Hata, Hiroaki A long-term optimal consumption and investment problem with partial information. (English) Zbl 07897755 Math. Control Relat. Fields 14, No. 3, 867-895 (2024). MSC: 91G10 93E20 91B28 60H30 PDFBibTeX XMLCite \textit{H. Hata}, Math. Control Relat. Fields 14, No. 3, 867--895 (2024; Zbl 07897755) Full Text: DOI
Yang, Peng Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns. (English) Zbl 07850721 Commun. Stat., Theory Methods 53, No. 8, 3005-3039 (2024). MSC: 62P05 91B28 93E20 PDFBibTeX XMLCite \textit{P. Yang}, Commun. Stat., Theory Methods 53, No. 8, 3005--3039 (2024; Zbl 07850721) Full Text: DOI
Agazzotti, Gaetano; Aguilar, Jean-Philippe The bilateral generalized inverse Gaussian process with applications to financial modeling. arXiv:2407.10557 Preprint, arXiv:2407.10557 [math.PR] (2024). MSC: 60G51 60G46 60E07 60E10 91B28 BibTeX Cite \textit{G. Agazzotti} and \textit{J.-P. Aguilar}, ``The bilateral generalized inverse Gaussian process with applications to financial modeling'', Preprint, arXiv:2407.10557 [math.PR] (2024) Full Text: arXiv OA License
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
Yin, Kai; Mondal, Anirban Bayesian uncertainty quantification of local volatility model. (English) Zbl 07705117 Sankhyā, Ser. B 85, No. 1, Suppl., S290-S324 (2023). MSC: 62F15 91B28 60G15 65C05 65D25 PDFBibTeX XMLCite \textit{K. Yin} and \textit{A. Mondal}, Sankhyā, Ser. B 85, No. 1, S290--S324 (2023; Zbl 07705117) Full Text: DOI arXiv
Dutta, Santanu; Powdel, Tushar Kanti Modeling long term return distribution and nonparametric market risk estimation. (English) Zbl 07705116 Sankhyā, Ser. B 85, No. 1, Suppl., S257-S289 (2023). MSC: 62G05 91B28 PDFBibTeX XMLCite \textit{S. Dutta} and \textit{T. K. Powdel}, Sankhyā, Ser. B 85, No. 1, S257--S289 (2023; Zbl 07705116) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Z. Chen} et al., RAIRO, Oper. Res. 57, No. 2, 881--903 (2023; Zbl 07689352) Full Text: DOI OA License
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
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 PDFBibTeX XMLCite \textit{P. Yang} et al., Commun. Stat., Theory Methods 50, No. 11, 2546--2568 (2021; Zbl 07533682) Full Text: DOI
Hägele, Miriam; Lehtomaa, Jaakko On the identification of the riskiest directional components from multivariate heavy-tailed data. arXiv:2112.05759 Preprint, arXiv:2112.05759 [math.ST] (2021). MSC: 60E05 91B30 91B28 62P05 BibTeX Cite \textit{M. Hägele} and \textit{J. Lehtomaa}, ``On the identification of the riskiest directional components from multivariate heavy-tailed data'', Preprint, arXiv:2112.05759 [math.ST] (2021) Full Text: DOI arXiv OA License
Jacquier, Antoine; Malone, Emma R.; Oumgari, Mugad Stacked Monte Carlo for option pricing. arXiv:1903.10795 Preprint, arXiv:1903.10795 [q-fin.CP] (2019). MSC: 65C05 91B28 65C50 BibTeX Cite \textit{A. Jacquier} et al., ``Stacked Monte Carlo for option pricing'', Preprint, arXiv:1903.10795 [q-fin.CP] (2019) Full Text: arXiv OA License
Zhou, Qinglong; Zong, Gaofeng Time-Inconsistent Stochastic Linear-quadratic Differential Game. arXiv:1607.00638 Preprint, arXiv:1607.00638 [q-fin.MF] (2016). MSC: 91A23 60H10 91B28 BibTeX Cite \textit{Q. Zhou} and \textit{G. Zong}, ``Time-Inconsistent Stochastic Linear-quadratic Differential Game'', Preprint, arXiv:1607.00638 [q-fin.MF] (2016) Full Text: DOI arXiv OA License
Grimberg, Paz; Schuss, Zeev Stochastic model of a pension plan. arXiv:1407.0517 Preprint, arXiv:1407.0517 [q-fin.RM] (2014). MSC: 91Bxx 91B60 91B62 91B70 91B28 BibTeX Cite \textit{P. Grimberg} and \textit{Z. Schuss}, ``Stochastic model of a pension plan'', Preprint, arXiv:1407.0517 [q-fin.RM] (2014) Full Text: arXiv OA License
O, Hyong-chol; Ro, Yong-hwa; Wan, Ning The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations. arXiv:1310.8296 Preprint, arXiv:1310.8296 [q-fin.PR] (2013). MSC: 35C05 35K15 91B24 91B28 91B30 BibTeX Cite \textit{H.-c. O} et al., ``The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations'', Preprint, arXiv:1310.8296 [q-fin.PR] (2013) Full Text: DOI 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
Liang, G.; Lyons, T.; Qian, Z. A Functional Approach to FBSDEs and Its Application in Optimal Portfolios. arXiv:1011.4499 Preprint, arXiv:1011.4499 [math.PR] (2010). MSC: 60H30 65C30 91B28 BibTeX Cite \textit{G. Liang} et al., ``A Functional Approach to FBSDEs and Its Application in Optimal Portfolios'', Preprint, arXiv:1011.4499 [math.PR] (2010) Full Text: arXiv OA License
Brodén, Mats; Wiktorsson, Magnus Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy. arXiv:1004.4526 Preprint, arXiv:1004.4526 [q-fin.RM] (2010). MSC: 60F25 60F05 91B28 BibTeX Cite \textit{M. Brodén} and \textit{M. Wiktorsson}, ``Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy'', Preprint, arXiv:1004.4526 [q-fin.RM] (2010) 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
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 PDFBibTeX XMLCite \textit{C. M. Hafner} and \textit{P. H. Franses}, Econom. Rev. 28, No. 6, 612--631 (2009; Zbl 1172.62036) Full Text: DOI
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 PDFBibTeX XMLCite \textit{S. Hoti} et al., Econom. Rev. 28, No. 6, 522--554 (2009; Zbl 1172.62037) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{M. H. Pesaran} et al., Econom. Rev. 28, No. 6, 495--521 (2009; Zbl 1172.62038) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{S. Jiang} et al., Far East J. Appl. Math. 36, No. 1, 63--71 (2009; Zbl 1170.93022) Full Text: Link
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
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 PDFBibTeX XMLCite \textit{W. Liu} and \textit{B. Morley}, Asia-Pac. Financ. Mark. 16, No. 1, 51--63 (2009; Zbl 1170.91503) Full Text: DOI
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 PDFBibTeX XMLCite \textit{E. M. Walid}, Asia-Pac. Financ. Mark. 16, No. 1, 33--50 (2009; Zbl 1170.91495) Full Text: DOI
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 PDFBibTeX XMLCite \textit{N. Bruti-Liberati} et al., Asia-Pac. Financ. Mark. 16, No. 1, 1--31 (2009; Zbl 1170.91488) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{M. Podolskij} and \textit{M. Vetter}, Stochastic Processes Appl. 119, No. 9, 2803--2831 (2009; Zbl 1172.62039) 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
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 PDFBibTeX XMLCite \textit{R. Baldacci} et al., Comput. Manag. Sci. 6, No. 3, 281--306 (2009; Zbl 1170.90437) 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
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 PDFBibTeX XMLCite \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
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 PDFBibTeX XMLCite \textit{A. Hakim} and \textit{M. McAleer}, Math. Comput. Simul. 79, No. 9, 2830--2846 (2009; Zbl 1168.91495) Full Text: DOI
Fukiharu, T. Asset market equilibrium: A simulation. (English) Zbl 1168.91435 Math. Comput. Simul. 79, No. 9, 2819-2829 (2009). MSC: 91B52 91B28 PDFBibTeX XMLCite \textit{T. Fukiharu}, Math. Comput. Simul. 79, No. 9, 2819--2829 (2009; Zbl 1168.91435) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y.-F. Chow} et al., Math. Comput. Simul. 79, No. 9, 2809--2818 (2009; Zbl 1168.91470) Full Text: DOI
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 PDFBibTeX XMLCite \textit{D. Oron} et al., Discrete Optim. 6, No. 3, 299--309 (2009; Zbl 1167.90515) Full Text: DOI
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 PDFBibTeX XMLCite \textit{K. Schöttle} and \textit{R. Werner}, Optimization 58, No. 6, 641--663 (2009; Zbl 1167.90618) Full Text: DOI
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 PDFBibTeX XMLCite \textit{A. Camcı} and \textit{M. Ç. Pınar}, Optimization 58, No. 6, 627--640 (2009; Zbl 1167.90599) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{A. Černý}, Mathematical techniques in finance. Tools for incomplete markets. 2nd ed. Princeton, NJ: Princeton University Press (2009; Zbl 1173.91001)
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 PDFBibTeX XMLCite \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
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
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 PDFBibTeX XMLCite \textit{M. Grasselli} and \textit{V. Henderson}, J. Econ. Dyn. Control 33, No. 1, 109--127 (2009; Zbl 1170.91413) Full Text: DOI
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 PDFBibTeX XMLCite \textit{D. Rosen} and \textit{D. Saunders}, J. Econ. Dyn. Control 33, No. 1, 37--52 (2009; Zbl 1170.91417) Full Text: DOI
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 PDFBibTeX XMLCite \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
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
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 PDFBibTeX XMLCite \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)
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
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 PDFBibTeX XMLCite \textit{G. Stoica} and \textit{D. Li}, Stat. Probab. Lett. 79, No. 14, 1634--1636 (2009; Zbl 1170.91486) 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
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 PDFBibTeX XMLCite \textit{Z. Yang}, Math. Methods Appl. Sci. 32, No. 13, 1681--1703 (2009; Zbl 1167.35558) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Ding} and \textit{B. Zhang}, J. Stat. Plann. Inference 139, No. 9, 2952--2962 (2009; Zbl 1168.62096) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M.-Y. L. Li}, Math. Comput. Simul. 79, No. 10, 3076--3088 (2009; Zbl 1168.62097) 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
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 PDFBibTeX XMLCite \textit{B. Ivorra} et al., J. Glob. Optim. 43, No. 2--3, 415--427 (2009; Zbl 1169.90452) Full Text: DOI Link
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
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 PDFBibTeX XMLCite \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
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
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 PDFBibTeX XMLCite \textit{W. T. Ziemba}, Ann. Oper. Res. 166, 5--22 (2009; Zbl 1163.90689) Full Text: DOI