PDFBibTeX XMLCite \textit{R. J. Martin} et al., J. Phys. A, Math. Theor. 52, No. 8, Article ID 085002, 30 p. (2019; Zbl 1505.60077) Full Text: DOI arXiv
Salemi, Peter; Staum, Jeremy; Nelson, Barry L. Generalized integrated Brownian fields for simulation metamodeling. (English) Zbl 1444.90003 Oper. Res. 67, No. 3, 874-891 (2019). MSC: 90-10 90C59 PDFBibTeX XMLCite \textit{P. Salemi} et al., Oper. Res. 67, No. 3, 874--891 (2019; Zbl 1444.90003) Full Text: DOI
Guijarro-Ordonez, Jorge High-dimensional statistical arbitrage with factor models and stochastic control. (English) Zbl 1430.91095 Appl. Math. Finance 26, No. 4, 328-358 (2019). MSC: 91G15 91G10 60J60 93E20 PDFBibTeX XMLCite \textit{J. Guijarro-Ordonez}, Appl. Math. Finance 26, No. 4, 328--358 (2019; Zbl 1430.91095) Full Text: DOI arXiv
Yang, Xing; Li, Bin; Zeng, Yue; Mi, Junlong Test of mean reversion of carbon price based on ANSTšCGARCH algorithm. (Chinese. English summary) Zbl 1438.62163 Control Theory Appl. 36, No. 4, 622-628 (2019). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{X. Yang} et al., Control Theory Appl. 36, No. 4, 622--628 (2019; Zbl 1438.62163) Full Text: DOI
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. (English) Zbl 1422.91736 Math. Financ. Econ. 13, No. 4, 543-577 (2019). MSC: 91G30 60G44 60G51 PDFBibTeX XMLCite \textit{F. E. Benth} et al., Math. Financ. Econ. 13, No. 4, 543--577 (2019; Zbl 1422.91736) Full Text: DOI arXiv
Lejay, Antoine; Pigato, Paolo A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (English) Zbl 1411.91645 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{P. Pigato}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019; Zbl 1411.91645) Full Text: DOI arXiv
Li, Jingjie; Wu, Jiang-Lun; Zhang, Guang Estimation of intrinsic growth factors in a class of stochastic population model. (English) Zbl 1415.60064 Stochastic Anal. Appl. 37, No. 4, 602-619 (2019). MSC: 60H10 62F12 62M05 PDFBibTeX XMLCite \textit{J. Li} et al., Stochastic Anal. Appl. 37, No. 4, 602--619 (2019; Zbl 1415.60064) Full Text: DOI Link
Garnier, Josselin; Sølna, Knut Option pricing under fast-varying long-memory stochastic volatility. (English) Zbl 1411.91556 Math. Finance 29, No. 1, 39-83 (2019). MSC: 91G20 60G22 60J60 60G44 PDFBibTeX XMLCite \textit{J. Garnier} and \textit{K. Sølna}, Math. Finance 29, No. 1, 39--83 (2019; Zbl 1411.91556) Full Text: DOI arXiv
Ilalan, Deniz; Özel, Özgür Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields. (English) Zbl 07048614 Int. J. Nonlinear Sci. Numer. Simul. 20, No. 2, 145-152 (2019). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. Ilalan} and \textit{Ö. Özel}, Int. J. Nonlinear Sci. Numer. Simul. 20, No. 2, 145--152 (2019; Zbl 07048614) Full Text: DOI
Qian, Edward E. Portfolio rebalancing. (English) Zbl 1419.91003 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4987-3244-4/hbk; 978-1-4987-3245-1/ebook). xiv, 248 p. (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91G10 PDFBibTeX XMLCite \textit{E. E. Qian}, Portfolio rebalancing. Boca Raton, FL: CRC Press (2019; Zbl 1419.91003) Full Text: Link
Luu, Phong; Tie, Jingzhi; Zhang, Qing Pairs trading. (English) Zbl 1485.91227 Appl. Anal. Optim. 2, No. 1, 117-135 (2018). MSC: 91G20 91G80 49L20 PDFBibTeX XMLCite \textit{P. Luu} et al., Appl. Anal. Optim. 2, No. 1, 117--135 (2018; Zbl 1485.91227) Full Text: Link
Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo Lévy process based Ornstein-Uhlenbeck temperature model with time varying speed of mean reversion. (English) Zbl 1422.62337 Adv. Appl. Stat. 53, No. 3, 199-224 (2018). MSC: 62P12 62P35 62M10 60G51 PDFBibTeX XMLCite \textit{N. C. Dzupire} et al., Adv. Appl. Stat. 53, No. 3, 199--224 (2018; Zbl 1422.62337) Full Text: DOI
Kim, See-Woo; Kim, Jeong-Hoon Analytic solutions for variance swaps with double-mean-reverting volatility. (English) Zbl 1422.91710 Chaos Solitons Fractals 114, 130-144 (2018). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{S.-W. Kim} and \textit{J.-H. Kim}, Chaos Solitons Fractals 114, 130--144 (2018; Zbl 1422.91710) Full Text: DOI
Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis Regime-switching temperature dynamics model for weather derivatives. (English) Zbl 1410.91452 Int. J. Stoch. Anal. 2018, Article ID 8534131, 15 p. (2018). MSC: 91G20 86A10 62P35 62P05 PDFBibTeX XMLCite \textit{S. A. Gyamerah} et al., Int. J. Stoch. Anal. 2018, Article ID 8534131, 15 p. (2018; Zbl 1410.91452) Full Text: DOI arXiv
Yin, Lei; Yu, Chong Multi-stock pairs trading method based on cointegration. (Chinese. English summary) Zbl 1424.91116 J. Hubei Univ., Nat. Sci. 40, No. 4, 323-326, 338 (2018). MSC: 91G10 PDFBibTeX XMLCite \textit{L. Yin} and \textit{C. Yu}, J. Hubei Univ., Nat. Sci. 40, No. 4, 323--326, 338 (2018; Zbl 1424.91116) Full Text: DOI
Zhang, Siyan; Mazzucato, Anna L.; Nistor, Victor Semi-groups and the mean reverting SABR stochastic volatility model. (English) Zbl 1406.35167 North-West. Eur. J. Math. 4, 119-155 (2018). MSC: 35K65 47D03 22E60 91G80 PDFBibTeX XMLCite \textit{S. Zhang} et al., North-West. Eur. J. Math. 4, 119--155 (2018; Zbl 1406.35167) Full Text: Link
Stübinger, Johannes; Endres, Sylvia Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. (English) Zbl 1406.91425 Quant. Finance 18, No. 10, 1735-1751 (2018). MSC: 91G10 60J75 PDFBibTeX XMLCite \textit{J. Stübinger} and \textit{S. Endres}, Quant. Finance 18, No. 10, 1735--1751 (2018; Zbl 1406.91425) Full Text: DOI
Garnier, Josselin; Sølna, Knut Option pricing under fast-varying and rough stochastic volatility. (English) Zbl 1418.91514 Ann. Finance 14, No. 4, 489-516 (2018). MSC: 91G20 60G22 PDFBibTeX XMLCite \textit{J. Garnier} and \textit{K. Sølna}, Ann. Finance 14, No. 4, 489--516 (2018; Zbl 1418.91514) Full Text: DOI arXiv
Zhang, Huazhu; Yan, Cheng Modelling fundamental analysis in portfolio selection. (English) Zbl 1400.91573 Quant. Finance 18, No. 8, 1315-1326 (2018). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Zhang} and \textit{C. Yan}, Quant. Finance 18, No. 8, 1315--1326 (2018; Zbl 1400.91573) Full Text: DOI Link
Chua, Kevin C. A model of inflation transmission in an exchange rate target zone. (English) Zbl 1396.91512 Bull. Econ. Res. 70, No. 3, 285-297 (2018). MSC: 91B64 PDFBibTeX XMLCite \textit{K. C. Chua}, Bull. Econ. Res. 70, No. 3, 285--297 (2018; Zbl 1396.91512) Full Text: DOI
Nazliben, K. Korhan; Rodríguez, Juan Carlos Permanent shocks, signal extraction, and portfolio selection. (English) Zbl 1401.91522 J. Econ. Dyn. Control 92, 47-68 (2018). MSC: 91G10 62P05 91G70 PDFBibTeX XMLCite \textit{K. K. Nazliben} and \textit{J. C. Rodríguez}, J. Econ. Dyn. Control 92, 47--68 (2018; Zbl 1401.91522) Full Text: DOI
Long, Xiaolong; Solna, Knut; Xin, Jack Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios. (English) Zbl 1458.62248 J. Sci. Comput. 75, No. 2, 1156-1186 (2018). MSC: 62P05 90C20 90C26 PDFBibTeX XMLCite \textit{X. Long} et al., J. Sci. Comput. 75, No. 2, 1156--1186 (2018; Zbl 1458.62248) Full Text: DOI
Kitapbayev, Yerkin; Leung, Tim Mean reversion trading with sequential deadlines and transaction costs. (English) Zbl 1395.91411 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850004, 22 p. (2018). MSC: 91G10 60G40 62P05 PDFBibTeX XMLCite \textit{Y. Kitapbayev} and \textit{T. Leung}, Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850004, 22 p. (2018; Zbl 1395.91411) Full Text: DOI arXiv
Bao, Yong; Ullah, Aman; Wang, Yun Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process. (English) Zbl 1524.62406 Econom. Rev. 36, No. 6-9, 1039-1056 (2017). MSC: 62M10 62E15 62P20 PDFBibTeX XMLCite \textit{Y. Bao} et al., Econom. Rev. 36, No. 6--9, 1039--1056 (2017; Zbl 1524.62406) Full Text: DOI
Zakamulin, Valeriy Secular mean reversion and long-run predictability of the stock market. (English) Zbl 1470.91264 Bull. Econ. Res. 69, No. 4, E66-E93 (2017). MSC: 91G15 60G50 PDFBibTeX XMLCite \textit{V. Zakamulin}, Bull. Econ. Res. 69, No. 4, E66--E93 (2017; Zbl 1470.91264) Full Text: DOI
Yeo, Joongyeub; Papanicolaou, George Risk control of mean-reversion time in statistical arbitrage. (English) Zbl 1409.91223 Risk Decis. Anal. 6, No. 4, 263-290 (2017). MSC: 91G10 62P05 91B30 PDFBibTeX XMLCite \textit{J. Yeo} and \textit{G. Papanicolaou}, Risk Decis. Anal. 6, No. 4, 263--290 (2017; Zbl 1409.91223) Full Text: DOI
Temnov, Grigory A strategy based on mean reverting property of markets and applications to foreign exchange trading with trailing stops. (English) Zbl 1420.91478 Appl. Stoch. Models Bus. Ind. 33, No. 2, 152-166 (2017). MSC: 91G20 60J60 PDFBibTeX XMLCite \textit{G. Temnov}, Appl. Stoch. Models Bus. Ind. 33, No. 2, 152--166 (2017; Zbl 1420.91478) Full Text: DOI
Safarov, N.; Atkinson, C. Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes. (English) Zbl 1394.35528 Int. J. Comput. Math. 94, No. 11, 2147-2165 (2017). MSC: 35Q93 35R09 49M25 60G51 65C20 35F21 91B26 PDFBibTeX XMLCite \textit{N. Safarov} and \textit{C. Atkinson}, Int. J. Comput. Math. 94, No. 11, 2147--2165 (2017; Zbl 1394.35528) Full Text: DOI Link
Ekkarntrong, N.; Sirisaengtaksin, P.; Sattayatham, P.; Premanode, B. A novel pairs trading model with mean reversion and coefficient of variance. (English) Zbl 1410.91490 Thai J. Math. 15, No. 1, 277-296 (2017). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{N. Ekkarntrong} et al., Thai J. Math. 15, No. 1, 277--296 (2017; Zbl 1410.91490) Full Text: Link
Canhanga, Betuel; Malyarenko, Anatoliy; Murara, Jean-Paul; Ni, Ying; Silvestrov, Sergei Numerical studies on asymptotics of European option under multiscale stochastic volatility. (English) Zbl 1408.91207 Methodol. Comput. Appl. Probab. 19, No. 4, 1075-1087 (2017). MSC: 91G20 91G60 41A60 PDFBibTeX XMLCite \textit{B. Canhanga} et al., Methodol. Comput. Appl. Probab. 19, No. 4, 1075--1087 (2017; Zbl 1408.91207) Full Text: DOI
Yam, S. C. P.; Zhou, W. Optimal liquidation of child limit orders. (English) Zbl 1364.91146 Math. Oper. Res. 42, No. 2, 517-545 (2017). MSC: 91G10 60G40 90C90 PDFBibTeX XMLCite \textit{S. C. P. Yam} and \textit{W. Zhou}, Math. Oper. Res. 42, No. 2, 517--545 (2017; Zbl 1364.91146) Full Text: DOI
Chang, Yoosoon; Choi, Yongok; Park, Joon Y. A new approach to model regime switching. (English) Zbl 1443.62438 J. Econom. 196, No. 1, 127-143 (2017). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{Y. Chang} et al., J. Econom. 196, No. 1, 127--143 (2017; Zbl 1443.62438) Full Text: DOI
Li, Lingfei; Mendoza-Arriaga, Rafael; Mo, Zhiyu; Mitchell, Daniel Modelling electricity prices: a time change approach. (English) Zbl 1468.91170 Quant. Finance 16, No. 7, 1089-1109 (2016). MSC: 91G20 60J74 44A10 PDFBibTeX XMLCite \textit{L. Li} et al., Quant. Finance 16, No. 7, 1089--1109 (2016; Zbl 1468.91170) Full Text: DOI
Chen, Cathy W. S.; Lee, Sangyeol A local unit root test in mean for financial time series. (English) Zbl 1510.62354 J. Stat. Comput. Simulation 86, No. 4, 788-806 (2016). MSC: 62M10 62M07 62F15 62P05 PDFBibTeX XMLCite \textit{C. W. S. Chen} and \textit{S. Lee}, J. Stat. Comput. Simulation 86, No. 4, 788--806 (2016; Zbl 1510.62354) Full Text: DOI
Zhou, Shifei; Wang, Hao; Yen, Jerome; Lai, Kin Keung Bi-cubic B-spline fitting-based local volatility model with mean reversion process. (English) Zbl 1411.91631 J. Syst. Sci. Complex. 29, No. 1, 119-132 (2016). MSC: 91G60 65D07 PDFBibTeX XMLCite \textit{S. Zhou} et al., J. Syst. Sci. Complex. 29, No. 1, 119--132 (2016; Zbl 1411.91631) Full Text: DOI
Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng Speculative futures trading under mean reversion. (English) Zbl 1418.91521 Asia-Pac. Financ. Mark. 23, No. 4, 281-304 (2016). MSC: 91G20 60G40 60J60 PDFBibTeX XMLCite \textit{T. Leung} et al., Asia-Pac. Financ. Mark. 23, No. 4, 281--304 (2016; Zbl 1418.91521) Full Text: DOI arXiv
Tvedt, Jostein Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting. (English) Zbl 1396.91768 Appl. Math. Finance 23, No. 3-4, 261-277 (2016). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. Tvedt}, Appl. Math. Finance 23, No. 3--4, 261--277 (2016; Zbl 1396.91768) Full Text: DOI
Glover, Kristoffer J.; Hambusch, Gerhard Leveraged investments and agency conflicts when cash flows are mean reverting. (English) Zbl 1401.91550 J. Econ. Dyn. Control 67, 1-21 (2016). MSC: 91G50 91G80 PDFBibTeX XMLCite \textit{K. J. Glover} and \textit{G. Hambusch}, J. Econ. Dyn. Control 67, 1--21 (2016; Zbl 1401.91550) Full Text: DOI Link
Benth, Fred Espen; Khedher, Asma Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion. (English) Zbl 1354.60035 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 153-189 (2016). MSC: 60G10 60J60 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{A. Khedher}, in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 153--189 (2016; Zbl 1354.60035) Full Text: DOI
Schmeck, Maren Diane Pricing options on forwards in energy markets: the role of mean reversion’s speed. (English) Zbl 1396.91763 Int. J. Theor. Appl. Finance 19, No. 8, Article ID 1650053, 26 p. (2016). MSC: 91G20 60G51 60J75 PDFBibTeX XMLCite \textit{M. D. Schmeck}, Int. J. Theor. Appl. Finance 19, No. 8, Article ID 1650053, 26 p. (2016; Zbl 1396.91763) Full Text: DOI arXiv
Tie, Jingzhi; Zhang, Qing An optimal mean-reversion trading rule under a Markov chain model. (English) Zbl 1345.93168 Math. Control Relat. Fields 6, No. 3, 467-488 (2016). MSC: 93E20 91G80 49J40 60J10 PDFBibTeX XMLCite \textit{J. Tie} and \textit{Q. Zhang}, Math. Control Relat. Fields 6, No. 3, 467--488 (2016; Zbl 1345.93168) Full Text: DOI
Chen, Cathy W. S.; Lee, Sangyeol; Chen, Shu-Yu Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. (English) Zbl 1342.65025 Comput. Stat. 31, No. 1, 1-24 (2016). MSC: 62-08 62M10 62F15 PDFBibTeX XMLCite \textit{C. W. S. Chen} et al., Comput. Stat. 31, No. 1, 1--24 (2016; Zbl 1342.65025) Full Text: DOI
Riemer, Stiene; Wagner, Christian An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account. (English) Zbl 1390.91316 Comput. Vis. Sci. 17, No. 4, 203-216 (2015). MSC: 91G40 91G60 65M08 60J70 PDFBibTeX XMLCite \textit{S. Riemer} and \textit{C. Wagner}, Comput. Vis. Sci. 17, No. 4, 203--216 (2015; Zbl 1390.91316) Full Text: DOI
Huang, Mao-Lung; Liao, Shu-Yi; Lin, Kuo-Chin Augmented half-life estimation based on high-frequency data. (English) Zbl 1365.62355 J. Forecast. 34, No. 7, 523-532 (2015). MSC: 62M20 68W25 62P35 PDFBibTeX XMLCite \textit{M.-L. Huang} et al., J. Forecast. 34, No. 7, 523--532 (2015; Zbl 1365.62355) Full Text: DOI
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun Bias in the estimation of mean reversion in continuous-time Lévy processes. (English) Zbl 1364.62051 Econ. Lett. 134, 16-19 (2015). MSC: 62F10 60G51 62P20 PDFBibTeX XMLCite \textit{Y. Bao} et al., Econ. Lett. 134, 16--19 (2015; Zbl 1364.62051) Full Text: DOI Link
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying Variance swap with mean reversion, multifactor stochastic volatility and jumps. (English) Zbl 1346.91239 Eur. J. Oper. Res. 245, No. 2, 571-580 (2015). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{C. S. Pun} et al., Eur. J. Oper. Res. 245, No. 2, 571--580 (2015; Zbl 1346.91239) Full Text: DOI Link
Zhong, Yinhui; Bao, Qunfang; Li, Shenghong FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility. (English) Zbl 1328.91282 Appl. Math. Comput. 251, 1-13 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{Y. Zhong} et al., Appl. Math. Comput. 251, 1--13 (2015; Zbl 1328.91282) Full Text: DOI
Leung, Tim; Li, Xin Optimal mean reversion trading with transaction costs and stop-loss exit. (English) Zbl 1337.91156 Int. J. Theor. Appl. Finance 18, No. 3, Article ID 1550020, 31 p. (2015). MSC: 91G80 60G40 60J60 91G10 91G20 PDFBibTeX XMLCite \textit{T. Leung} and \textit{X. Li}, Int. J. Theor. Appl. Finance 18, No. 3, Article ID 1550020, 31 p. (2015; Zbl 1337.91156) Full Text: DOI arXiv
Loc, Tran Phuoc; Thao, Tran Hung A note on fractional Schwartz models for mean reversion. (English) Zbl 1409.91290 East-West J. Math. 16, No. 2, 192-200 (2014). MSC: 91G80 60J75 60H10 PDFBibTeX XMLCite \textit{T. P. Loc} and \textit{T. H. Thao}, East-West J. Math. 16, No. 2, 192--200 (2014; Zbl 1409.91290)
Fan, Kun Pricing options under two-factor Markov-modulated stochastic volatility models. (English) Zbl 1324.91056 Chin. J. Appl. Probab. Stat. 30, No. 6, 620-630 (2014). MSC: 91G20 60J20 91G60 PDFBibTeX XMLCite \textit{K. Fan}, Chin. J. Appl. Probab. Stat. 30, No. 6, 620--630 (2014; Zbl 1324.91056) Full Text: DOI
Papanicolaou, Andrew; Spiliopoulos, Konstantinos Filtering the maximum likelihood for multiscale problems. (English) Zbl 1311.93079 Multiscale Model. Simul. 12, No. 3, 1193-1229 (2014). MSC: 93E10 93E11 93C70 76R50 93B60 PDFBibTeX XMLCite \textit{A. Papanicolaou} and \textit{K. Spiliopoulos}, Multiscale Model. Simul. 12, No. 3, 1193--1229 (2014; Zbl 1311.93079) Full Text: DOI arXiv
Marie, Nicolas A generalized mean-reverting equation and applications. (English) Zbl 1308.60074 ESAIM, Probab. Stat. 18, 799-828 (2014). MSC: 60H10 60F10 60G15 PDFBibTeX XMLCite \textit{N. Marie}, ESAIM, Probab. Stat. 18, 799--828 (2014; Zbl 1308.60074) Full Text: DOI arXiv
Recchioni, M. C.; Screpante, F. A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies. (English) Zbl 1304.91243 Insur. Math. Econ. 57, 114-124 (2014). MSC: 91G60 65C05 65C50 91G20 PDFBibTeX XMLCite \textit{M. C. Recchioni} and \textit{F. Screpante}, Insur. Math. Econ. 57, 114--124 (2014; Zbl 1304.91243) Full Text: DOI
Six, Pierre On the shape of risk aversion and asset allocation. (English) Zbl 1304.91208 Int. J. Theor. Appl. Finance 17, No. 8, Article ID 1450054, 27 p. (2014). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{P. Six}, Int. J. Theor. Appl. Finance 17, No. 8, Article ID 1450054, 27 p. (2014; Zbl 1304.91208) Full Text: DOI
Xiu, Dacheng Hermite polynomial based expansion of European option prices. (English) Zbl 1298.91171 J. Econom. 179, No. 2, 158-177 (2014). MSC: 91G20 41A10 60H30 60J70 PDFBibTeX XMLCite \textit{D. Xiu}, J. Econom. 179, No. 2, 158--177 (2014; Zbl 1298.91171) Full Text: DOI
Cordoni, Francesco; Di Persio, Luca Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model. (English) Zbl 1300.91055 Int. J. Appl. Math. 27, No. 3, 211-233 (2014). MSC: 91G80 60E10 60F99 91B70 35Q91 91G20 PDFBibTeX XMLCite \textit{F. Cordoni} and \textit{L. Di Persio}, Int. J. Appl. Math. 27, No. 3, 211--233 (2014; Zbl 1300.91055) Full Text: DOI Link
Chan, Jennifer S. K.; Choy, S. T. Boris; Lam, Connie P. Y. Modeling electricity price using a threshold conditional autoregressive geometric process jump model. (English) Zbl 1462.62173 Commun. Stat., Theory Methods 43, No. 10-12, 2505-2515 (2014). MSC: 62P20 62F15 62M10 62M20 60G25 60G35 PDFBibTeX XMLCite \textit{J. S. K. Chan} et al., Commun. Stat., Theory Methods 43, No. 10--12, 2505--2515 (2014; Zbl 1462.62173) Full Text: DOI
Al-Sadoon, Majid M. Geometric and long run aspects of Granger causality. (English) Zbl 1293.62174 J. Econom. 178, Part 3, 558-568 (2014). MSC: 62M10 PDFBibTeX XMLCite \textit{M. M. Al-Sadoon}, J. Econom. 178, Part 3, 558--568 (2014; Zbl 1293.62174) Full Text: DOI Link
Li, Lingfei; Linetsky, Vadim Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models. (English) Zbl 1295.91091 Math. Finance 24, No. 2, 289-330 (2014). Reviewer: Weiping Li (Stillwater) MSC: 91G20 60J60 PDFBibTeX XMLCite \textit{L. Li} and \textit{V. Linetsky}, Math. Finance 24, No. 2, 289--330 (2014; Zbl 1295.91091) Full Text: DOI arXiv
Martin, Vance L.; Sarkar, Saikat; Kanto, Antti Jaakko Modelling nonlinearities in equity returns: the mean impact curve analysis. (English) Zbl 1283.91072 Stud. Nonlinear Dyn. Econom. 18, No. 1, 51-72 (2014). MSC: 91B25 91B84 PDFBibTeX XMLCite \textit{V. L. Martin} et al., Stud. Nonlinear Dyn. Econom. 18, No. 1, 51--72 (2014; Zbl 1283.91072) Full Text: DOI
Binh, Vuong Thi Thao Determining the long-run equilibrium price by the mean reversion process and the cobweb model. (English) Zbl 1411.91237 Proceedings of the 2nd annual international conference on computational mathematics, computational geometry and statistics, CMCGS 2013, Singapore, February 4–5, 2013. Singapore: Global Science and Technology Forum (GSTF). 81-85 (2013). MSC: 91B24 60H10 PDFBibTeX XMLCite \textit{V. T. T. Binh}, in: Proceedings of the 2nd annual international conference on computational mathematics, computational geometry and statistics, CMCGS 2013, Singapore, February 4--5, 2013. Singapore: Global Science and Technology Forum (GSTF). 81--85 (2013; Zbl 1411.91237)
Jiang, Yong; Wu, Wuqing; Ye, Wuyi; Chen, Min; Miao, Baiqi Nonlinear features and mean reversion mechanism research based on the basis of stock index futures. (Chinese. English summary) Zbl 1313.91197 J. Univ. Sci. Technol. China 43, No. 12, 989-996 (2013). MSC: 91G70 91G20 PDFBibTeX XMLCite \textit{Y. Jiang} et al., J. Univ. Sci. Technol. China 43, No. 12, 989--996 (2013; Zbl 1313.91197) Full Text: DOI
Böhm, Volker; Chiarella, Carl; He, Xue-Zhong; Hüls, Thorsten A homoclinic route to volatility: dynamics of asset prices under autoregressive forecasting. (English) Zbl 1296.91120 Bischi, Gian Italo (ed.) et al., Global analysis of dynamic models in economics and finance. Essays in honour of Laura Gardini. Berlin: Springer (ISBN 978-3-642-29502-7/hbk; 978-3-642-29503-4/ebook). 289-316 (2013). MSC: 91B25 91B55 37N40 PDFBibTeX XMLCite \textit{V. Böhm} et al., in: Global analysis of dynamic models in economics and finance. Essays in honour of Laura Gardini. Berlin: Springer. 289--316 (2013; Zbl 1296.91120) Full Text: DOI
Tsekrekos, Andrianos E. Irreversible exit decisions under mean-reverting uncertainty. (English) Zbl 1294.91185 J. Econ. 110, No. 1, 5-23 (2013). MSC: 91G50 90B50 91B24 60J70 PDFBibTeX XMLCite \textit{A. E. Tsekrekos}, J. Econ. 110, No. 1, 5--23 (2013; Zbl 1294.91185) Full Text: DOI
Bao, Yong; Ullah, Aman; Zinde-Walsh, Victoria On existence of moment of mean reversion estimator in linear diffusion models. (English) Zbl 1284.91421 Econ. Lett. 120, No. 2, 146-148 (2013). MSC: 91B70 62M05 91B82 PDFBibTeX XMLCite \textit{Y. Bao} et al., Econ. Lett. 120, No. 2, 146--148 (2013; Zbl 1284.91421) Full Text: DOI
Papanicolaou, Andrew Dimension reduction in discrete time portfolio optimization with partial information. (English) Zbl 1278.93292 SIAM J. Financ. Math. 4, 916-960 (2013). MSC: 93E20 93B11 93C70 91G10 93E11 49L20 PDFBibTeX XMLCite \textit{A. Papanicolaou}, SIAM J. Financ. Math. 4, 916--960 (2013; Zbl 1278.93292) Full Text: DOI
Carter, Andrew V.; Steigerwald, Douglas G. Markov regime-switching tests: asymptotic critical values. (English) Zbl 1279.62168 J. Econom. Methods 2, No. 1, 25-34 (2013). MSC: 62M02 62H30 PDFBibTeX XMLCite \textit{A. V. Carter} and \textit{D. G. Steigerwald}, J. Econom. Methods 2, No. 1, 25--34 (2013; Zbl 1279.62168) Full Text: DOI Link
Back, Janis; Prokopczuk, Marcel Commodity price dynamics and derivative valuation: a review. (English) Zbl 1279.91070 Int. J. Theor. Appl. Finance 16, No. 6, Article ID 1350032, 30 p. (2013). Reviewer: George Stoica (Saint John) MSC: 91B24 91G20 91-02 PDFBibTeX XMLCite \textit{J. Back} and \textit{M. Prokopczuk}, Int. J. Theor. Appl. Finance 16, No. 6, Article ID 1350032, 30 p. (2013; Zbl 1279.91070) Full Text: DOI
Triantafyllopoulos, K.; Han, S. Detecting mean-reverted patterns in algorithmic pairs trading. (English) Zbl 1264.62101 Latorre Carmona, Pedro (ed.) et al., Mathematical methodologies in pattern recognition and machine learning. Contributions from the international conference on pattern recognition applications and methods (ICPRAM), 2012, Vilamoura, Portugal, February 6–8, 2012. New York, NY: Springer (ISBN 978-1-4614-5075-7/hbk; 978-1-4614-5076-4/ebook). Springer Proceedings in Mathematics & Statistics 30, 127-147 (2013). MSC: 62P20 91B60 62F15 PDFBibTeX XMLCite \textit{K. Triantafyllopoulos} and \textit{S. Han}, Springer Proc. Math. Stat. 30, 127--147 (2013; Zbl 1264.62101) Full Text: DOI
Leung, Kwai Sun; Wong, Hoi Ying; Ng, Hon Yip Currency option pricing with Wishart process. (English) Zbl 1251.91063 J. Comput. Appl. Math. 238, 156-170 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{K. S. Leung} et al., J. Comput. Appl. Math. 238, 156--170 (2013; Zbl 1251.91063) Full Text: DOI
Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore PPP in OECD countries: an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks. (English) Zbl 1418.91358 Open Econ. Rev. 23, No. 5, 767-783 (2012). MSC: 91B64 PDFBibTeX XMLCite \textit{M. J. Holmes} et al., Open Econ. Rev. 23, No. 5, 767--783 (2012; Zbl 1418.91358) Full Text: DOI Link
Xu, Jiajie; Wu, Jianhong Theory study and empirical analysis on nonlinearity tests for an LSTAR model with two thresholds. (Chinese. English summary) Zbl 1289.62129 Acta Math. Appl. Sin. 35, No. 6, 1058-1069 (2012). MSC: 62P05 62M10 91B84 91G70 PDFBibTeX XMLCite \textit{J. Xu} and \textit{J. Wu}, Acta Math. Appl. Sin. 35, No. 6, 1058--1069 (2012; Zbl 1289.62129)
Huang, Jian; Kobayashi, Masahito; McAleer, Michael Testing for the Box-Cox parameter for an integrated process. (English) Zbl 1297.91149 Math. Comput. Simul. 83, 1-9 (2012). MSC: 91G70 62P05 91G30 PDFBibTeX XMLCite \textit{J. Huang} et al., Math. Comput. Simul. 83, 1--9 (2012; Zbl 1297.91149) Full Text: DOI
Fogarasi, Norbert; Levendovszky, János Improved parameter estimation and simple trading algorithm for sparse, mean reverting portfolios. (English) Zbl 1248.62202 Ann. Univ. Sci. Budap. Rolando Eötvös, Sect. Comput. 37, 121-144 (2012). MSC: 62P05 91B84 65C60 PDFBibTeX XMLCite \textit{N. Fogarasi} and \textit{J. Levendovszky}, Ann. Univ. Sci. Budap. Rolando Eötvös, Sect. Comput. 37, 121--144 (2012; Zbl 1248.62202)
Li, Bin; Zhao, Peilin; Hoi, Steven C. H.; Gopalkrishnan, Vivekanand PAMR: passive aggressive mean reversion strategy for portfolio selection. (English) Zbl 1238.91128 Mach. Learn. 87, No. 2, 221-258 (2012). MSC: 91G10 PDFBibTeX XMLCite \textit{B. Li} et al., Mach. Learn. 87, No. 2, 221--258 (2012; Zbl 1238.91128) Full Text: DOI Link
Larsen, Linda Sandris; Munk, Claus The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts. (English) Zbl 1238.91127 J. Econ. Dyn. Control 36, No. 2, 266-293 (2012). MSC: 91G10 PDFBibTeX XMLCite \textit{L. S. Larsen} and \textit{C. Munk}, J. Econ. Dyn. Control 36, No. 2, 266--293 (2012; Zbl 1238.91127) Full Text: DOI