Wei, Linhai; Hu, Yijun Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity. (English) Zbl 07720178 Commun. Stat., Theory Methods 52, No. 18, 6684-6694 (2023). MSC: 91B28 91B30 91B32 PDFBibTeX XMLCite \textit{L. Wei} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 18, 6684--6694 (2023; Zbl 07720178) Full Text: DOI
Ngerng, Miang Hong; Ngerng, Sherilynn S. F. Portfolio selection algorithm under financial crisis: a case study with Bursa Malaysia. (English) Zbl 07545881 Commun. Stat., Simulation Comput. 51, No. 5, 2586-2598 (2022). MSC: 91B28 PDFBibTeX XMLCite \textit{M. H. Ngerng} and \textit{S. S. F. Ngerng}, Commun. Stat., Simulation Comput. 51, No. 5, 2586--2598 (2022; Zbl 07545881) Full Text: DOI
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng Estimating risks of option books using neural-SDE market models. arXiv:2202.07148 Preprint, arXiv:2202.07148 [q-fin.CP] (2022). MSC: 91B28 91B70 62M45 62P05 BibTeX Cite \textit{S. N. Cohen} et al., ``Estimating risks of option books using neural-SDE market models'', Preprint, arXiv:2202.07148 [q-fin.CP] (2022) Full Text: arXiv OA License
Privault, Nicolas; Teng, Timothy Robin Hedging in bond markets by the Clark-Ocone formula. arXiv:1304.6165 Preprint, arXiv:1304.6165 [q-fin.PR] (2013). MSC: 91B28 60H07 BibTeX Cite \textit{N. Privault} and \textit{T. R. Teng}, ``Hedging in bond markets by the Clark-Ocone formula'', Preprint, arXiv:1304.6165 [q-fin.PR] (2013) Full Text: arXiv OA License
Chung, Kun-Jen; Lin, Shy-Der; Yen, Ghi-Feng On the economic order quantity under conditions of permissible delay in payments from the viewpoint of the maximum accumulated interest. (English) Zbl 1173.91382 J. Stat. Manag. Syst. 12, No. 1, 93-102 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{K.-J. Chung} et al., J. Stat. Manag. Syst. 12, No. 1, 93--102 (2009; Zbl 1173.91382) Full Text: DOI
Morlanes, José Igor; Rasila, Antti; Sottinen, Tommi Empirical evidence on arbitrage by changing the stock exchange. (English) Zbl 1170.91394 Adv. Appl. Stat. 12, No. 2, 223-233 (2009). MSC: 91B28 91B82 60H30 PDFBibTeX XMLCite \textit{J. I. Morlanes} et al., Adv. Appl. Stat. 12, No. 2, 223--233 (2009; Zbl 1170.91394) Full Text: Link
Zhang, Jie; Zhang, Junsen Longevity, retirement, and capital accumulation in a recursive model with an application to mandatory retirement. (English) Zbl 1170.91403 Macroecon. Dyn. 13, No. 3, 327-348 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Zhang} and \textit{J. Zhang}, Macroecon. Dyn. 13, No. 3, 327--348 (2009; Zbl 1170.91403) Full Text: DOI
Atolia, Manoj; Buffie, Edward F. Smart forward shooting. (English) Zbl 1170.91367 Comput. Econ. 33, No. 1, 1-30 (2009). MSC: 91B28 91-04 PDFBibTeX XMLCite \textit{M. Atolia} and \textit{E. F. Buffie}, Comput. Econ. 33, No. 1, 1--30 (2009; Zbl 1170.91367) Full Text: DOI
Nishide, Katsumasa Insider trading with correlation between liquidity trading and a public signal. (English) Zbl 1169.91373 Quant. Finance 9, No. 3, 297-304 (2009). MSC: 91B28 91B24 PDFBibTeX XMLCite \textit{K. Nishide}, Quant. Finance 9, No. 3, 297--304 (2009; Zbl 1169.91373) Full Text: DOI
Rebonato, Riccardo; Chen, Jian Evidence for state transition and altered serial codependence in US$ interest rates. (English) Zbl 1169.91376 Quant. Finance 9, No. 3, 259-278 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{R. Rebonato} and \textit{J. Chen}, Quant. Finance 9, No. 3, 259--278 (2009; Zbl 1169.91376) Full Text: DOI
Ortobelli, Sergio; Rachev, Svetlozar T.; Shalit, Haim; Fabozzi, Frank J. Orderings and probability functionals consistent with preferences. (English) Zbl 1169.91375 Appl. Math. Finance 16, No. 1-2, 81-102 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{S. Ortobelli} et al., Appl. Math. Finance 16, No. 1--2, 81--102 (2009; Zbl 1169.91375) Full Text: DOI
Carlin, Bruce Ian; Rob, Rafael A welfare analysis of regulation in relationship banking markets. (English) Zbl 1169.91366 Rev. Finance 13, No. 2, 369-400 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{B. I. Carlin} and \textit{R. Rob}, Rev. Finance 13, No. 2, 369--400 (2009; Zbl 1169.91366) Full Text: DOI
Laux, Christian; Walz, Uwe Cross-selling lending and underwriting: scope economies and incentives. (English) Zbl 1169.91371 Rev. Finance 13, No. 2, 341-367 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{C. Laux} and \textit{U. Walz}, Rev. Finance 13, No. 2, 341--367 (2009; Zbl 1169.91371) Full Text: DOI OA License
Carbó-Valverde, Santiago; Rodríguez-Fernández, Francisco; Udell, Gregory F. Bank market power and SME financing constraints. (English) Zbl 1169.91365 Rev. Finance 13, No. 2, 309-340 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{S. Carbó-Valverde} et al., Rev. Finance 13, No. 2, 309--340 (2009; Zbl 1169.91365) Full Text: DOI
Alessandrini, Pietro; Presbitero, Andrea F.; Zazzaro, Alberto Banks, distances and firms’ financing constraints. (English) Zbl 1169.91359 Rev. Finance 13, No. 2, 261-307 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{P. Alessandrini} et al., Rev. Finance 13, No. 2, 261--307 (2009; Zbl 1169.91359) Full Text: DOI
Degryse, Hans; Laeven, Luc; Ongena, Steven The impact of organizational structure and lending technology on banking competition. (English) Zbl 1169.91367 Rev. Finance 13, No. 2, 225-259 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{H. Degryse} et al., Rev. Finance 13, No. 2, 225--259 (2009; Zbl 1169.91367) Full Text: DOI Link
Giannetti, Mariassunta; Ongena, Steven Financial integration and firm performance: evidence from foreign bank entry in emerging markets. (English) Zbl 1169.91369 Rev. Finance 13, No. 2, 181-223 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{M. Giannetti} and \textit{S. Ongena}, Rev. Finance 13, No. 2, 181--223 (2009; Zbl 1169.91369) Full Text: DOI
Beber, Alessandro; Brandt, Michael W. Resolving macroeconomic uncertainty in stock and bond markets. (English) Zbl 1169.91363 Rev. Finance 13, No. 1, 1-45 (2009). MSC: 91B28 91B64 PDFBibTeX XMLCite \textit{A. Beber} and \textit{M. W. Brandt}, Rev. Finance 13, No. 1, 1--45 (2009; Zbl 1169.91363) Full Text: DOI Link
Wu, Cheng-Ru; Lin, Chin-Tsai; Tsai, Pei-Hsuan Analysing alternatives in financial services for wealth management banks: the analytic network process and the balanced scorecard approach. (English) Zbl 1169.91378 IMA J. Manag. Math. 20, No. 3, 303-321 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{C.-R. Wu} et al., IMA J. Manag. Math. 20, No. 3, 303--321 (2009; Zbl 1169.91378) Full Text: DOI
Pironneau, Olivier Calibration of options on a reduced basis. (English) Zbl 1173.91398 J. Comput. Appl. Math. 232, No. 1, 139-147 (2009). MSC: 91B28 65N30 65N50 35J25 PDFBibTeX XMLCite \textit{O. Pironneau}, J. Comput. Appl. Math. 232, No. 1, 139--147 (2009; Zbl 1173.91398) Full Text: DOI
Stoikov, Sasha; Sağlam, Mehmet Option market making under inventory risk. (English) Zbl 1168.91401 Rev. Deriv. Res. 12, No. 1, 55-79 (2009). MSC: 91B28 91B24 PDFBibTeX XMLCite \textit{S. Stoikov} and \textit{M. Sağlam}, Rev. Deriv. Res. 12, No. 1, 55--79 (2009; Zbl 1168.91401) Full Text: DOI
Gutiérrez-Nieto, B.; Serrano-Cinca, C.; Molinero, C. Mar Social efficiency in microfinance institutions. (English) Zbl 1168.91385 J. Oper. Res. Soc. 60, No. 1, 104-119 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{B. Gutiérrez-Nieto} et al., J. Oper. Res. Soc. 60, No. 1, 104--119 (2009; Zbl 1168.91385) Full Text: DOI Link
Pirvu, Traian A.; Žitković, Gordan Maximizing the growth rate under risk constraints. (English) Zbl 1168.91398 Math. Finance 19, No. 3, 423-455 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{T. A. Pirvu} and \textit{G. Žitković}, Math. Finance 19, No. 3, 423--455 (2009; Zbl 1168.91398) Full Text: DOI arXiv
Cont, Rama; Tankov, Peter Constant proportion portfolio insurance in the presence of jumps in asset prices. (English) Zbl 1168.91381 Math. Finance 19, No. 3, 379-401 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{R. Cont} and \textit{P. Tankov}, Math. Finance 19, No. 3, 379--401 (2009; Zbl 1168.91381) Full Text: DOI
Chen, Nan; Kou, S. G. Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk. (English) Zbl 1168.91379 Math. Finance 19, No. 3, 343-378 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{N. Chen} and \textit{S. G. Kou}, Math. Finance 19, No. 3, 343--378 (2009; Zbl 1168.91379) Full Text: DOI
Bensoussan, Alain; Keppo, Jussi; Sethi, Suresh P. Optimal consumption and portfolio decisions with partially observed real prices. (English) Zbl 1168.91375 Math. Finance 19, No. 2, 215-236 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Math. Finance 19, No. 2, 215--236 (2009; Zbl 1168.91375) Full Text: DOI
Baharumshah, Ahmad Zubaidi; Liew, Venus Khim-Sen; Haw, Chan Tze The real interest rate differential: international evidence based on non-linear unit root tests. (English) Zbl 1168.91373 Bull. Econ. Res. 61, No. 1, 83-94 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{A. Z. Baharumshah} et al., Bull. Econ. Res. 61, No. 1, 83--94 (2009; Zbl 1168.91373) Full Text: DOI Link
Gai, Prasanna; Trivedi, Kamakshya Funding externalities, asset prices and investors’ ‘search for yield’. (English) Zbl 1168.91384 Bull. Econ. Res. 61, No. 1, 73-82 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{P. Gai} and \textit{K. Trivedi}, Bull. Econ. Res. 61, No. 1, 73--82 (2009; Zbl 1168.91384) Full Text: DOI
Roberts, Mark A. Financial market competition and economic growth: the importance of how profits are returned. (English) Zbl 1168.91399 Bull. Econ. Res. 61, No. 1, 21-46 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{M. A. Roberts}, Bull. Econ. Res. 61, No. 1, 21--46 (2009; Zbl 1168.91399) Full Text: DOI
Zhou, Jie The asset location puzzle: Taxes matter. (English) Zbl 1170.91404 J. Econ. Dyn. Control 33, No. 4, 955-969 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Zhou}, J. Econ. Dyn. Control 33, No. 4, 955--969 (2009; Zbl 1170.91404) Full Text: DOI
Ladley, Dan; Schenk-Hoppé, Klaus Reiner Do stylised facts of order book markets need strategic behaviour? (English) Zbl 1170.91388 J. Econ. Dyn. Control 33, No. 4, 817-831 (2009). MSC: 91B28 91B24 93E03 PDFBibTeX XMLCite \textit{D. Ladley} and \textit{K. R. Schenk-Hoppé}, J. Econ. Dyn. Control 33, No. 4, 817--831 (2009; Zbl 1170.91388) Full Text: DOI
Decamps, Marc; De Schepper, Ann; Goovaerts, Marc Spectral decomposition of optimal asset-liability management. (English) Zbl 1170.91376 J. Econ. Dyn. Control 33, No. 3, 710-724 (2009). MSC: 91B28 91B62 93E03 PDFBibTeX XMLCite \textit{M. Decamps} et al., J. Econ. Dyn. Control 33, No. 3, 710--724 (2009; Zbl 1170.91376) Full Text: DOI
Chiarella, Carl; Iori, Giulia; Perelló, Josep The impact of heterogeneous trading rules on the limit order book and order flows. (English) Zbl 1170.91371 J. Econ. Dyn. Control 33, No. 3, 525-537 (2009). MSC: 91B28 91B74 PDFBibTeX XMLCite \textit{C. Chiarella} et al., J. Econ. Dyn. Control 33, No. 3, 525--537 (2009; Zbl 1170.91371) Full Text: DOI arXiv Link
Balder, Sven; Brandl, Michael; Mahayni, Antje Effectiveness of CPPI strategies under discrete-time trading. (English) Zbl 1170.91369 J. Econ. Dyn. Control 33, No. 1, 204-220 (2009). MSC: 91B28 91B60 PDFBibTeX XMLCite \textit{S. Balder} et al., J. Econ. Dyn. Control 33, No. 1, 204--220 (2009; Zbl 1170.91369) Full Text: DOI
Detemple, Jérôme; Emmerling, Thomas American chooser options. (English) Zbl 1170.91377 J. Econ. Dyn. Control 33, No. 1, 128-153 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Detemple} and \textit{T. Emmerling}, J. Econ. Dyn. Control 33, No. 1, 128--153 (2009; Zbl 1170.91377) Full Text: DOI
Xie, Dejun An integral equation approach to pricing fixed rate mortgages. (English) Zbl 1168.91405 Far East J. Appl. Math. 35, No. 2, 233-242 (2009). MSC: 91B28 45G05 65R20 91B06 PDFBibTeX XMLCite \textit{D. Xie}, Far East J. Appl. Math. 35, No. 2, 233--242 (2009; Zbl 1168.91405) Full Text: Link
Orito, Yukiko; Takeda, Manabu; Yamamoto, Hisashi Index fund optimization using genetic algorithm and scatter diagram based on coefficients of determination. (English) Zbl 1169.91374 Gen, Mitsuo (ed.) et al., Intelligent and evolutionary systems. Berlin: Springer (ISBN 978-3-540-95977-9/hbk; 978-3-540-95978-6/ebook). Studies in Computational Intelligence 187, 1-11 (2009). MSC: 91B28 90C59 68W05 68T05 PDFBibTeX XMLCite \textit{Y. Orito} et al., Stud. Comput. Intell. 187, 1--11 (2009; Zbl 1169.91374) Full Text: DOI
Kim, Bong Jo Estimation of error in finite-difference bisection algorithm of American options. (English) Zbl 1168.91390 Int. J. Contemp. Math. Sci. 4, No. 1-4, 133-137 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{B. J. Kim}, Int. J. Contemp. Math. Sci. 4, No. 1--4, 133--137 (2009; Zbl 1168.91390) Full Text: Link
Xu, Zongyan; Liu, Zhong; Zhou, Feifei; Li, Haihua Stock investment value study based on fuzzy comprehensive evaluation. (English) Zbl 1171.91345 Mod. Appl. Sci. 3, No. 6, 67-72 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{Z. Xu} et al., Mod. Appl. Sci. 3, No. 6, 67--72 (2009; Zbl 1171.91345) Full Text: DOI OA License
Pospisil, Libor; Vecer, Jan; Hadjiliadis, Olympia Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups. (English) Zbl 1167.91374 Stochastic Processes Appl. 119, No. 8, 2563-2578 (2009). MSC: 91B28 60G44 PDFBibTeX XMLCite \textit{L. Pospisil} et al., Stochastic Processes Appl. 119, No. 8, 2563--2578 (2009; Zbl 1167.91374) Full Text: DOI
Marsili, Matteo; Raffaelli, Giacomo; Ponsot, Benedicte Dynamic instability in generic model of multi-assets markets. (English) Zbl 1170.91392 J. Econ. Dyn. Control 33, No. 5, 1170-1181 (2009). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{M. Marsili} et al., J. Econ. Dyn. Control 33, No. 5, 1170--1181 (2009; Zbl 1170.91392) Full Text: DOI
Franke, Reiner A prototype model of speculative dynamics with position-based trading. (English) Zbl 1170.91382 J. Econ. Dyn. Control 33, No. 5, 1134-1158 (2009). MSC: 91B28 34K50 PDFBibTeX XMLCite \textit{R. Franke}, J. Econ. Dyn. Control 33, No. 5, 1134--1158 (2009; Zbl 1170.91382) Full Text: DOI
Zhou, Qing Optimal investment for an insurer in the Lévy market: the martingale approach. (English) Zbl 1169.91380 Stat. Probab. Lett. 79, No. 14, 1602-1607 (2009). MSC: 91B28 60G44 PDFBibTeX XMLCite \textit{Q. Zhou}, Stat. Probab. Lett. 79, No. 14, 1602--1607 (2009; Zbl 1169.91380) Full Text: DOI
Lu, Wen-Min; Lo, Shih-Fang An interactive benchmark model ranking performers - application to financial holding companies. (English) Zbl 1165.91407 Math. Comput. Modelling 49, No. 1-2, 172-179 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{W.-M. Lu} and \textit{S.-F. Lo}, Math. Comput. Modelling 49, No. 1--2, 172--179 (2009; Zbl 1165.91407) Full Text: DOI
Heyde, Chris C. Scaling issues for risky asset modelling. (English) Zbl 1166.91016 Math. Methods Oper. Res. 69, No. 3, 593-603 (2009). MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{C. C. Heyde}, Math. Methods Oper. Res. 69, No. 3, 593--603 (2009; Zbl 1166.91016) Full Text: DOI
Focardi, Sergio; Fabozzi, Frank J. Black swans and white eagles: On mathematics and finance. (English) Zbl 1163.91395 Math. Methods Oper. Res. 69, No. 3, 379-394 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{S. Focardi} and \textit{F. J. Fabozzi}, Math. Methods Oper. Res. 69, No. 3, 379--394 (2009; Zbl 1163.91395) Full Text: DOI
Giesecke, Kay An overview of credit derivatives. (English) Zbl 1165.91399 Jahresber. Dtsch. Math.-Ver. 111, No. 2, 57-83 (2009). MSC: 91B28 60-01 60-08 60G55 60H99 91-01 PDFBibTeX XMLCite \textit{K. Giesecke}, Jahresber. Dtsch. Math.-Ver. 111, No. 2, 57--83 (2009; Zbl 1165.91399)
Yousuf, M. Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility. (English) Zbl 1173.91022 Appl. Math. Comput. 213, No. 1, 121-136 (2009). Reviewer: Iulian Stoleriu (Iaşi) MSC: 91B28 PDFBibTeX XMLCite \textit{M. Yousuf}, Appl. Math. Comput. 213, No. 1, 121--136 (2009; Zbl 1173.91022) Full Text: DOI
Magni, Carlo Alberto Splitting up value: a critical review of residual income theories. (English) Zbl 1163.91415 Eur. J. Oper. Res. 198, No. 1, 1-22 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{C. A. Magni}, Eur. J. Oper. Res. 198, No. 1, 1--22 (2009; Zbl 1163.91415) Full Text: DOI Link
Yousuf, M. A fourth-order smoothing scheme for pricing barrier options under stochastic volatility. (English) Zbl 1163.91429 Int. J. Comput. Math. 86, No. 6, 1054-1067 (2009). MSC: 91B28 60H30 PDFBibTeX XMLCite \textit{M. Yousuf}, Int. J. Comput. Math. 86, No. 6, 1054--1067 (2009; Zbl 1163.91429) Full Text: DOI
Mariani, M. C.; Libbin, J. D.; Martin, K. J.; Ncheuguim, E.; Beccar Varela, M. P.; Kumar Mani, V.; Erickson, C. A.; Valles-Rosales, D. J. Lévy models and long correlations applied to the study of exchange traded funds. (English) Zbl 1163.91417 Int. J. Comput. Math. 86, No. 6, 1040-1053 (2009). MSC: 91B28 60H25 60H30 PDFBibTeX XMLCite \textit{M. C. Mariani} et al., Int. J. Comput. Math. 86, No. 6, 1040--1053 (2009; Zbl 1163.91417) Full Text: DOI
Liao, Wenyuan; Khaliq, Abdul Q. M. High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost. (English) Zbl 1163.91411 Int. J. Comput. Math. 86, No. 6, 1009-1023 (2009). MSC: 91B28 65M06 65M12 65N06 PDFBibTeX XMLCite \textit{W. Liao} and \textit{A. Q. M. Khaliq}, Int. J. Comput. Math. 86, No. 6, 1009--1023 (2009; Zbl 1163.91411) Full Text: DOI
Hofmann, B.; Krämer, R.; Richter, M. Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility. (English) Zbl 1163.91403 Int. J. Comput. Math. 86, No. 6, 992-1008 (2009). MSC: 91B28 60G15 65J15 62M10 PDFBibTeX XMLCite \textit{B. Hofmann} et al., Int. J. Comput. Math. 86, No. 6, 992--1008 (2009; Zbl 1163.91403) Full Text: DOI
Heider, Pascal A second-order Nyström-type discretization for the early-exercise curve of American put options. (English) Zbl 1163.91402 Int. J. Comput. Math. 86, No. 6, 982-991 (2009). MSC: 91B28 65B99 65R20 PDFBibTeX XMLCite \textit{P. Heider}, Int. J. Comput. Math. 86, No. 6, 982--991 (2009; Zbl 1163.91402) Full Text: DOI
Jackson, Ken; Zhang, Wanhe Valuation of forward-starting CDOs. (English) Zbl 1163.91405 Int. J. Comput. Math. 86, No. 6, 955-963 (2009). MSC: 91B28 65C20 65C50 PDFBibTeX XMLCite \textit{K. Jackson} and \textit{W. Zhang}, Int. J. Comput. Math. 86, No. 6, 955--963 (2009; Zbl 1163.91405) Full Text: DOI
Walker, Michael B. The static hedging of CDO tranche correlation risk. (English) Zbl 1163.91426 Int. J. Comput. Math. 86, No. 6, 940-954 (2009). MSC: 91B28 91B24 PDFBibTeX XMLCite \textit{M. B. Walker}, Int. J. Comput. Math. 86, No. 6, 940--954 (2009; Zbl 1163.91426) Full Text: DOI
Ruiz-Torrubiano, Rubén; Suárez, Alberto A hybrid optimization approach to index tracking. (English) Zbl 1163.91421 Ann. Oper. Res. 166, 57-71 (2009). MSC: 91B28 68P10 90C20 PDFBibTeX XMLCite \textit{R. Ruiz-Torrubiano} and \textit{A. Suárez}, Ann. Oper. Res. 166, 57--71 (2009; Zbl 1163.91421) Full Text: DOI
De Palma, André; Prigent, Jean-Luc Standardized versus customized portfolio: a compensating variation approach. (English) Zbl 1163.91392 Ann. Oper. Res. 165, 161-185 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{A. De Palma} and \textit{J.-L. Prigent}, Ann. Oper. Res. 165, 161--185 (2009; Zbl 1163.91392) Full Text: DOI
Bellalah, Mondher; Wu, Zhen A simple model of corporate international investment under incomplete information and taxes. (English) Zbl 1163.91379 Ann. Oper. Res. 165, 123-143 (2009). MSC: 91B28 91B64 PDFBibTeX XMLCite \textit{M. Bellalah} and \textit{Z. Wu}, Ann. Oper. Res. 165, 123--143 (2009; Zbl 1163.91379) Full Text: DOI
Iaquinta, Gaetano; Lamantia, Fabio; Massabò, Ivar; Ortobelli, Sergio Moment based approaches to Value the Risk of contingent claim portfolios. (English) Zbl 1163.91404 Ann. Oper. Res. 165, 97-121 (2009). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{G. Iaquinta} et al., Ann. Oper. Res. 165, 97--121 (2009; Zbl 1163.91404) Full Text: DOI
Barro, Diana; Canestrelli, Elio Tracking error: a multistage portfolio model. (English) Zbl 1163.91378 Ann. Oper. Res. 165, 47-66 (2009). MSC: 91B28 90C15 PDFBibTeX XMLCite \textit{D. Barro} and \textit{E. Canestrelli}, Ann. Oper. Res. 165, 47--66 (2009; Zbl 1163.91378) Full Text: DOI
Evstigneev, Igor; Kapoor, Dhruv Arbitrage in stationary markets. (English) Zbl 1165.91398 Decis. Econ. Finance 32, No. 1, 5-12 (2009). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{I. Evstigneev} and \textit{D. Kapoor}, Decis. Econ. Finance 32, No. 1, 5--12 (2009; Zbl 1165.91398) Full Text: DOI Link
Cerra, Valerie; Tekin, Serpil; Turnovsky, Stephen J. Foreign transfers and real exchange rate adjustments in a financially constrained dependent economy. (English) Zbl 1163.91384 Open Econ. Rev. 20, No. 2, 147-181 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{V. Cerra} et al., Open Econ. Rev. 20, No. 2, 147--181 (2009; Zbl 1163.91384) Full Text: DOI
Madan, Dilip B.; Elliott, Robert J. Multiple priors and asset pricing. (English) Zbl 1162.91381 Methodol. Comput. Appl. Probab. 11, No. 2, 211-229 (2009). MSC: 91B28 60G35 60J75 62F15 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{R. J. Elliott}, Methodol. Comput. Appl. Probab. 11, No. 2, 211--229 (2009; Zbl 1162.91381) Full Text: DOI
Zhao, Juan Long time behaviour of stochastic interest rate models. (English) Zbl 1162.91391 Insur. Math. Econ. 44, No. 3, 459-463 (2009). MSC: 91B28 60H30 60J75 PDFBibTeX XMLCite \textit{J. Zhao}, Insur. Math. Econ. 44, No. 3, 459--463 (2009; Zbl 1162.91391) Full Text: DOI
Kim, Joseph H. T.; Hardy, Mary R. A capital allocation based on a solvency exchange option. (English) Zbl 1162.91380 Insur. Math. Econ. 44, No. 3, 357-366 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{J. H. T. Kim} and \textit{M. R. Hardy}, Insur. Math. Econ. 44, No. 3, 357--366 (2009; Zbl 1162.91380) Full Text: DOI
Geman, Hélyette Stochastic clock and financial markets. (English) Zbl 1172.91318 Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 649-663 (2009). MSC: 91B28 60J65 91-02 PDFBibTeX XMLCite \textit{H. Geman}, Handb. Numer. Anal. 15, 649--663 (2009; Zbl 1172.91318) Full Text: DOI
Baz, Jamil; Chacko, George Financial derivatives. Pricing, applications, and mathematics. Paperback reprint of the hardback edition 2004. (English) Zbl 1165.91013 Cambridge: Cambridge University Press (ISBN 978-0-521-06679-2/pbk). xi, 338 p. (2009). MSC: 91B28 60G35 60H30 60H10 91-01 PDFBibTeX XMLCite \textit{J. Baz} and \textit{G. Chacko}, Financial derivatives. Pricing, applications, and mathematics. Paperback reprint of the hardback edition 2004. Cambridge: Cambridge University Press (2009; Zbl 1165.91013) Full Text: DOI
Üstünel, Ali Süleyman Probabilistic solution of the American options. (English) Zbl 1163.91016 J. Funct. Anal. 256, No. 9, 3091-3105 (2009). MSC: 91B28 60H07 47D07 PDFBibTeX XMLCite \textit{A. S. Üstünel}, J. Funct. Anal. 256, No. 9, 3091--3105 (2009; Zbl 1163.91016) Full Text: DOI arXiv
Garlappi, Lorenzo; Skoulakis, Georgios Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation. (English) Zbl 1161.91392 Comput. Econ. 33, No. 2, 193-207 (2009). MSC: 91B28 65K05 PDFBibTeX XMLCite \textit{L. Garlappi} and \textit{G. Skoulakis}, Comput. Econ. 33, No. 2, 193--207 (2009; Zbl 1161.91392) Full Text: DOI
Amster, P.; De Nápoli, P.; Zubelli, J. P. Towards a generalization of Dupire’s equation for several assets. (English) Zbl 1171.91013 J. Math. Anal. Appl. 355, No. 1, 170-179 (2009). Reviewer: Klaus Schürger (Bonn) MSC: 91B28 PDFBibTeX XMLCite \textit{P. Amster} et al., J. Math. Anal. Appl. 355, No. 1, 170--179 (2009; Zbl 1171.91013) Full Text: DOI Link
Dreẓewski, Rafał; Sepielak, Jan; Siwik, Leszek Classical and agent-based evolutionary algorithms for investment strategies generation. (English) Zbl 1160.91352 Brabazon, Anthony (ed.) et al., Natural computing in computational finance. Volume 2. Berlin: Springer (ISBN 978-3-540-95973-1/hbk; 978-3-540-95974-8/ebook). Studies in Computational Intelligence 185, 181-205 (2009). MSC: 91B28 68T05 91-08 PDFBibTeX XMLCite \textit{R. Dreẓewski} et al., Stud. Comput. Intell. 185, 181--205 (2009; Zbl 1160.91352) Full Text: DOI
Martinez-Jaramillo, Serafin; Tsang, Edward P. K. Evolutionary computation and artificial financial markets. (English) Zbl 1160.91358 Brabazon, Anthony (ed.) et al., Natural computing in computational finance. Volume 2. Berlin: Springer (ISBN 978-3-540-95973-1/hbk; 978-3-540-95974-8/ebook). Studies in Computational Intelligence 185, 137-179 (2009). MSC: 91B28 68T05 91-08 PDFBibTeX XMLCite \textit{S. Martinez-Jaramillo} and \textit{E. P. K. Tsang}, Stud. Comput. Intell. 185, 137--179 (2009; Zbl 1160.91358) Full Text: DOI
Hsieh, Tsung-Han; Li, Youwei; Mckillop, Donal G. Financial bubbles: a learning effect modelling approach. (English) Zbl 1160.91354 Brabazon, Anthony (ed.) et al., Natural computing in computational finance. Volume 2. Berlin: Springer (ISBN 978-3-540-95973-1/hbk; 978-3-540-95974-8/ebook). Studies in Computational Intelligence 185, 117-135 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{T.-H. Hsieh} et al., Stud. Comput. Intell. 185, 117--135 (2009; Zbl 1160.91354) Full Text: DOI
Cao, Longbing Developing actionable trading strategies. (English) Zbl 1160.91348 Jain, Lakhmi C. (ed.) et al., Knowledge processing and decision making in agent-based systems. Berlin: Springer (ISBN 978-3-540-88048-6/hbk; 978-3-540-88049-3/ebook). Studies in Computational Intelligence 170, 193-215 (2009). MSC: 91B28 91B74 PDFBibTeX XMLCite \textit{L. Cao}, Stud. Comput. Intell. 170, 193--215 (2009; Zbl 1160.91348) Full Text: DOI
Lin, X. Sheldon; Wang, Tao Pricing perpetual American catastrophe put options: A penalty function approach. (English) Zbl 1163.91412 Insur. Math. Econ. 44, No. 2, 287-295 (2009). MSC: 91B28 60H30 60J70 PDFBibTeX XMLCite \textit{X. S. Lin} and \textit{T. Wang}, Insur. Math. Econ. 44, No. 2, 287--295 (2009; Zbl 1163.91412) Full Text: DOI
Rainer, Martin Calibration of stochastic models for interest rate derivatives. (English) Zbl 1159.91397 Optimization 58, No. 3, 373-388 (2009). MSC: 91B28 91B24 91B68 91B70 80M50 PDFBibTeX XMLCite \textit{M. Rainer}, Optimization 58, No. 3, 373--388 (2009; Zbl 1159.91397) Full Text: DOI
Pınar, Mustafa Ç. Measures of model uncertainty and calibrated option bounds. (English) Zbl 1159.91396 Optimization 58, No. 3, 335-350 (2009). MSC: 91B28 91B24 90C90 PDFBibTeX XMLCite \textit{M. Ç. Pınar}, Optimization 58, No. 3, 335--350 (2009; Zbl 1159.91396) Full Text: DOI Link
Maruhn, J. H. Duality in static hedging of barrier options. (English) Zbl 1159.91395 Optimization 58, No. 3, 319-333 (2009). MSC: 91B28 90C34 90C30 PDFBibTeX XMLCite \textit{J. H. Maruhn}, Optimization 58, No. 3, 319--333 (2009; Zbl 1159.91395) Full Text: DOI
Korn, Ralf; Zeytun, Serkan Solving optimal investment problems with structured products under CVaR constraints. (English) Zbl 1160.91013 Optimization 58, No. 3, 291-304 (2009). MSC: 91B28 90C05 60G70 PDFBibTeX XMLCite \textit{R. Korn} and \textit{S. Zeytun}, Optimization 58, No. 3, 291--304 (2009; Zbl 1160.91013) Full Text: DOI
Kung, James J.; Carverhill, Andrew P. An efficient ex-ante criterion for ranking investment strategies. (English) Zbl 1166.91316 Appl. Math. Comput. 210, No. 1, 258-268 (2009). MSC: 91B28 90B50 PDFBibTeX XMLCite \textit{J. J. Kung} and \textit{A. P. Carverhill}, Appl. Math. Comput. 210, No. 1, 258--268 (2009; Zbl 1166.91316) Full Text: DOI
Balbás, A.; López, S. Sequential arbitrage measurements and interest rate envelopes. (English) Zbl 1159.91385 J. Optim. Theory Appl. 138, No. 3, 361-374 (2008). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{A. Balbás} and \textit{S. López}, J. Optim. Theory Appl. 138, No. 3, 361--374 (2009; Zbl 1159.91385) Full Text: DOI Link
Moon, Kyoung-Sook; Seon, Jung-Yon; Wee, In-Suk Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options. (English) Zbl 1158.91386 Bull. Korean Math. Soc. 46, No. 2, 209-227 (2009). MSC: 91B28 65C20 91B84 PDFBibTeX XMLCite \textit{K.-S. Moon} et al., Bull. Korean Math. Soc. 46, No. 2, 209--227 (2009; Zbl 1158.91386) Full Text: DOI
Rudloff, Birgit Coherent hedging in incomplete markets. (English) Zbl 1158.91388 Quant. Finance 9, No. 2, 197-206 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{B. Rudloff}, Quant. Finance 9, No. 2, 197--206 (2009; Zbl 1158.91388) Full Text: DOI
Wu, Lixin; Dai, Min Pricing jump risk with utility indifference. (English) Zbl 1158.91393 Quant. Finance 9, No. 2, 177-186 (2009). MSC: 91B28 91B30 60J85 PDFBibTeX XMLCite \textit{L. Wu} and \textit{M. Dai}, Quant. Finance 9, No. 2, 177--186 (2009; Zbl 1158.91393) Full Text: DOI
Joshi, Mark S. Achieving smooth asymptotics for the prices of European options in binomial trees. (English) Zbl 1158.91381 Quant. Finance 9, No. 2, 171-176 (2009). MSC: 91B28 60H30 PDFBibTeX XMLCite \textit{M. S. Joshi}, Quant. Finance 9, No. 2, 171--176 (2009; Zbl 1158.91381) Full Text: DOI
Stehlíková, B.; Ševčovič, D. Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis. (English) Zbl 1159.91398 Int. J. Numer. Anal. Model. 6, No. 2, 274-283 (2009). MSC: 91B28 35K05 PDFBibTeX XMLCite \textit{B. Stehlíková} and \textit{D. Ševčovič}, Int. J. Numer. Anal. Model. 6, No. 2, 274--283 (2009; Zbl 1159.91398) Full Text: arXiv Link
Zhang, Kai; Wang, Song A computational scheme for option under jump diffusion processes. (English) Zbl 1159.91402 Int. J. Numer. Anal. Model. 6, No. 1, 110-123 (2009). MSC: 91B28 65M12 65M60 PDFBibTeX XMLCite \textit{K. Zhang} and \textit{S. Wang}, Int. J. Numer. Anal. Model. 6, No. 1, 110--123 (2009; Zbl 1159.91402) Full Text: Link
Londoño, Jaime A. State-dependent utility. (English) Zbl 1159.91393 J. Appl. Probab. 46, No. 1, 55-70 (2009). MSC: 91B28 91B16 PDFBibTeX XMLCite \textit{J. A. Londoño}, J. Appl. Probab. 46, No. 1, 55--70 (2009; Zbl 1159.91393) Full Text: DOI arXiv
Leoni, Patrick L. Market crashes, speculation and learning in financial markets. (English) Zbl 1156.91378 Econ. Theory 39, No. 2, 217-229 (2009). MSC: 91B28 91B24 91A26 PDFBibTeX XMLCite \textit{P. L. Leoni}, Econ. Theory 39, No. 2, 217--229 (2009; Zbl 1156.91378) Full Text: DOI
Duran, Ahmet Sensitivity analysis of asset flow differential equations and volatility comparison of two related variables. (English) Zbl 1156.91368 Numer. Funct. Anal. Optim. 30, No. 1-2, 82-97 (2009). MSC: 91B28 65L05 65L07 65P40 65L09 90C31 91B10 91B24 37N40 PDFBibTeX XMLCite \textit{A. Duran}, Numer. Funct. Anal. Optim. 30, No. 1--2, 82--97 (2009; Zbl 1156.91368) Full Text: DOI
Elliott, Robert J.; van der Hoek, John Duality methods. (English) Zbl 1160.91353 Carmona, René (ed.) et al., Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13883-1/hbk). Princeton Series in Financial Engineering, 321-386 (2009). MSC: 91B28 90C46 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{J. van der Hoek}, in: Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press. 321--386 (2009; Zbl 1160.91353)
Musiela, Marek; Zariphopoulou, Thaleia The single period binomial model. (English) Zbl 1165.91408 Carmona, René (ed.) et al., Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13883-1/hbk). Princeton Series in Financial Engineering, 3-43 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{M. Musiela} and \textit{T. Zariphopoulou}, in: Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press. 3--43 (2009; Zbl 1165.91408)
Bion-Nadal, Jocelyne Time consistent dynamic risk processes. (English) Zbl 1156.91359 Stochastic Processes Appl. 119, No. 2, 633-654 (2009). MSC: 91B28 91B30 91B70 60G17 60G44 46A20 PDFBibTeX XMLCite \textit{J. Bion-Nadal}, Stochastic Processes Appl. 119, No. 2, 633--654 (2009; Zbl 1156.91359) Full Text: DOI arXiv
Leung, Tim; Sircar, Ronnie Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options. (English) Zbl 1155.91388 Math. Finance 19, No. 1, 99-128 (2009). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{T. Leung} and \textit{R. Sircar}, Math. Finance 19, No. 1, 99--128 (2009; Zbl 1155.91388) Full Text: DOI
Guo, Xin; Jarrow, Robert A.; Zeng, Yan Modeling the recovery rate in a reduced form model. (English) Zbl 1155.91383 Math. Finance 19, No. 1, 73-97 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{X. Guo} et al., Math. Finance 19, No. 1, 73--97 (2009; Zbl 1155.91383) Full Text: DOI
Filipović, Damir; Platen, Eckhard Consistent market extensions under the benchmark approach. (English) Zbl 1155.91382 Math. Finance 19, No. 1, 41-52 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{D. Filipović} and \textit{E. Platen}, Math. Finance 19, No. 1, 41--52 (2009; Zbl 1155.91382) Full Text: DOI Link
Bohner, Martin; Zheng, Yao On analytical solutions of the Black-Scholes equation. (English) Zbl 1159.91014 Appl. Math. Lett. 22, No. 3, 309-313 (2009). Reviewer: Mingshu Peng (Beijing) MSC: 91B28 60H15 60H30 PDFBibTeX XMLCite \textit{M. Bohner} and \textit{Y. Zheng}, Appl. Math. Lett. 22, No. 3, 309--313 (2009; Zbl 1159.91014) Full Text: DOI
Chang, Lung-Fu; Hung, Mao-Wei Analytical valuation of catastrophe equity options with negative exponential jumps. (English) Zbl 1156.91363 Insur. Math. Econ. 44, No. 1, 59-69 (2009). MSC: 91B28 91B30 60H30 PDFBibTeX XMLCite \textit{L.-F. Chang} and \textit{M.-W. Hung}, Insur. Math. Econ. 44, No. 1, 59--69 (2009; Zbl 1156.91363) Full Text: DOI
Laurence, Peter; Wang, Tai-Ho Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios. (English) Zbl 1155.91387 Insur. Math. Econ. 44, No. 1, 35-47 (2009). MSC: 91B28 90C05 PDFBibTeX XMLCite \textit{P. Laurence} and \textit{T.-H. Wang}, Insur. Math. Econ. 44, No. 1, 35--47 (2009; Zbl 1155.91387) Full Text: DOI