Jiang, Yifan; Li, Jinfeng Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients. (English) Zbl 07537234 Probab. Uncertain. Quant. Risk 6, No. 4, 391-408 (2021). MSC: 60H10 60H30 60H35 PDF BibTeX XML Cite \textit{Y. Jiang} and \textit{J. Li}, Probab. Uncertain. Quant. Risk 6, No. 4, 391--408 (2021; Zbl 07537234) Full Text: DOI OpenURL
Andreou, Elena; Ghysels, Eric Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors. (English) Zbl 1464.62414 J. Econom. 220, No. 2, 366-398 (2021). MSC: 62P05 62H25 91B84 PDF BibTeX XML Cite \textit{E. Andreou} and \textit{E. Ghysels}, J. Econom. 220, No. 2, 366--398 (2021; Zbl 1464.62414) Full Text: DOI OpenURL
Barczy, Mátyás; Nyul, Balázs; Pap, Gyula Least-squares estimation for the subcritical Heston model based on continuous-time observations. (English) Zbl 1420.91524 J. Stat. Theory Pract. 13, No. 1, Paper No. 18, 25 p. (2019). MSC: 91G70 62F12 60H10 60F05 62P05 PDF BibTeX XML Cite \textit{M. Barczy} et al., J. Stat. Theory Pract. 13, No. 1, Paper No. 18, 25 p. (2019; Zbl 1420.91524) Full Text: DOI arXiv Link OpenURL
Flore, Federico; Nappo, Giovanna A Feynman-Kac type formula for a fixed delay CIR model. (English) Zbl 1416.91384 Stochastic Anal. Appl. 37, No. 4, 550-573 (2019). MSC: 91G30 60H10 34K50 PDF BibTeX XML Cite \textit{F. Flore} and \textit{G. Nappo}, Stochastic Anal. Appl. 37, No. 4, 550--573 (2019; Zbl 1416.91384) Full Text: DOI arXiv OpenURL
Ismail, Amine; Pham, Huyên Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. (English) Zbl 1411.91511 Math. Finance 29, No. 1, 174-207 (2019). MSC: 91G10 90C47 PDF BibTeX XML Cite \textit{A. Ismail} and \textit{H. Pham}, Math. Finance 29, No. 1, 174--207 (2019; Zbl 1411.91511) Full Text: DOI arXiv OpenURL
Hefter, Mario; Jentzen, Arnulf On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. (English) Zbl 1425.91401 Finance Stoch. 23, No. 1, 139-172 (2019). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G20 91G30 60H10 PDF BibTeX XML Cite \textit{M. Hefter} and \textit{A. Jentzen}, Finance Stoch. 23, No. 1, 139--172 (2019; Zbl 1425.91401) Full Text: DOI arXiv OpenURL
Barczy, Mátyás; Alaya, Mohamed Ben; Kebaier, Ahmed; Pap, Gyula Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model. (English) Zbl 1391.60130 J. Stat. Plann. Inference 198, 139-164 (2019). MSC: 60H10 91G70 60F05 62F12 PDF BibTeX XML Cite \textit{M. Barczy} et al., J. Stat. Plann. Inference 198, 139--164 (2019; Zbl 1391.60130) Full Text: DOI arXiv Link OpenURL
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. (English) Zbl 1408.91209 SIAM J. Financ. Math. 9, No. 1, 127-170 (2018). MSC: 91G20 91G60 60H35 65C05 65C30 65N21 PDF BibTeX XML Cite \textit{A. Cozma} et al., SIAM J. Financ. Math. 9, No. 1, 127--170 (2018; Zbl 1408.91209) Full Text: DOI arXiv OpenURL
Hefter, Mario; Herzwurm, André Strong convergence rates for Cox-Ingersoll-Ross processes – full parameter range. (English) Zbl 1388.60117 J. Math. Anal. Appl. 459, No. 2, 1079-1101 (2018). MSC: 60H35 60H10 60J60 PDF BibTeX XML Cite \textit{M. Hefter} and \textit{A. Herzwurm}, J. Math. Anal. Appl. 459, No. 2, 1079--1101 (2018; Zbl 1388.60117) Full Text: DOI arXiv OpenURL
Hashimoto, Hiroya; Tsuchiya, Takahiro Stability problems for Cantor stochastic differential equations. (English) Zbl 1386.60268 Stochastic Processes Appl. 128, No. 1, 211-232 (2018). MSC: 60J55 41A25 PDF BibTeX XML Cite \textit{H. Hashimoto} and \textit{T. Tsuchiya}, Stochastic Processes Appl. 128, No. 1, 211--232 (2018; Zbl 1386.60268) Full Text: DOI arXiv OpenURL
Mrázek, Milan; Pospíšil, Jan Calibration and simulation of Heston model. (English) Zbl 1368.60061 Open Math. 15, 679-704 (2017). MSC: 60H10 60H35 65K10 91G20 91G60 PDF BibTeX XML Cite \textit{M. Mrázek} and \textit{J. Pospíšil}, Open Math. 15, 679--704 (2017; Zbl 1368.60061) Full Text: DOI OpenURL
Reisinger, Christoph; Cozma, Andrei Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process. (English) Zbl 1354.60078 Discrete Contin. Dyn. Syst., Ser. B 21, No. 10, 3359-3377 (2016). MSC: 60H35 60H10 65C30 91G60 91G80 PDF BibTeX XML Cite \textit{C. Reisinger} and \textit{A. Cozma}, Discrete Contin. Dyn. Syst., Ser. B 21, No. 10, 3359--3377 (2016; Zbl 1354.60078) Full Text: DOI arXiv OpenURL
Mishura, Yuliia; Munchak, Yevheniia Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model. (English) Zbl 1352.60050 Mod. Stoch., Theory Appl. 3, No. 1, 1-17 (2016). MSC: 60F17 60F05 60H10 60H30 91G80 91B25 PDF BibTeX XML Cite \textit{Y. Mishura} and \textit{Y. Munchak}, Mod. Stoch., Theory Appl. 3, No. 1, 1--17 (2016; Zbl 1352.60050) Full Text: DOI arXiv OpenURL
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene Risk-minimization for life insurance liabilities with basis risk. (English) Zbl 1404.91136 Math. Financ. Econ. 10, No. 2, 151-178 (2016). MSC: 91B30 62P05 62P20 60G44 PDF BibTeX XML Cite \textit{F. Biagini} et al., Math. Financ. Econ. 10, No. 2, 151--178 (2016; Zbl 1404.91136) Full Text: DOI OpenURL
Mishura, Yuliya The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process. (English) Zbl 1336.91079 Lith. Math. J. 55, No. 1, 134-149 (2015). Reviewer: Nikolaos Halidias (Athens) MSC: 91G20 91B25 60F05 PDF BibTeX XML Cite \textit{Y. Mishura}, Lith. Math. J. 55, No. 1, 134--149 (2015; Zbl 1336.91079) Full Text: DOI OpenURL
Dogan-Ciftci, Elife; Allen, Edward J. Derivation of several SDE systems in one- and two-locus population genetics. (English) Zbl 1307.60076 Stochastic Anal. Appl. 32, No. 5, 761-775 (2014). MSC: 60H10 60H15 92D25 65C30 PDF BibTeX XML Cite \textit{E. Dogan-Ciftci} and \textit{E. J. Allen}, Stochastic Anal. Appl. 32, No. 5, 761--775 (2014; Zbl 1307.60076) Full Text: DOI OpenURL
Graja, Asma; Jarraya, Aida; Masmoudi, Afif Implicit estimation for the stochastic volatility model. (English) Zbl 1358.62030 Commun. Stat., Theory Methods 43, No. 6, 1061-1076 (2014). MSC: 62F15 62P05 91G70 65C40 PDF BibTeX XML Cite \textit{A. Graja} et al., Commun. Stat., Theory Methods 43, No. 6, 1061--1076 (2014; Zbl 1358.62030) Full Text: DOI OpenURL
Ewald, Christian-Oliver; Menkens, Olaf; Hung Marten Ting, Sai Asian and Australian options: a common perspective. (English) Zbl 1402.91772 J. Econ. Dyn. Control 37, No. 5, 1001-1018 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{C.-O. Ewald} et al., J. Econ. Dyn. Control 37, No. 5, 1001--1018 (2013; Zbl 1402.91772) Full Text: DOI Link OpenURL
Liu, Wei; Mao, Xuerong Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations. (English) Zbl 1329.65018 Appl. Math. Comput. 223, 389-400 (2013). MSC: 65C30 PDF BibTeX XML Cite \textit{W. Liu} and \textit{X. Mao}, Appl. Math. Comput. 223, 389--400 (2013; Zbl 1329.65018) Full Text: DOI OpenURL
Bao, Jianhai; Yuan, Chenggui Long-term behavior of stochastic interest rate models with jumps and memory. (English) Zbl 1284.91558 Insur. Math. Econ. 53, No. 1, 266-272 (2013). MSC: 91G30 60J75 60H30 91B30 PDF BibTeX XML Cite \textit{J. Bao} and \textit{C. Yuan}, Insur. Math. Econ. 53, No. 1, 266--272 (2013; Zbl 1284.91558) Full Text: DOI arXiv OpenURL
Tse, S. T.; Wan, Justin W. L. Low-bias simulation scheme for the Heston model by inverse Gaussian approximation. (English) Zbl 1281.91191 Quant. Finance 13, No. 6, 919-937 (2013). MSC: 91G60 91B70 91G20 PDF BibTeX XML Cite \textit{S. T. Tse} and \textit{J. W. L. Wan}, Quant. Finance 13, No. 6, 919--937 (2013; Zbl 1281.91191) Full Text: DOI OpenURL
Belaribi, Nadia; Cuvelier, François; Russo, Francesco Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation. (English) Zbl 1426.76626 Stoch. Partial Differ. Equ., Anal. Comput. 1, No. 1, 3-62 (2013). MSC: 76M35 76M28 76S05 PDF BibTeX XML Cite \textit{N. Belaribi} et al., Stoch. Partial Differ. Equ., Anal. Comput. 1, No. 1, 3--62 (2013; Zbl 1426.76626) Full Text: DOI OpenURL
Malham, Simon J. A.; Wiese, Anke Chi-square simulation of the CIR process and the Heston model. (English) Zbl 1269.91104 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350014, 38 p. (2013). MSC: 91G80 60H10 62P05 PDF BibTeX XML Cite \textit{S. J. A. Malham} and \textit{A. Wiese}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350014, 38 p. (2013; Zbl 1269.91104) Full Text: DOI arXiv OpenURL
Giesecke, Kay; Spiliopoulos, Konstantinos; Sowers, Richard B. Default clustering in large portfolios: typical events. (English) Zbl 1262.91141 Ann. Appl. Probab. 23, No. 1, 348-385 (2013). MSC: 91G40 60H10 60G55 60G57 91G10 PDF BibTeX XML Cite \textit{K. Giesecke} et al., Ann. Appl. Probab. 23, No. 1, 348--385 (2013; Zbl 1262.91141) Full Text: DOI arXiv Euclid OpenURL
Dereich, Steffen; Neuenkirch, Andreas; Szpruch, Lukasz An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. (English) Zbl 1364.65013 Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 468, No. 2140, 1105-1115 (2012). MSC: 65C30 91G60 PDF BibTeX XML Cite \textit{S. Dereich} et al., Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 468, No. 2140, 1105--1115 (2012; Zbl 1364.65013) Full Text: DOI OpenURL
Ben Alaya, Mohamed; Kebaier, Ahmed Parameter estimation for the square-root diffusions: Ergodic and nonergodic cases. (English) Zbl 06117449 Stoch. Models 28, No. 4, 609-634 (2012). MSC: 62M05 60F05 PDF BibTeX XML Cite \textit{M. Ben Alaya} and \textit{A. Kebaier}, Stoch. Models 28, No. 4, 609--634 (2012; Zbl 06117449) Full Text: DOI HAL OpenURL
Pagès, Gilles; Panloup, Fabien Ergodic approximation of the distribution of a stationary diffusion: rate of convergence. (English) Zbl 1252.60080 Ann. Appl. Probab. 22, No. 3, 1059-1100 (2012). Reviewer: Pavel Stoynov (Sofia) MSC: 60J60 60G10 65C05 65D15 60F05 PDF BibTeX XML Cite \textit{G. Pagès} and \textit{F. Panloup}, Ann. Appl. Probab. 22, No. 3, 1059--1100 (2012; Zbl 1252.60080) Full Text: DOI arXiv Euclid OpenURL
Glasserman, Paul; Kim, Kyoung-Kuk Gamma expansion of the Heston stochastic volatility model. (English) Zbl 1302.60100 Finance Stoch. 15, No. 2, 267-296 (2011). MSC: 60H35 65C05 91B70 PDF BibTeX XML Cite \textit{P. Glasserman} and \textit{K.-K. Kim}, Finance Stoch. 15, No. 2, 267--296 (2011; Zbl 1302.60100) Full Text: DOI Link OpenURL
Zubchenko, V. P.; Mishura, Yu. S. Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure. (English. Russian original) Zbl 1235.60086 Ukr. Math. J. 63, No. 1, 49-73 (2011); translation from Ukr. Mat. Zh. 63, No. 1, 40-60 (2011). MSC: 60H35 65C30 91G80 PDF BibTeX XML Cite \textit{V. P. Zubchenko} and \textit{Yu. S. Mishura}, Ukr. Math. J. 63, No. 1, 49--73 (2011; Zbl 1235.60086); translation from Ukr. Mat. Zh. 63, No. 1, 40--60 (2011) Full Text: DOI OpenURL
Zubchenko, V. P. Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitz diffusion, and Poisson measures. (English. Ukrainian original) Zbl 1232.60048 Theory Probab. Math. Stat. 82, 11-26 (2011); translation from Teor. Jmovirn. Mat. Stat. No. 82, 30-42. MSC: 60H10 60J75 PDF BibTeX XML Cite \textit{V. P. Zubchenko}, Theory Probab. Math. Stat. 82, 11--26 (2011; Zbl 1232.60048); translation from Teor. Jmovirn. Mat. Stat. No. 82, 30--4 Full Text: DOI OpenURL
Gyöngy, István; Rásonyi, Miklós A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients. (English) Zbl 1226.60095 Stochastic Processes Appl. 121, No. 10, 2189-2200 (2011). MSC: 60H35 PDF BibTeX XML Cite \textit{I. Gyöngy} and \textit{M. Rásonyi}, Stochastic Processes Appl. 121, No. 10, 2189--2200 (2011; Zbl 1226.60095) Full Text: DOI Link OpenURL
Zhao, Juan Strong solutions of a class of stochastic differential equations with jumps. (English) Zbl 1202.60115 Stochastic Anal. Appl. 28, No. 5, 735-746 (2010). Reviewer: B. G. Pachpatte (Aurangabad) MSC: 60H35 60H20 60H10 PDF BibTeX XML Cite \textit{J. Zhao}, Stochastic Anal. Appl. 28, No. 5, 735--746 (2010; Zbl 1202.60115) Full Text: DOI arXiv OpenURL
Alfonsi, Aurélien High order discretization schemes for the CIR process: application to affine term structure and heston models. (English) Zbl 1198.60030 Math. Comput. 79, No. 269, 209-237 (2010). MSC: 60H35 65C30 91B70 PDF BibTeX XML Cite \textit{A. Alfonsi}, Math. Comput. 79, No. 269, 209--237 (2010; Zbl 1198.60030) Full Text: DOI OpenURL
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick A comparison of biased simulation schemes for stochastic volatility models. (English) Zbl 1198.91240 Quant. Finance 10, No. 2, 177-194 (2010). MSC: 91G70 91G60 PDF BibTeX XML Cite \textit{R. Lord} et al., Quant. Finance 10, No. 2, 177--194 (2010; Zbl 1198.91240) Full Text: DOI Link OpenURL
Pagès, Gilles; Panloup, Fabien Approximation of the distribution of a stationary Markov process with application to option pricing. (English) Zbl 1214.60036 Bernoulli 15, No. 1, 146-177 (2009). Reviewer: Pavel Stoynov (Sofia) MSC: 60J25 60G51 60J60 60J65 91G80 PDF BibTeX XML Cite \textit{G. Pagès} and \textit{F. Panloup}, Bernoulli 15, No. 1, 146--177 (2009; Zbl 1214.60036) Full Text: DOI arXiv OpenURL
Jentzen, A.; Kloeden, P. E.; Neuenkirch, A. Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients. (English) Zbl 1163.65003 Numer. Math. 112, No. 1, 41-64 (2009). MSC: 65C30 60H35 60H10 34F05 65L20 PDF BibTeX XML Cite \textit{A. Jentzen} et al., Numer. Math. 112, No. 1, 41--64 (2009; Zbl 1163.65003) Full Text: DOI OpenURL
Berkaoui, Abdel; Bossy, Mireille; Diop, Awa Euler scheme for SDEs with non-lipschitz diffusion coefficient: Strong convergence. (English) Zbl 1183.65004 ESAIM, Probab. Stat. 12, 1-11 (2008). MSC: 65C30 60H35 60H10 34F05 65L06 65L20 PDF BibTeX XML Cite \textit{A. Berkaoui} et al., ESAIM, Probab. Stat. 12, 1--11 (2008; Zbl 1183.65004) Full Text: DOI EuDML OpenURL
Biffis, Enrico; Millossovich, Pietro The fair value of guaranteed annuity options. (English) Zbl 1142.91036 Scand. Actuar. J. 2006, No. 1, 23-41 (2006). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{E. Biffis} and \textit{P. Millossovich}, Scand. Actuar. J. 2006, No. 1, 23--41 (2006; Zbl 1142.91036) Full Text: DOI OpenURL
Biffis, Enrico Affine processes for dynamic mortality and actuarial valuations. (English) Zbl 1129.91024 Insur. Math. Econ. 37, No. 3, 443-468 (2005). MSC: 91B30 60H10 60H30 PDF BibTeX XML Cite \textit{E. Biffis}, Insur. Math. Econ. 37, No. 3, 443--468 (2005; Zbl 1129.91024) Full Text: DOI OpenURL
Alfonsi, Aurélien On the discretization schemes for the CIR (and Bessel squared) processes. (English) Zbl 1100.65007 Monte Carlo Methods Appl. 11, No. 4, 355-384 (2005). Reviewer: Vigirdas Mackevičius (Vilnius) MSC: 65C30 60H20 60H35 45R05 65R20 PDF BibTeX XML Cite \textit{A. Alfonsi}, Monte Carlo Methods Appl. 11, No. 4, 355--384 (2005; Zbl 1100.65007) Full Text: DOI OpenURL
Rogers, L. C. G.; Stummer, Wolfgang Consistent fitting of one-factor models to interest rate data. (English) Zbl 1103.62368 Insur. Math. Econ. 27, No. 1, 45-63 (2000). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{L. C. G. Rogers} and \textit{W. Stummer}, Insur. Math. Econ. 27, No. 1, 45--63 (2000; Zbl 1103.62368) Full Text: DOI OpenURL