Qi, Hou-Duo Geometric characterization of maximum diversification return portfolio via Rao’s quadratic entropy. (English) Zbl 07691068 SIAM J. Financ. Math. 14, No. 2, 525-556 (2023). MSC: 91Gxx 90C20 90C90 90B50 91B28 PDF BibTeX XML Cite \textit{H.-D. Qi}, SIAM J. Financ. Math. 14, No. 2, 525--556 (2023; Zbl 07691068) Full Text: DOI OpenURL
Chen, Zhiping; Yang, Peng; Gan, Yujie Optimal reinsurance and investment with a common shock and a random exit time. (English) Zbl 07689352 RAIRO, Oper. Res. 57, No. 2, 881-903 (2023). MSC: 62P05 91B28 93E20 PDF BibTeX XML Cite \textit{Z. Chen} et al., RAIRO, Oper. Res. 57, No. 2, 881--903 (2023; Zbl 07689352) Full Text: DOI OpenURL
Chang, Hao; Chen, Xing-jiang Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments. (English) Zbl 07685072 Acta Math. Appl. Sin., Engl. Ser. 39, No. 2, 396-423 (2023). MSC: 60H30 91B28 93E20 PDF BibTeX XML Cite \textit{H. Chang} and \textit{X.-j. Chen}, Acta Math. Appl. Sin., Engl. Ser. 39, No. 2, 396--423 (2023; Zbl 07685072) Full Text: DOI OpenURL
Dai, Wanyang Convolutional neural network based simulation and analysis for backward stochastic partial differential equations. (English) Zbl 07566238 Comput. Math. Appl. 119, 21-58 (2022). MSC: 60H10 93E20 91B28 60-02 60H15 PDF BibTeX XML Cite \textit{W. Dai}, Comput. Math. Appl. 119, 21--58 (2022; Zbl 07566238) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
Yang, Peng; Chen, Zhiping; Wang, Liyuan Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process. (English) Zbl 07533682 Commun. Stat., Theory Methods 50, No. 11, 2546-2568 (2021). MSC: 62P05 91B28 93E20 62-XX PDF BibTeX XML Cite \textit{P. Yang} et al., Commun. Stat., Theory Methods 50, No. 11, 2546--2568 (2021; Zbl 07533682) Full Text: DOI OpenURL
Rezaei, M.; Yazdanian, A. R.; Ashrafi, A.; Mahmoudi, S. M. Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options. (English) Zbl 07336203 Comput. Math. Appl. 90, 104-111 (2021). MSC: 91G20 91G60 65M06 35R11 91B28 PDF BibTeX XML Cite \textit{M. Rezaei} et al., Comput. Math. Appl. 90, 104--111 (2021; Zbl 07336203) Full Text: DOI OpenURL
Glazer, Jacob; Rubinstein, Ariel Models of bounded rationality and mechanism design. (English) Zbl 07539282 World Scientific Series in Economic Theory 7. Singapore: World Scientific (ISBN 978-981-3141-32-2/hbk; 978-981-314-134-6/ebook). xiii, 138 p. (2017). MSC: 91-02 91B03 91B26 91B28 91A18 PDF BibTeX XML Cite \textit{J. Glazer} and \textit{A. Rubinstein}, Models of bounded rationality and mechanism design. Singapore: World Scientific (2017; Zbl 07539282) Full Text: DOI OpenURL
Jian, Xiongfei; Li, Xun; Yi, Fahuai Optimal investment with stopping in finite horizon. (English) Zbl 06780136 J. Inequal. Appl. 2014, Paper No. 432, 14 p. (2014). MSC: 35R35 91B28 93E20 PDF BibTeX XML Cite \textit{X. Jian} et al., J. Inequal. Appl. 2014, Paper No. 432, 14 p. (2014; Zbl 06780136) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{K.-J. Chung} et al., J. Stat. Manag. Syst. 12, No. 1, 93--102 (2009; Zbl 1173.91382) Full Text: DOI OpenURL
Hafner, Christian M.; Franses, Philip Hans A generalized dynamic conditional correlation model: Simulation and application to many assets. (English) Zbl 1172.62036 Econom. Rev. 28, No. 6, 612-631 (2009). MSC: 62P05 91B28 62F10 62G05 62M10 PDF BibTeX XML Cite \textit{C. M. Hafner} and \textit{P. H. Franses}, Econom. Rev. 28, No. 6, 612--631 (2009; Zbl 1172.62036) Full Text: DOI OpenURL
Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; Slottje, Daniel Measuring the volatility in U.S. Treasury benchmarks and debt instruments. (English) Zbl 1172.62037 Econom. Rev. 28, No. 6, 522-554 (2009). MSC: 62P05 91B28 91B84 65C60 62H20 PDF BibTeX XML Cite \textit{S. Hoti} et al., Econom. Rev. 28, No. 6, 522--554 (2009; Zbl 1172.62037) Full Text: DOI Link OpenURL
Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; Hvozdyk, Lyudmyla Pairwise tests of purchasing power parity. (English) Zbl 1172.62038 Econom. Rev. 28, No. 6, 495-521 (2009). MSC: 62P05 91B28 62M10 91B84 62F03 PDF BibTeX XML Cite \textit{M. H. Pesaran} et al., Econom. Rev. 28, No. 6, 495--521 (2009; Zbl 1172.62038) Full Text: DOI Link OpenURL
Jiang, Shumin; Tian, Lixin; Ding, Zhan Wen; Ni, Hua A new investment model for energy economic and its controller. (English) Zbl 1170.93022 Far East J. Appl. Math. 36, No. 1, 63-71 (2009). MSC: 93D20 93A30 91B28 93C10 93C15 PDF BibTeX XML Cite \textit{S. Jiang} et al., Far East J. Appl. Math. 36, No. 1, 63--71 (2009; Zbl 1170.93022) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{J. I. Morlanes} et al., Adv. Appl. Stat. 12, No. 2, 223--233 (2009; Zbl 1170.91394) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{J. Zhang} and \textit{J. Zhang}, Macroecon. Dyn. 13, No. 3, 327--348 (2009; Zbl 1170.91403) Full Text: DOI OpenURL
Atolia, Manoj; Buffie, Edward F. Smart forward shooting. (English) Zbl 1170.91367 Comput. Econ. 33, No. 1, 1-30 (2009). MSC: 91B28 91-04 PDF BibTeX XML Cite \textit{M. Atolia} and \textit{E. F. Buffie}, Comput. Econ. 33, No. 1, 1--30 (2009; Zbl 1170.91367) Full Text: DOI OpenURL
Liu, Wei; Morley, Bruce Volatility forecasting in the hang seng index using the GARCH approach. (English) Zbl 1170.91503 Asia-Pac. Financ. Mark. 16, No. 1, 51-63 (2009). MSC: 91B82 91B84 91B28 PDF BibTeX XML Cite \textit{W. Liu} and \textit{B. Morley}, Asia-Pac. Financ. Mark. 16, No. 1, 51--63 (2009; Zbl 1170.91503) Full Text: DOI OpenURL
Walid, Elhaj Mabrouk New evidence on risk factors, characteristics and the cross-sectional variation of Japanese stock returns. (English) Zbl 1170.91495 Asia-Pac. Financ. Mark. 16, No. 1, 33-50 (2009). MSC: 91B74 91B28 91B82 PDF BibTeX XML Cite \textit{E. M. Walid}, Asia-Pac. Financ. Mark. 16, No. 1, 33--50 (2009; Zbl 1170.91495) Full Text: DOI OpenURL
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik Alternative defaultable term structure models. (English) Zbl 1170.91488 Asia-Pac. Financ. Mark. 16, No. 1, 1-31 (2009). MSC: 91B74 91B28 91B30 PDF BibTeX XML Cite \textit{N. Bruti-Liberati} et al., Asia-Pac. Financ. Mark. 16, No. 1, 1--31 (2009; Zbl 1170.91488) Full Text: DOI Link OpenURL
Podolskij, Mark; Vetter, Mathias Bipower-type estimation in a noisy diffusion setting. (English) Zbl 1172.62039 Stochastic Processes Appl. 119, No. 9, 2803-2831 (2009). MSC: 62P05 60J70 60F05 91B28 PDF BibTeX XML Cite \textit{M. Podolskij} and \textit{M. Vetter}, Stochastic Processes Appl. 119, No. 9, 2803--2831 (2009; Zbl 1172.62039) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{K. Nishide}, Quant. Finance 9, No. 3, 297--304 (2009; Zbl 1169.91373) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{R. Rebonato} and \textit{J. Chen}, Quant. Finance 9, No. 3, 259--278 (2009; Zbl 1169.91376) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Ortobelli} et al., Appl. Math. Finance 16, No. 1--2, 81--102 (2009; Zbl 1169.91375) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. I. Carlin} and \textit{R. Rob}, Rev. Finance 13, No. 2, 369--400 (2009; Zbl 1169.91366) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Laux} and \textit{U. Walz}, Rev. Finance 13, No. 2, 341--367 (2009; Zbl 1169.91371) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Carbó-Valverde} et al., Rev. Finance 13, No. 2, 309--340 (2009; Zbl 1169.91365) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. Alessandrini} et al., Rev. Finance 13, No. 2, 261--307 (2009; Zbl 1169.91359) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Degryse} et al., Rev. Finance 13, No. 2, 225--259 (2009; Zbl 1169.91367) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{M. Giannetti} and \textit{S. Ongena}, Rev. Finance 13, No. 2, 181--223 (2009; Zbl 1169.91369) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. Beber} and \textit{M. W. Brandt}, Rev. Finance 13, No. 1, 1--45 (2009; Zbl 1169.91363) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{C.-R. Wu} et al., IMA J. Manag. Math. 20, No. 3, 303--321 (2009; Zbl 1169.91378) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{O. Pironneau}, J. Comput. Appl. Math. 232, No. 1, 139--147 (2009; Zbl 1173.91398) Full Text: DOI OpenURL
Baldacci, R.; Boschetti, M. A.; Christofides, N.; Christofides, S. Exact methods for large-scale multi-period financial planning problems. (English) Zbl 1170.90437 Comput. Manag. Sci. 6, No. 3, 281-306 (2009). MSC: 90C05 90C06 91B28 PDF BibTeX XML Cite \textit{R. Baldacci} et al., Comput. Manag. Sci. 6, No. 3, 281--306 (2009; Zbl 1170.90437) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Stoikov} and \textit{M. Sağlam}, Rev. Deriv. Res. 12, No. 1, 55--79 (2009; Zbl 1168.91401) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. Gutiérrez-Nieto} et al., J. Oper. Res. Soc. 60, No. 1, 104--119 (2009; Zbl 1168.91385) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{T. A. Pirvu} and \textit{G. Žitković}, Math. Finance 19, No. 3, 423--455 (2009; Zbl 1168.91398) Full Text: DOI arXiv OpenURL
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 PDF BibTeX XML Cite \textit{R. Cont} and \textit{P. Tankov}, Math. Finance 19, No. 3, 379--401 (2009; Zbl 1168.91381) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{N. Chen} and \textit{S. G. Kou}, Math. Finance 19, No. 3, 343--378 (2009; Zbl 1168.91379) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. Bensoussan} et al., Math. Finance 19, No. 2, 215--236 (2009; Zbl 1168.91375) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. Z. Baharumshah} et al., Bull. Econ. Res. 61, No. 1, 83--94 (2009; Zbl 1168.91373) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{P. Gai} and \textit{K. Trivedi}, Bull. Econ. Res. 61, No. 1, 73--82 (2009; Zbl 1168.91384) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. A. Roberts}, Bull. Econ. Res. 61, No. 1, 21--46 (2009; Zbl 1168.91399) Full Text: DOI OpenURL
Emamizadeh, Behrouz; Hanai, Mariam Al Rearrangements in real estate investments. (English) Zbl 1168.49037 Numer. Funct. Anal. Optim. 30, No. 5-6, 478-485 (2009). MSC: 49N90 91B28 93A30 PDF BibTeX XML Cite \textit{B. Emamizadeh} and \textit{M. A. Hanai}, Numer. Funct. Anal. Optim. 30, No. 5--6, 478--485 (2009; Zbl 1168.49037) Full Text: DOI OpenURL
Hakim, Abdul; McAleer, Michael Forecasting conditional correlations in stock, bond and foreign exchange markets. (English) Zbl 1168.91495 Math. Comput. Simul. 79, No. 9, 2830-2846 (2009). MSC: 91B84 91B28 PDF BibTeX XML Cite \textit{A. Hakim} and \textit{M. McAleer}, Math. Comput. Simul. 79, No. 9, 2830--2846 (2009; Zbl 1168.91495) Full Text: DOI OpenURL
Fukiharu, T. Asset market equilibrium: A simulation. (English) Zbl 1168.91435 Math. Comput. Simul. 79, No. 9, 2819-2829 (2009). MSC: 91B52 91B28 PDF BibTeX XML Cite \textit{T. Fukiharu}, Math. Comput. Simul. 79, No. 9, 2819--2829 (2009; Zbl 1168.91435) Full Text: DOI OpenURL
Chow, Ying-Foon; Lam, James T. K.; Yeung, Hinson S. Realized volatility of index constituent stocks in Hong Kong. (English) Zbl 1168.91470 Math. Comput. Simul. 79, No. 9, 2809-2818 (2009). MSC: 91B74 91B28 91B84 PDF BibTeX XML Cite \textit{Y.-F. Chow} et al., Math. Comput. Simul. 79, No. 9, 2809--2818 (2009; Zbl 1168.91470) Full Text: DOI OpenURL
Oron, Daniel; Steiner, George; Timkovsky, Vadim G. The bipartite margin shop and maximum red matchings free of blue-red alternating cycles. (English) Zbl 1167.90515 Discrete Optim. 6, No. 3, 299-309 (2009). MSC: 90B35 91B28 PDF BibTeX XML Cite \textit{D. Oron} et al., Discrete Optim. 6, No. 3, 299--309 (2009; Zbl 1167.90515) Full Text: DOI OpenURL
Schöttle, Katrin; Werner, Ralf Robustness properties of mean-variance portfolios. (English) Zbl 1167.90618 Optimization 58, No. 6, 641-663 (2009). MSC: 90C25 90C90 91B28 62H12 PDF BibTeX XML Cite \textit{K. Schöttle} and \textit{R. Werner}, Optimization 58, No. 6, 641--663 (2009; Zbl 1167.90618) Full Text: DOI OpenURL
Camcı, Ahmet; Pınar, Mustafa Ç. Pricing American contingent claims by stochastic linear programming. (English) Zbl 1167.90599 Optimization 58, No. 6, 627-640 (2009). MSC: 90C11 90C90 91B28 PDF BibTeX XML Cite \textit{A. Camcı} and \textit{M. Ç. Pınar}, Optimization 58, No. 6, 627--640 (2009; Zbl 1167.90599) Full Text: DOI Link OpenURL
Černý, Aleš Mathematical techniques in finance. Tools for incomplete markets. 2nd ed. (English) Zbl 1173.91001 Princeton, NJ: Princeton University Press (ISBN 978-0-691-14121-3/pbk). xx, 390 p. (2009). Reviewer: Iulian Stoleriu (Iaşi) MSC: 91-01 91B28 PDF BibTeX XML Cite \textit{A. Černý}, Mathematical techniques in finance. Tools for incomplete markets. 2nd ed. Princeton, NJ: Princeton University Press (2009; Zbl 1173.91001) OpenURL
Brdyś, Mietek A.; Borowa, Adam; Idźkowiak, Piotr; Brdyś, Marcin T. Adaptive prediction of stock exchange indices by state space wavelet networks. (English) Zbl 1169.91429 Int. J. Appl. Math. Comput. Sci. 19, No. 2, 337-348 (2009). MSC: 91B84 91B28 93C40 65T60 PDF BibTeX XML Cite \textit{M. A. Brdyś} et al., Int. J. Appl. Math. Comput. Sci. 19, No. 2, 337--348 (2009; Zbl 1169.91429) Full Text: DOI EuDML OpenURL
Zhou, Jie The asset location puzzle: Taxes matter. (English) Zbl 1170.91404 J. Econ. Dyn. Control 33, No. 4, 955-969 (2009). MSC: 91B28 PDF BibTeX XML Cite \textit{J. Zhou}, J. Econ. Dyn. Control 33, No. 4, 955--969 (2009; Zbl 1170.91404) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
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 PDF BibTeX XML Cite \textit{M. Decamps} et al., J. Econ. Dyn. Control 33, No. 3, 710--724 (2009; Zbl 1170.91376) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. Chiarella} et al., J. Econ. Dyn. Control 33, No. 3, 525--537 (2009; Zbl 1170.91371) Full Text: DOI arXiv Link OpenURL
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 PDF BibTeX XML Cite \textit{S. Balder} et al., J. Econ. Dyn. Control 33, No. 1, 204--220 (2009; Zbl 1170.91369) Full Text: DOI OpenURL
Detemple, Jérôme; Emmerling, Thomas American chooser options. (English) Zbl 1170.91377 J. Econ. Dyn. Control 33, No. 1, 128-153 (2009). MSC: 91B28 PDF BibTeX XML Cite \textit{J. Detemple} and \textit{T. Emmerling}, J. Econ. Dyn. Control 33, No. 1, 128--153 (2009; Zbl 1170.91377) Full Text: DOI OpenURL
Grasselli, Matheus; Henderson, Vicky Risk aversion and block exercise of executive stock options. (English) Zbl 1170.91413 J. Econ. Dyn. Control 33, No. 1, 109-127 (2009). MSC: 91B30 91B28 PDF BibTeX XML Cite \textit{M. Grasselli} and \textit{V. Henderson}, J. Econ. Dyn. Control 33, No. 1, 109--127 (2009; Zbl 1170.91413) Full Text: DOI OpenURL
Rosen, Dan; Saunders, David Analytical methods for hedging systematic credit risk with linear factor portfolios. (English) Zbl 1170.91417 J. Econ. Dyn. Control 33, No. 1, 37-52 (2009). MSC: 91B30 91B28 PDF BibTeX XML Cite \textit{D. Rosen} and \textit{D. Saunders}, J. Econ. Dyn. Control 33, No. 1, 37--52 (2009; Zbl 1170.91417) Full Text: DOI OpenURL
Al-Saleh, Mohammad Ahmad Ali; Al-Farhoud, Suhaila Humoud Multivariate model for bankruptcy prediction. (English) Zbl 1173.62327 Adv. Appl. Stat. 11, No. 1, 29-45 (2009). MSC: 62P05 62H30 91B28 62H25 PDF BibTeX XML Cite \textit{M. A. A. Al-Saleh} and \textit{S. H. Al-Farhoud}, Adv. Appl. Stat. 11, No. 1, 29--45 (2009; Zbl 1173.62327) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{D. Xie}, Far East J. Appl. Math. 35, No. 2, 233--242 (2009; Zbl 1168.91405) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{Y. Orito} et al., Stud. Comput. Intell. 187, 1--11 (2009; Zbl 1169.91374) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. J. Kim}, Int. J. Contemp. Math. Sci. 4, No. 1--4, 133--137 (2009; Zbl 1168.91390) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{Z. Xu} et al., Mod. Appl. Sci. 3, No. 6, 67--72 (2009; Zbl 1171.91345) Full Text: DOI OpenURL
Nelson, Matthew L. (ed.); Shaw, Michael J. (ed.); Strader, Troy J. (ed.) Value creation in e-business management. 15th Americas conference on information systems, AMCIS 2009, SIGeBIZ track, San Francisco, CA, USA, August 6–9, 2009. Selected papers. (English) Zbl 1169.91006 Lecture Notes in Business Information Processing 36. Berlin: Springer (ISBN 978-3-642-03131-1/pbk). ix, 321 p. (2009). MSC: 91-06 91B26 91B28 00B25 PDF BibTeX XML Cite \textit{M. L. Nelson} (ed.) et al., Value creation in e-business management. 15th Americas conference on information systems, AMCIS 2009, SIGeBIZ track, San Francisco, CA, USA, August 6--9, 2009. Selected papers. Berlin: Springer (2009; Zbl 1169.91006) OpenURL
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 PDF BibTeX XML Cite \textit{L. Pospisil} et al., Stochastic Processes Appl. 119, No. 8, 2563--2578 (2009; Zbl 1167.91374) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Marsili} et al., J. Econ. Dyn. Control 33, No. 5, 1170--1181 (2009; Zbl 1170.91392) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{R. Franke}, J. Econ. Dyn. Control 33, No. 5, 1134--1158 (2009; Zbl 1170.91382) Full Text: DOI OpenURL
Stoica, George; Li, Deli Expected gains in the MacQueen-Heyde model. (English) Zbl 1170.91486 Stat. Probab. Lett. 79, No. 14, 1634-1636 (2009). MSC: 91B70 91B28 60G42 PDF BibTeX XML Cite \textit{G. Stoica} and \textit{D. Li}, Stat. Probab. Lett. 79, No. 14, 1634--1636 (2009; Zbl 1170.91486) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{Q. Zhou}, Stat. Probab. Lett. 79, No. 14, 1602--1607 (2009; Zbl 1169.91380) Full Text: DOI OpenURL
Yang, Zhou A system of variational inequalities arising from finite expiry Russian option with two regimes. (English) Zbl 1167.35558 Math. Methods Appl. Sci. 32, No. 13, 1681-1703 (2009). MSC: 35R35 35J85 49J40 91B28 PDF BibTeX XML Cite \textit{Z. Yang}, Math. Methods Appl. Sci. 32, No. 13, 1681--1703 (2009; Zbl 1167.35558) Full Text: DOI OpenURL
Ding, Yuanyao; Zhang, Bo Optimal portfolio of safety-first models. (English) Zbl 1168.62096 J. Stat. Plann. Inference 139, No. 9, 2952-2962 (2009). MSC: 62P05 91B28 65C60 PDF BibTeX XML Cite \textit{Y. Ding} and \textit{B. Zhang}, J. Stat. Plann. Inference 139, No. 9, 2952--2962 (2009; Zbl 1168.62096) Full Text: DOI OpenURL
Li, Ming-Yuan Leon Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test. (English) Zbl 1168.62097 Math. Comput. Simul. 79, No. 10, 3076-3088 (2009). MSC: 62P05 91B28 62M10 60J20 PDF BibTeX XML Cite \textit{M.-Y. L. Li}, Math. Comput. Simul. 79, No. 10, 3076--3088 (2009; Zbl 1168.62097) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
Ivorra, Benjamin; Mohammadi, Bijan; Ramos, Angel Manuel Optimization strategies in credit portfolio management. (English) Zbl 1169.90452 J. Glob. Optim. 43, No. 2-3, 415-427 (2009). MSC: 90C30 91B28 PDF BibTeX XML Cite \textit{B. Ivorra} et al., J. Glob. Optim. 43, No. 2--3, 415--427 (2009; Zbl 1169.90452) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{C. C. Heyde}, Math. Methods Oper. Res. 69, No. 3, 593--603 (2009; Zbl 1166.91016) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{S. Focardi} and \textit{F. J. Fabozzi}, Math. Methods Oper. Res. 69, No. 3, 379--394 (2009; Zbl 1163.91395) Full Text: DOI OpenURL
Rachev, Svetlozar T.; Fabozzi, Frank J. Introduction to special issue: Studies in mathematical and empirical finance. (English) Zbl 1163.91302 Math. Methods Oper. Res. 69, No. 3, 375-377 (2009). MSC: 91-06 91B28 PDF BibTeX XML Cite \textit{S. T. Rachev} and \textit{F. J. Fabozzi}, Math. Methods Oper. Res. 69, No. 3, 375--377 (2009; Zbl 1163.91302) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{K. Giesecke}, Jahresber. Dtsch. Math.-Ver. 111, No. 2, 57--83 (2009; Zbl 1165.91399) OpenURL
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 PDF BibTeX XML Cite \textit{M. Yousuf}, Appl. Math. Comput. 213, No. 1, 121--136 (2009; Zbl 1173.91022) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{C. A. Magni}, Eur. J. Oper. Res. 198, No. 1, 1--22 (2009; Zbl 1163.91415) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{M. Yousuf}, Int. J. Comput. Math. 86, No. 6, 1054--1067 (2009; Zbl 1163.91429) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. C. Mariani} et al., Int. J. Comput. Math. 86, No. 6, 1040--1053 (2009; Zbl 1163.91417) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \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 OpenURL
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 PDF BibTeX XML Cite \textit{B. Hofmann} et al., Int. J. Comput. Math. 86, No. 6, 992--1008 (2009; Zbl 1163.91403) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. Heider}, Int. J. Comput. Math. 86, No. 6, 982--991 (2009; Zbl 1163.91402) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{K. Jackson} and \textit{W. Zhang}, Int. J. Comput. Math. 86, No. 6, 955--963 (2009; Zbl 1163.91405) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. B. Walker}, Int. J. Comput. Math. 86, No. 6, 940--954 (2009; Zbl 1163.91426) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{R. Ruiz-Torrubiano} and \textit{A. Suárez}, Ann. Oper. Res. 166, 57--71 (2009; Zbl 1163.91421) Full Text: DOI OpenURL
Ziemba, William T. Use of stochastic and mathematical programming in portfolio theory and practice. (English) Zbl 1163.90689 Ann. Oper. Res. 166, 5-22 (2009). MSC: 90C15 91B28 PDF BibTeX XML Cite \textit{W. T. Ziemba}, Ann. Oper. Res. 166, 5--22 (2009; Zbl 1163.90689) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. De Palma} and \textit{J.-L. Prigent}, Ann. Oper. Res. 165, 161--185 (2009; Zbl 1163.91392) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Bellalah} and \textit{Z. Wu}, Ann. Oper. Res. 165, 123--143 (2009; Zbl 1163.91379) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Iaquinta} et al., Ann. Oper. Res. 165, 97--121 (2009; Zbl 1163.91404) Full Text: DOI OpenURL
Barro, Diana; Canestrelli, Elio Tracking error: a multistage portfolio model. (English) Zbl 1163.91378 Ann. Oper. Res. 165, 47-66 (2009). MSC: 91B28 90C15 PDF BibTeX XML Cite \textit{D. Barro} and \textit{E. Canestrelli}, Ann. Oper. Res. 165, 47--66 (2009; Zbl 1163.91378) Full Text: DOI OpenURL
Dupačová, Jitka; Polívka, Jan Asset-liability management for Czech pension funds using stochastic programming. (English) Zbl 1163.90681 Ann. Oper. Res. 165, 5-28 (2009). MSC: 90C15 91B28 PDF BibTeX XML Cite \textit{J. Dupačová} and \textit{J. Polívka}, Ann. Oper. Res. 165, 5--28 (2009; Zbl 1163.90681) Full Text: DOI Link OpenURL
Yang, Zhou; Yi, Fahuai A variational inequality arising from American installment call options pricing. (English) Zbl 1163.49009 J. Math. Anal. Appl. 357, No. 1, 54-68 (2009). MSC: 49J40 91B28 91B74 91B24 PDF BibTeX XML Cite \textit{Z. Yang} and \textit{F. Yi}, J. Math. Anal. Appl. 357, No. 1, 54--68 (2009; Zbl 1163.49009) Full Text: DOI OpenURL
Evstigneev, Igor; Kapoor, Dhruv Arbitrage in stationary markets. (English) Zbl 1165.91398 Decis. Econ. Finance 32, No. 1, 5-12 (2009). MSC: 91B28 91B26 PDF BibTeX XML Cite \textit{I. Evstigneev} and \textit{D. Kapoor}, Decis. Econ. Finance 32, No. 1, 5--12 (2009; Zbl 1165.91398) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{V. Cerra} et al., Open Econ. Rev. 20, No. 2, 147--181 (2009; Zbl 1163.91384) Full Text: DOI OpenURL
Becker, Bettina; Hall, Stephen G. Foreign direct investment in R&D and exchange rate uncertainty. (English) Zbl 1163.91526 Open Econ. Rev. 20, No. 2, 207-223 (2009). MSC: 91B84 91B28 PDF BibTeX XML Cite \textit{B. Becker} and \textit{S. G. Hall}, Open Econ. Rev. 20, No. 2, 207--223 (2009; Zbl 1163.91526) Full Text: DOI OpenURL