Elliott, Robert; Madan, Dilip B.; Siu, Tak Kuen Lower and upper pricing of financial assets. (English) Zbl 07537239 Probab. Uncertain. Quant. Risk 7, No. 1, 45-66 (2022). MSC: 91G30 PDF BibTeX XML Cite \textit{R. Elliott} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 45--66 (2022; Zbl 07537239) Full Text: DOI OpenURL
Elliott, R. J.; Siu, T. K. A generalized Esscher transform for option valuation with regime switching risk. (English) Zbl 07532607 Quant. Finance 22, No. 4, 691-705 (2022). MSC: 91G20 91G80 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 22, No. 4, 691--705 (2022; Zbl 07532607) Full Text: DOI OpenURL
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. Bond market completeness under stochastic strings with distribution-valued strategies. (English) Zbl 1484.91470 Quant. Finance 22, No. 2, 197-211 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{A. Bueno-Guerrero} et al., Quant. Finance 22, No. 2, 197--211 (2022; Zbl 1484.91470) Full Text: DOI OpenURL
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal Price impact on term structure. (English) Zbl 1484.91494 Quant. Finance 22, No. 1, 171-195 (2022). MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{D. Brigo} et al., Quant. Finance 22, No. 1, 171--195 (2022; Zbl 1484.91494) Full Text: DOI OpenURL
Raimbourg, Philippe; Zimmermann, Paul Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (English) Zbl 07478901 Eur. J. Oper. Res. 298, No. 1, 351-367 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Raimbourg} and \textit{P. Zimmermann}, Eur. J. Oper. Res. 298, No. 1, 351--367 (2022; Zbl 07478901) Full Text: DOI OpenURL
Jaimungal, Sebastian Reinforcement learning and stochastic optimisation. (English) Zbl 1482.91225 Finance Stoch. 26, No. 1, 103-129 (2022). MSC: 91G80 93E20 68T07 91A15 PDF BibTeX XML Cite \textit{S. Jaimungal}, Finance Stoch. 26, No. 1, 103--129 (2022; Zbl 1482.91225) Full Text: DOI OpenURL
Runggaldier, Wolfgang J. An Italian perspective on the development of financial mathematics from 1992 to 2008. (English) Zbl 1482.91228 Finance Stoch. 26, No. 1, 5-31 (2022). MSC: 91G99 91-03 PDF BibTeX XML Cite \textit{W. J. Runggaldier}, Finance Stoch. 26, No. 1, 5--31 (2022; Zbl 1482.91228) Full Text: DOI OpenURL
Carassus, Laurence; Lépinette, Emmanuel Pricing without no-arbitrage condition in discrete time. (English) Zbl 1471.91526 J. Math. Anal. Appl. 505, No. 1, Article ID 125441, 21 p. (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{L. Carassus} and \textit{E. Lépinette}, J. Math. Anal. Appl. 505, No. 1, Article ID 125441, 21 p. (2022; Zbl 1471.91526) Full Text: DOI arXiv OpenURL
Lepinette, Emmanuel; Vu, Duc Thinh Coherent risk measure on \(L^0\): NA condition, pricing and dual representation. (English) Zbl 1484.91457 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150037, 26 p. (2021). MSC: 91G15 91G70 PDF BibTeX XML Cite \textit{E. Lepinette} and \textit{D. T. Vu}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150037, 26 p. (2021; Zbl 1484.91457) Full Text: DOI OpenURL
Morozov, V. V. A refinement of the Farkas lemma. (English. Russian original) Zbl 1486.90122 Mosc. Univ. Comput. Math. Cybern. 45, No. 4, 174-179 (2021); translation from Vestn. Mosk. Univ., Ser. XV 2021, No. 4, 37-42 (2021). MSC: 90C05 PDF BibTeX XML Cite \textit{V. V. Morozov}, Mosc. Univ. Comput. Math. Cybern. 45, No. 4, 174--179 (2021; Zbl 1486.90122); translation from Vestn. Mosk. Univ., Ser. XV 2021, No. 4, 37--42 (2021) Full Text: DOI OpenURL
Carbonneau, Alexandre; Godin, Frédéric Equal risk pricing of derivatives with deep hedging. (English) Zbl 1476.91177 Quant. Finance 21, No. 4, 593-608 (2021). MSC: 91G20 68T07 91G70 PDF BibTeX XML Cite \textit{A. Carbonneau} and \textit{F. Godin}, Quant. Finance 21, No. 4, 593--608 (2021; Zbl 1476.91177) Full Text: DOI arXiv OpenURL
Baamonde-Seoane, María A.; del Carmen Calvo-Garrido, María; Coulon, Michael; Vázquez, Carlos Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs). (English) Zbl 07424114 Appl. Math. Comput. 404, Article ID 126199, 12 p. (2021). MSC: 65Lxx 35Jxx 76Axx 76Dxx 76Mxx PDF BibTeX XML Cite \textit{M. A. Baamonde-Seoane} et al., Appl. Math. Comput. 404, Article ID 126199, 12 p. (2021; Zbl 07424114) Full Text: DOI OpenURL
Brigo, Damiano; Pisani, Camilla; Rapisarda, Francesco The multivariate mixture dynamics model: shifted dynamics and correlation skew. (English) Zbl 1475.91350 Ann. Oper. Res. 299, No. 1-2, 1411-1435 (2021). MSC: 91G20 60H10 62P05 PDF BibTeX XML Cite \textit{D. Brigo} et al., Ann. Oper. Res. 299, No. 1--2, 1411--1435 (2021; Zbl 1475.91350) Full Text: DOI arXiv OpenURL
Carbonneau, Alexandre Deep hedging of long-term financial derivatives. (English) Zbl 1467.91138 Insur. Math. Econ. 99, 327-340 (2021). MSC: 91G05 91G20 68T07 PDF BibTeX XML Cite \textit{A. Carbonneau}, Insur. Math. Econ. 99, 327--340 (2021; Zbl 1467.91138) Full Text: DOI arXiv OpenURL
Rujivan, Sanae; Rakwongwan, Udomsak Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives. (English) Zbl 1464.91073 Commun. Nonlinear Sci. Numer. Simul. 100, Article ID 105849, 29 p. (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Rujivan} and \textit{U. Rakwongwan}, Commun. Nonlinear Sci. Numer. Simul. 100, Article ID 105849, 29 p. (2021; Zbl 1464.91073) Full Text: DOI OpenURL
Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete Martingale optimal transport duality. (English) Zbl 1462.49072 Math. Ann. 379, No. 3-4, 1685-1712 (2021). Reviewer: Andrew Bucki (Edmond) MSC: 49Q22 49N15 60B05 60G44 91B24 91G20 PDF BibTeX XML Cite \textit{P. Cheridito} et al., Math. Ann. 379, No. 3--4, 1685--1712 (2021; Zbl 1462.49072) Full Text: DOI arXiv OpenURL
Smirnov, S. N. A guaranteed deterministic approach to superhedging: no arbitrage properties of the market. (English. Russian original) Zbl 1460.91276 Autom. Remote Control 82, No. 1, 172-187 (2021); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68-95 (2019). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Autom. Remote Control 82, No. 1, 172--187 (2021; Zbl 1460.91276); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68--95 (2019) Full Text: DOI OpenURL
Chavez-Bedoya, Luis; Castaneda, Ranu A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems. (English) Zbl 1460.91214 Insur. Math. Econ. 97, 7-23 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{L. Chavez-Bedoya} and \textit{R. Castaneda}, Insur. Math. Econ. 97, 7--23 (2021; Zbl 1460.91214) Full Text: DOI OpenURL
Fontana, Claudio; Runggaldier, Wolfgang J. Arbitrage concepts under trading restrictions in discrete-time financial markets. (English) Zbl 1458.91204 J. Math. Econ. 92, 66-80 (2021). MSC: 91G15 91G10 PDF BibTeX XML Cite \textit{C. Fontana} and \textit{W. J. Runggaldier}, J. Math. Econ. 92, 66--80 (2021; Zbl 1458.91204) Full Text: DOI arXiv OpenURL
Chen, Xu; Zhuo, WenYan Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model. (English) Zbl 07529981 Commun. Stat., Theory Methods 49, No. 23, 5738-5764 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{X. Chen} and \textit{W. Zhuo}, Commun. Stat., Theory Methods 49, No. 23, 5738--5764 (2020; Zbl 07529981) Full Text: DOI OpenURL
Armstrong, J. Classifying financial markets up to isomorphism. (English) Zbl 1472.91045 Proc. R. Soc. Lond., A, Math. Phys. Eng. Sci. 476, No. 2241, Article ID 20200264, 16 p. (2020). MSC: 91G15 PDF BibTeX XML Cite \textit{J. Armstrong}, Proc. R. Soc. Lond., A, Math. Phys. Eng. Sci. 476, No. 2241, Article ID 20200264, 16 p. (2020; Zbl 1472.91045) Full Text: DOI arXiv OpenURL
Bouzianis, George; Hughston, Lane P. Optimal hedging in incomplete markets. (English) Zbl 1466.91327 Appl. Math. Finance 27, No. 4, 265-287 (2020). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{G. Bouzianis} and \textit{L. P. Hughston}, Appl. Math. Finance 27, No. 4, 265--287 (2020; Zbl 1466.91327) Full Text: DOI arXiv OpenURL
Brown, Martin; Zastawniak, Tomasz Fundamental theorem of asset pricing under fixed and proportional transaction costs. (English) Zbl 1461.91325 Ann. Finance 16, No. 3, 423-433 (2020). MSC: 91G30 60G44 PDF BibTeX XML Cite \textit{M. Brown} and \textit{T. Zastawniak}, Ann. Finance 16, No. 3, 423--433 (2020; Zbl 1461.91325) Full Text: DOI arXiv OpenURL
Blanchard, Romain; Carassus, Laurence No-arbitrage with multiple-priors in discrete time. (English) Zbl 1458.91234 Stochastic Processes Appl. 130, No. 11, 6657-6688 (2020). MSC: 91G99 PDF BibTeX XML Cite \textit{R. Blanchard} and \textit{L. Carassus}, Stochastic Processes Appl. 130, No. 11, 6657--6688 (2020; Zbl 1458.91234) Full Text: DOI arXiv OpenURL
Van Bakel, Sjoerd; Borovkova, Svetlana; Michielon, Matteo Conic CVA and DVA for option portfolios. (English) Zbl 1457.91393 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{S. Van Bakel} et al., Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020; Zbl 1457.91393) Full Text: DOI OpenURL
Le Courtois, Olivier; Lévy-Véhel, Jacques; Walter, Christian Regulation risk. (English) Zbl 1454.91341 N. Am. Actuar. J. 24, No. 3, 463-474 (2020). MSC: 91G45 91G70 PDF BibTeX XML Cite \textit{O. Le Courtois} et al., N. Am. Actuar. J. 24, No. 3, 463--474 (2020; Zbl 1454.91341) Full Text: DOI OpenURL
Lin, Sha; He, Xin-Jiang A regime switching fractional Black-Scholes model and European option pricing. (English) Zbl 1448.91299 Commun. Nonlinear Sci. Numer. Simul. 85, Article ID 105222, 11 p. (2020). MSC: 91G20 35R11 35Q91 91G60 42A99 PDF BibTeX XML Cite \textit{S. Lin} and \textit{X.-J. He}, Commun. Nonlinear Sci. Numer. Simul. 85, Article ID 105222, 11 p. (2020; Zbl 1448.91299) Full Text: DOI OpenURL
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. (English) Zbl 1448.91294 Quant. Finance 20, No. 2, 291-310 (2020); correction ibid. 20, No. 2, ei (2020). MSC: 91G20 60G40 60J74 PDF BibTeX XML Cite \textit{G. H. L. Cheang} and \textit{L. P. D. M. Garces}, Quant. Finance 20, No. 2, 291--310 (2020; Zbl 1448.91294) Full Text: DOI arXiv OpenURL
Filipović, Damir; Larsson, Martin Polynomial jump-diffusion models. (English) Zbl 1450.60038 Stoch. Syst. 10, No. 1, 71-97 (2020). MSC: 60J25 60J60 91G20 60H30 PDF BibTeX XML Cite \textit{D. Filipović} and \textit{M. Larsson}, Stoch. Syst. 10, No. 1, 71--97 (2020; Zbl 1450.60038) Full Text: DOI arXiv OpenURL
Borwein, Jonathan M.; Zhu, Qiji J. Entropy maximization in finance. (English) Zbl 1447.91155 Bailey, David H. (ed.) et al., From analysis to visualization. A celebration of the life and legacy of Jonathan M. Borwein, Callaghan, Australia, September 25–29, 2017. Cham: Springer. Springer Proc. Math. Stat. 313, 275-295 (2020). MSC: 91G10 91G80 60G44 94A17 PDF BibTeX XML Cite \textit{J. M. Borwein} and \textit{Q. J. Zhu}, Springer Proc. Math. Stat. 313, 275--295 (2020; Zbl 1447.91155) Full Text: DOI OpenURL
Vidal Nunes, João Pedro; Ruas, João Pedro; Dias, José Carlos Early exercise boundaries for American-style knock-out options. (English) Zbl 1441.91079 Eur. J. Oper. Res. 285, No. 2, 753-766 (2020). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{J. P. Vidal Nunes} et al., Eur. J. Oper. Res. 285, No. 2, 753--766 (2020; Zbl 1441.91079) Full Text: DOI OpenURL
Wang, Anjiao The pricing of total return swap under default contagion models with jump-diffusion interest rate risk. (English) Zbl 1457.60111 Indian J. Pure Appl. Math. 51, No. 1, 361-373 (2020). MSC: 60H30 60J60 60J76 91G20 91G40 PDF BibTeX XML Cite \textit{A. Wang}, Indian J. Pure Appl. Math. 51, No. 1, 361--373 (2020; Zbl 1457.60111) Full Text: DOI OpenURL
Wu, Lixin; Zhang, Dawei xVA: Definition, evaluation and risk management. (English) Zbl 1443.91303 Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050006, 24 p. (2020). MSC: 91G20 91G10 91G40 PDF BibTeX XML Cite \textit{L. Wu} and \textit{D. Zhang}, Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050006, 24 p. (2020; Zbl 1443.91303) Full Text: DOI OpenURL
Hsu, Yu-Sheng; Wu, Cheng-Hsun Extended Black and Scholes model under bankruptcy risk. (English) Zbl 1427.91275 J. Math. Anal. Appl. 482, No. 2, Article ID 123564, 22 p. (2020). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Y.-S. Hsu} and \textit{C.-H. Wu}, J. Math. Anal. Appl. 482, No. 2, Article ID 123564, 22 p. (2020; Zbl 1427.91275) Full Text: DOI OpenURL
Arraut, Ivan; Au, Alan; Tse, Alan Ching-biu; Segovia, Carlos The connection between multiple prices of an option at a given time with single prices defined at different times: the concept of weak-value in quantum finance. (English) Zbl 07566455 Physica A 526, Article ID 121028, 19 p. (2019). MSC: 82-XX PDF BibTeX XML Cite \textit{I. Arraut} et al., Physica A 526, Article ID 121028, 19 p. (2019; Zbl 07566455) Full Text: DOI OpenURL
Phewchean, N.; Wu, Y. European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield. (English) Zbl 1485.91230 Adv. Difference Equ. 2019, Paper No. 277, 15 p. (2019). MSC: 91G20 91B70 91G30 PDF BibTeX XML Cite \textit{N. Phewchean} and \textit{Y. Wu}, Adv. Difference Equ. 2019, Paper No. 277, 15 p. (2019; Zbl 1485.91230) Full Text: DOI OpenURL
Bekiros, Stelios; Kouloumpou, Dimitra On the pricing of exotic options: a new closed-form valuation approach. (English) Zbl 1448.91292 Chaos Solitons Fractals 122, 153-162 (2019). MSC: 91G20 60J65 60J70 PDF BibTeX XML Cite \textit{S. Bekiros} and \textit{D. Kouloumpou}, Chaos Solitons Fractals 122, 153--162 (2019; Zbl 1448.91292) Full Text: DOI OpenURL
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDF BibTeX XML Cite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI arXiv OpenURL
Guillaume, Tristan On the multidimensional Black-Scholes partial differential equation. (English) Zbl 1456.35100 Ann. Oper. Res. 281, No. 1-2, 229-251 (2019). Reviewer: Miklavž Mastinšek (Maribor) MSC: 35K10 35Q91 91G20 35A08 PDF BibTeX XML Cite \textit{T. Guillaume}, Ann. Oper. Res. 281, No. 1--2, 229--251 (2019; Zbl 1456.35100) Full Text: DOI OpenURL
Simard, Clarence; Rémillard, Bruno Pricing European options in a discrete time model for the limit order book. (English) Zbl 1430.91115 Methodol. Comput. Appl. Probab. 21, No. 3, 985-1005 (2019). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{C. Simard} and \textit{B. Rémillard}, Methodol. Comput. Appl. Probab. 21, No. 3, 985--1005 (2019; Zbl 1430.91115) Full Text: DOI OpenURL
Basnarkov, Lasko; Stojkoski, Viktor; Utkovski, Zoran; Kocarev, Ljupco Option pricing with heavy-tailed distributions of logarithmic returns. (English) Zbl 1429.91315 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950041, 35 p. (2019). MSC: 91G20 62P05 62G32 PDF BibTeX XML Cite \textit{L. Basnarkov} et al., Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950041, 35 p. (2019; Zbl 1429.91315) Full Text: DOI arXiv OpenURL
Zhao, Jun; Lépinette, Emmanuel; Zhao, Peibiao Pricing under dynamic risk measures. (English) Zbl 1425.91411 Open Math. 17, 894-905 (2019). MSC: 91G20 91G80 91B30 49J53 60D05 PDF BibTeX XML Cite \textit{J. Zhao} et al., Open Math. 17, 894--905 (2019; Zbl 1425.91411) Full Text: DOI OpenURL
Mbodji, O. S.; Nguyen-Huu, A.; Pirvu, T. A. Optimal sharing rule for a household with a portfolio management problem. (English) Zbl 1426.91253 Math. Soc. Sci. 101, 88-98 (2019). MSC: 91G10 91B42 PDF BibTeX XML Cite \textit{O. S. Mbodji} et al., Math. Soc. Sci. 101, 88--98 (2019; Zbl 1426.91253) Full Text: DOI arXiv OpenURL
Welemical, Tesfamariam Tadesse; Aduda, Jane Akinyi; Mbele Bidima, Martin Le Doux Asymptotic exponential arbitrage in the Schwartz commodity futures model. (English) Zbl 1487.91142 Int. J. Math. Math. Sci. 2019, Article ID 9450435, 8 p. (2019). MSC: 91G20 60F10 60G44 PDF BibTeX XML Cite \textit{T. T. Welemical} et al., Int. J. Math. Math. Sci. 2019, Article ID 9450435, 8 p. (2019; Zbl 1487.91142) Full Text: DOI OpenURL
Smirnov, Sergeiĭ N. A guaranteed deterministic approach to superhedging: no arbitrage market condition. (Russian. English summary) Zbl 1426.91278 Mat. Teor. Igr Prilozh. 11, No. 2, 68-95 (2019); translation in Autom. Remote Control 2021, No. 1, 172-187 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 11, No. 2, 68--95 (2019; Zbl 1426.91278); translation in Autom. Remote Control 2021, No. 1, 172--187 (2021) Full Text: MNR OpenURL
Kühn, Christoph; Molitor, Alexander Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. (English) Zbl 1444.91216 Finance Stoch. 23, No. 4, 1049-1077 (2019). MSC: 91G30 91G15 PDF BibTeX XML Cite \textit{C. Kühn} and \textit{A. Molitor}, Finance Stoch. 23, No. 4, 1049--1077 (2019; Zbl 1444.91216) Full Text: DOI arXiv OpenURL
Burnecki, Krzysztof; Giuricich, Mario Nicoló; Palmowski, Zbigniew Valuation of contingent convertible catastrophe bonds – the case for equity conversion. (English) Zbl 1425.91215 Insur. Math. Econ. 88, 238-254 (2019). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{K. Burnecki} et al., Insur. Math. Econ. 88, 238--254 (2019; Zbl 1425.91215) Full Text: DOI arXiv OpenURL
Frahm, Gabriel; Jonen, Alexander; Schüssler, Rainer The fundamental theorems of asset pricing and the closed-end fund puzzle. (English) Zbl 1422.91651 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950025, 31 p. (2019). MSC: 91G10 91B25 PDF BibTeX XML Cite \textit{G. Frahm} et al., Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950025, 31 p. (2019; Zbl 1422.91651) Full Text: DOI OpenURL
Duong, Quang Dien Application of Bayesian penalized spline regression for internal modeling in life insurance. (English) Zbl 1422.91342 Eur. Actuar. J. 9, No. 1, 67-107 (2019). MSC: 91B30 62P05 62G08 PDF BibTeX XML Cite \textit{Q. D. Duong}, Eur. Actuar. J. 9, No. 1, 67--107 (2019; Zbl 1422.91342) Full Text: DOI OpenURL
Mykland, Per Aslak Combining statistical intervals and market prices: the worst case state price distribution. (English) Zbl 1452.91311 J. Econom. 212, No. 1, 272-285 (2019). MSC: 91G20 60H30 62P05 91G70 PDF BibTeX XML Cite \textit{P. A. Mykland}, J. Econom. 212, No. 1, 272--285 (2019; Zbl 1452.91311) Full Text: DOI OpenURL
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre A general class of distortion operators for pricing contingent claims with applications to CAT bonds. (English) Zbl 1422.91695 Scand. Actuar. J. 2019, No. 7, 558-584 (2019). MSC: 91G20 91B30 62P05 PDF BibTeX XML Cite \textit{F. Godin} et al., Scand. Actuar. J. 2019, No. 7, 558--584 (2019; Zbl 1422.91695) Full Text: DOI OpenURL
Kang, Yuan Bao Martingale representation theorem for \(G\)-Brownian motion. (English) Zbl 07054374 Stochastic Anal. Appl. 37, No. 1, 19-35 (2019). MSC: 60H10 60H05 60H30 PDF BibTeX XML Cite \textit{Y. B. Kang}, Stochastic Anal. Appl. 37, No. 1, 19--35 (2019; Zbl 07054374) Full Text: DOI OpenURL
Glanzer, Martin; Pflug, Georg Ch.; Pichler, Alois Incorporating statistical model error into the calculation of acceptability prices of contingent claims. (English) Zbl 1421.90095 Math. Program. 174, No. 1-2 (B), 499-524 (2019). MSC: 90C15 91B25 52A41 62P05 PDF BibTeX XML Cite \textit{M. Glanzer} et al., Math. Program. 174, No. 1--2 (B), 499--524 (2019; Zbl 1421.90095) Full Text: DOI arXiv OpenURL
Momeya, Romuald Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model. (English) Zbl 07553404 Stochastics 90, No. 8, 1238-1275 (2018). MSC: 91G20 49L25 60G51 45K05 PDF BibTeX XML Cite \textit{R. Momeya}, Stochastics 90, No. 8, 1238--1275 (2018; Zbl 07553404) Full Text: DOI OpenURL
Glonti, O. A.; Purtukhiya, O. G. Hedging of the European option with nonsmooth payment function. (English. Russian original) Zbl 1426.91266 Ukr. Math. J. 70, No. 6, 890-905 (2018); translation from Ukr. Mat. Zh. 70, No. 6, 773-787 (2018). MSC: 91G20 60H05 PDF BibTeX XML Cite \textit{O. A. Glonti} and \textit{O. G. Purtukhiya}, Ukr. Math. J. 70, No. 6, 890--905 (2018; Zbl 1426.91266); translation from Ukr. Mat. Zh. 70, No. 6, 773--787 (2018) Full Text: DOI OpenURL
Divos, Peter; Del Bano Rollin, Sebastian; Bihari, Zsolt; Aste, Tomaso Risk-neutral pricing and hedging of in-play football bets. (English) Zbl 1411.91161 Appl. Math. Finance 25, No. 4, 315-335 (2018). MSC: 91A60 91B25 PDF BibTeX XML Cite \textit{P. Divos} et al., Appl. Math. Finance 25, No. 4, 315--335 (2018; Zbl 1411.91161) Full Text: DOI arXiv OpenURL
Bellalah, Mondher On information costs, short sales and the pricing of extendible options, steps and Parisian options. (English) Zbl 1416.91367 Ann. Oper. Res. 262, No. 2, 361-387 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{M. Bellalah}, Ann. Oper. Res. 262, No. 2, 361--387 (2018; Zbl 1416.91367) Full Text: DOI OpenURL
Zhang, Yi; Gao, Jinwu; An, Qi International investing in uncertain financial market. (English) Zbl 1398.91559 Soft Comput. 22, No. 16, 5335-5346 (2018). MSC: 91G10 91G20 28E10 PDF BibTeX XML Cite \textit{Y. Zhang} et al., Soft Comput. 22, No. 16, 5335--5346 (2018; Zbl 1398.91559) Full Text: DOI OpenURL
Pennanen, Teemu; Perkkiö, Ari-Pekka Convex duality in optimal investment and contingent claim valuation in illiquid markets. (English) Zbl 1416.91358 Finance Stoch. 22, No. 4, 733-771 (2018). MSC: 91G10 49N15 PDF BibTeX XML Cite \textit{T. Pennanen} and \textit{A.-P. Perkkiö}, Finance Stoch. 22, No. 4, 733--771 (2018; Zbl 1416.91358) Full Text: DOI arXiv OpenURL
Frahm, Gabriel Arbitrage pricing theory in ergodic markets. (English) Zbl 1396.91822 Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850036, 28 p. (2018). MSC: 91G99 91B24 PDF BibTeX XML Cite \textit{G. Frahm}, Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850036, 28 p. (2018; Zbl 1396.91822) Full Text: DOI OpenURL
Romagnoli, Silvia Measure-invariance of copula functions as tool for testing no-arbitrage assumption. (English) Zbl 1384.62302 J. Comput. Appl. Math. 338, 80-90 (2018). MSC: 62P05 62M10 62H05 62G10 91G20 PDF BibTeX XML Cite \textit{S. Romagnoli}, J. Comput. Appl. Math. 338, 80--90 (2018; Zbl 1384.62302) Full Text: DOI OpenURL
Chen, Zhen-qing; Feng, Xinwei Backward stochastic differential equations with rank-based data. (English) Zbl 1390.60202 Sci. China, Math. 61, No. 1, 27-56 (2018). MSC: 60H10 60H30 35K55 PDF BibTeX XML Cite \textit{Z.-q. Chen} and \textit{X. Feng}, Sci. China, Math. 61, No. 1, 27--56 (2018; Zbl 1390.60202) Full Text: DOI OpenURL
Temocin, Busra Zeynep; Korn, Ralf; Selcuk-Kestel, A. Sevtap Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. (English) Zbl 1404.91147 Ann. Oper. Res. 260, No. 1-2, 515-544 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{B. Z. Temocin} et al., Ann. Oper. Res. 260, No. 1--2, 515--544 (2018; Zbl 1404.91147) Full Text: DOI OpenURL
Hsieh, Ming-hua; Wang, Jennifer L.; Chiu, Yu-Fen; Chen, Yen-Chih Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach. (English) Zbl 1398.91332 Insur. Math. Econ. 78, 246-254 (2018). MSC: 91B30 91G20 91G60 PDF BibTeX XML Cite \textit{M.-h. Hsieh} et al., Insur. Math. Econ. 78, 246--254 (2018; Zbl 1398.91332) Full Text: DOI OpenURL
Tang, Mei-Ling; Chen, Son-Nan; Lai, Gene C.; Wu, Ting-Pin Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (English) Zbl 1398.91355 Insur. Math. Econ. 78, 87-104 (2018). MSC: 91B30 91G30 90C15 90C39 PDF BibTeX XML Cite \textit{M.-L. Tang} et al., Insur. Math. Econ. 78, 87--104 (2018; Zbl 1398.91355) Full Text: DOI OpenURL
Ma, Zonggang; Ma, Chaoqun; Xiao, Shisong Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals. (English) Zbl 1453.91099 Discrete Dyn. Nat. Soc. 2017, Article ID 3279647, 14 p. (2017). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Z. Ma} et al., Discrete Dyn. Nat. Soc. 2017, Article ID 3279647, 14 p. (2017; Zbl 1453.91099) Full Text: DOI OpenURL
Wang, Chou-Wen; Yang, Sharon S.; Huang, Jr-Wei Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance. (English) Zbl 1402.91820 Quant. Finance 17, No. 10, 1567-1581 (2017). MSC: 91G20 91B30 60G51 PDF BibTeX XML Cite \textit{C.-W. Wang} et al., Quant. Finance 17, No. 10, 1567--1581 (2017; Zbl 1402.91820) Full Text: DOI OpenURL
Naguez, N.; Prigent, J. L. Optimal portfolio positioning within generalized Johnson distributions. (English) Zbl 1402.91721 Quant. Finance 17, No. 7, 1037-1055 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{N. Naguez} and \textit{J. L. Prigent}, Quant. Finance 17, No. 7, 1037--1055 (2017; Zbl 1402.91721) Full Text: DOI OpenURL
Shanahan, Brett; Fard, Farzad Alavi; van der Hoek, John Pricing participating policies under the Meixner process and stochastic volatility. (English) Zbl 1402.91214 Scand. Actuar. J. 2017, No. 7, 559-583 (2017). MSC: 91B30 60G51 60G44 60J65 PDF BibTeX XML Cite \textit{B. Shanahan} et al., Scand. Actuar. J. 2017, No. 7, 559--583 (2017; Zbl 1402.91214) Full Text: DOI OpenURL
Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic Duality formulas for robust pricing and hedging in discrete time. (English) Zbl 1407.91243 SIAM J. Financ. Math. 8, 738-765 (2017). MSC: 91G20 60G42 60G48 49N15 PDF BibTeX XML Cite \textit{P. Cheridito} et al., SIAM J. Financ. Math. 8, 738--765 (2017; Zbl 1407.91243) Full Text: DOI arXiv OpenURL
Karaś, Marek; Serwatka, Anna Discrete-time market models from the small investor point of view and the first fundamental-type theorem. (English) Zbl 1390.91341 Ann. Univ. Paedagog. Crac., Stud. Math. 206(16), 17-40 (2017). MSC: 91G99 91B24 91B25 60G44 PDF BibTeX XML Cite \textit{M. Karaś} and \textit{A. Serwatka}, Ann. Univ. Paedagog. Crac., Stud. Math. 206(16), 17--40 (2017; Zbl 1390.91341) Full Text: DOI OpenURL
Chen, Shou-Ting; Diao, Xun-Di; Zhu, Ai-Lin Valuation and hedging strategy of currency options under regime-switching jump-diffusion model. (English) Zbl 1416.91369 Acta Math. Appl. Sin., Engl. Ser. 33, No. 4, 871-892 (2017). MSC: 91G20 60G44 60H15 60J75 PDF BibTeX XML Cite \textit{S.-T. Chen} et al., Acta Math. Appl. Sin., Engl. Ser. 33, No. 4, 871--892 (2017; Zbl 1416.91369) Full Text: DOI OpenURL
Chen, Richard Y.; Mykland, Per A. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (English) Zbl 1388.62304 J. Econom. 200, No. 1, 79-103 (2017). MSC: 62P05 62M10 60G48 60F05 PDF BibTeX XML Cite \textit{R. Y. Chen} and \textit{P. A. Mykland}, J. Econom. 200, No. 1, 79--103 (2017; Zbl 1388.62304) Full Text: DOI arXiv OpenURL
Allaj, Erindi Implicit transaction costs and the fundamental theorems of asset pricing. (English) Zbl 1396.91673 Int. J. Theor. Appl. Finance 20, No. 4, Article ID 1750024, 39 p. (2017). MSC: 91G10 91B24 PDF BibTeX XML Cite \textit{E. Allaj}, Int. J. Theor. Appl. Finance 20, No. 4, Article ID 1750024, 39 p. (2017; Zbl 1396.91673) Full Text: DOI arXiv OpenURL
Hu, Shaoyong; Zhu, Ailin Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models. (English) Zbl 1366.91155 Commun. Stat., Theory Methods 46, No. 4, 1821-1842 (2017). MSC: 91G20 60G42 60H30 62P05 PDF BibTeX XML Cite \textit{S. Hu} and \textit{A. Zhu}, Commun. Stat., Theory Methods 46, No. 4, 1821--1842 (2017; Zbl 1366.91155) Full Text: DOI OpenURL
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim Conic trading in a Markovian steady state. (English) Zbl 1390.91304 Int. J. Theor. Appl. Finance 20, No. 2, Article ID 1750010, 22 p. (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60J20 28A12 60H30 PDF BibTeX XML Cite \textit{D. B. Madan} et al., Int. J. Theor. Appl. Finance 20, No. 2, Article ID 1750010, 22 p. (2017; Zbl 1390.91304) Full Text: DOI OpenURL
Choulli, T.; Ma, J. Explicit description of HARA forward utilities and their optimal portfolios. (English. Russian original) Zbl 1358.91090 Theory Probab. Appl. 61, No. 1, 57-93 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 69-113 (2016). MSC: 91G10 91G99 91B16 60G44 60H30 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{J. Ma}, Theory Probab. Appl. 61, No. 1, 57--93 (2017; Zbl 1358.91090); translation from Teor. Veroyatn. Primen. 61, No. 1, 69--113 (2016) Full Text: DOI arXiv OpenURL
Godin, F. Minimizing CVaR in global dynamic hedging with transaction costs. (English) Zbl 1465.91114 Quant. Finance 16, No. 3, 461-475 (2016). MSC: 91G20 91G70 90C39 PDF BibTeX XML Cite \textit{F. Godin}, Quant. Finance 16, No. 3, 461--475 (2016; Zbl 1465.91114) Full Text: DOI OpenURL
Su, Fei; Chan, Kung-Sik Option pricing with threshold diffusion processes. (English) Zbl 1414.91390 N. Am. Actuar. J. 20, No. 2, 133-141 (2016). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{F. Su} and \textit{K.-S. Chan}, N. Am. Actuar. J. 20, No. 2, 133--141 (2016; Zbl 1414.91390) Full Text: DOI OpenURL
Guillaume, Tristan An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve. (English) Zbl 1435.91186 J. Appl. Math. 2016, Article ID 8029750, 14 p. (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Guillaume}, J. Appl. Math. 2016, Article ID 8029750, 14 p. (2016; Zbl 1435.91186) Full Text: DOI OpenURL
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier On the price of risk under a regime switching CGMY process. (English) Zbl 1418.91499 Asia-Pac. Financ. Mark. 23, No. 4, 305-335 (2016). MSC: 91G20 60G51 60J20 60G44 PDF BibTeX XML Cite \textit{P. Asiimwe} et al., Asia-Pac. Financ. Mark. 23, No. 4, 305--335 (2016; Zbl 1418.91499) Full Text: DOI Link OpenURL
Nakajima, Katsushi; Ohashi, Kazuhiko Commodity spread option with cointegration. (English) Zbl 1418.91529 Asia-Pac. Financ. Mark. 23, No. 1, 1-44 (2016). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{K. Nakajima} and \textit{K. Ohashi}, Asia-Pac. Financ. Mark. 23, No. 1, 1--44 (2016; Zbl 1418.91529) Full Text: DOI OpenURL
Liu, Guangying; Zhang, Xinsheng; Zhang, Shibin Testing long memory based on a discretely observed process. (English) Zbl 1374.62059 Appl. Math., Ser. B (Engl. Ed.) 31, No. 3, 253-268 (2016). MSC: 62G10 60F05 60G22 60G48 62P05 PDF BibTeX XML Cite \textit{G. Liu} et al., Appl. Math., Ser. B (Engl. Ed.) 31, No. 3, 253--268 (2016; Zbl 1374.62059) Full Text: DOI OpenURL
Calzolari, Antonella; Torti, Barbara Enlargement of filtration and predictable representation property for semi-martingales. (English) Zbl 1352.60064 Stochastics 88, No. 5, 680-698 (2016). MSC: 60G48 60G44 60H05 60H30 91G20 PDF BibTeX XML Cite \textit{A. Calzolari} and \textit{B. Torti}, Stochastics 88, No. 5, 680--698 (2016; Zbl 1352.60064) Full Text: DOI arXiv OpenURL
Lai, Anh Ngoc; Mellios, Constantin Valuation of commodity derivatives with an unobservable convenience yield. (English) Zbl 1349.91275 Comput. Oper. Res. 66, 402-414 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{A. N. Lai} and \textit{C. Mellios}, Comput. Oper. Res. 66, 402--414 (2016; Zbl 1349.91275) Full Text: DOI Link OpenURL
Wang, Chuan-Ju; Kao, Ming-Yang Optimal search for parameters in Monte Carlo simulation for derivative pricing. (English) Zbl 1346.91259 Eur. J. Oper. Res. 249, No. 2, 683-690 (2016). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{C.-J. Wang} and \textit{M.-Y. Kao}, Eur. J. Oper. Res. 249, No. 2, 683--690 (2016; Zbl 1346.91259) Full Text: DOI OpenURL
Kyng, Timothy; Konstandatos, Otto; Bienek, Tobias Valuation of employee stock options using the exercise multiple approach and life tables. (English) Zbl 1369.91182 Insur. Math. Econ. 68, 17-26 (2016). MSC: 91G20 91B30 60H30 PDF BibTeX XML Cite \textit{T. Kyng} et al., Insur. Math. Econ. 68, 17--26 (2016; Zbl 1369.91182) Full Text: DOI Link OpenURL
Laurini, Márcio Poletti; Hotta, Luiz Koodi Generalized moment estimation of stochastic differential equations. (English) Zbl 1347.65021 Comput. Stat. 31, No. 3, 1169-1202 (2016). MSC: 65C60 62G05 60H35 PDF BibTeX XML Cite \textit{M. P. Laurini} and \textit{L. K. Hotta}, Comput. Stat. 31, No. 3, 1169--1202 (2016; Zbl 1347.65021) Full Text: DOI OpenURL
Madan, Dilip B. Benchmarking in two price financial markets. (English) Zbl 1398.91279 Ann. Finance 12, No. 2, 201-219 (2016). MSC: 91B24 91G20 60G44 PDF BibTeX XML Cite \textit{D. B. Madan}, Ann. Finance 12, No. 2, 201--219 (2016; Zbl 1398.91279) Full Text: DOI OpenURL
Lekalakala, Senkepeng Louisa; Motsepa, Tanki; Khalique, Chaudry Masood Lie symmetry reductions and exact solutions of an option-pricing equation for large agents. (English) Zbl 1344.35153 Mediterr. J. Math. 13, No. 4, 1753-1763 (2016). MSC: 35Q91 35A09 35C05 91G80 PDF BibTeX XML Cite \textit{S. L. Lekalakala} et al., Mediterr. J. Math. 13, No. 4, 1753--1763 (2016; Zbl 1344.35153) Full Text: DOI OpenURL
Davari-Ardakani, Hamed; Aminnayeri, Majid; Seifi, Abbas Multistage portfolio optimization with stocks and options. (English) Zbl 1342.91038 Int. Trans. Oper. Res. 23, No. 3, 593-622 (2016). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Davari-Ardakani} et al., Int. Trans. Oper. Res. 23, No. 3, 593--622 (2016; Zbl 1342.91038) Full Text: DOI OpenURL
Madan, Dilip B.; Yor, Marc On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. (English) Zbl 1348.91272 Math. Finance 26, No. 2, 296-328 (2016). MSC: 91G20 91G70 62P05 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{M. Yor}, Math. Finance 26, No. 2, 296--328 (2016; Zbl 1348.91272) Full Text: DOI OpenURL
Momeya, Romuald Hervé; Morales, Manuel On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model. (English) Zbl 1411.91576 Methodol. Comput. Appl. Probab. 18, No. 1, 107-135 (2016). MSC: 91G20 91G60 60G44 60G51 PDF BibTeX XML Cite \textit{R. H. Momeya} and \textit{M. Morales}, Methodol. Comput. Appl. Probab. 18, No. 1, 107--135 (2016; Zbl 1411.91576) Full Text: DOI OpenURL
Mariani, Maria C.; Sengupta, Indranil; Sewell, Granville Numerical methods applied to option pricing models with transaction costs and stochastic volatility. (English) Zbl 1406.91485 Quant. Finance 15, No. 8, 1417-1424 (2015). MSC: 91G60 91G20 65M99 PDF BibTeX XML Cite \textit{M. C. Mariani} et al., Quant. Finance 15, No. 8, 1417--1424 (2015; Zbl 1406.91485) Full Text: DOI OpenURL
Rashidi Ranjbar, Hedieh; Seifi, Abbas A path-independent method for barrier option pricing in hidden Markov models. (English) Zbl 1400.91608 Physica A 440, 1-8 (2015). MSC: 91G20 91G60 65C05 PDF BibTeX XML Cite \textit{H. Rashidi Ranjbar} and \textit{A. Seifi}, Physica A 440, 1--8 (2015; Zbl 1400.91608) Full Text: DOI OpenURL
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. Stochastic string models with continuous semimartingales. (English) Zbl 1400.91580 Physica A 433, 229-246 (2015). MSC: 91G20 91G80 60G48 91G30 PDF BibTeX XML Cite \textit{A. Bueno-Guerrero} et al., Physica A 433, 229--246 (2015; Zbl 1400.91580) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen Asset pricing using trading volumes in a hidden regime-switching environment. (English) Zbl 1368.91170 Asia-Pac. Financ. Mark. 22, No. 2, 133-149 (2015). MSC: 91G20 60J20 62P05 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Asia-Pac. Financ. Mark. 22, No. 2, 133--149 (2015; Zbl 1368.91170) Full Text: DOI OpenURL
Chiu, Chun-Yuan; Dai, Tian-Shyr; Lyuu, Yuh-Dauh Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes. (English) Zbl 1338.91151 Appl. Math. Comput. 252, 418-437 (2015). MSC: 91G60 65T50 91G20 PDF BibTeX XML Cite \textit{C.-Y. Chiu} et al., Appl. Math. Comput. 252, 418--437 (2015; Zbl 1338.91151) Full Text: DOI OpenURL
Howison, Sam; Schwarz, Daniel Risk-neutral pricing of financial instruments in emission markets: a structural approach. (English) Zbl 1339.91118 SIAM Rev. 57, No. 1, 95-127 (2015). MSC: 91G20 91B76 60H30 PDF BibTeX XML Cite \textit{S. Howison} and \textit{D. Schwarz}, SIAM Rev. 57, No. 1, 95--127 (2015; Zbl 1339.91118) Full Text: DOI arXiv OpenURL
Jiménez, J. A.; Arunachalam, V.; Serna, G. M. Option pricing based on a log-skew-normal mixture. (English) Zbl 1337.91103 Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550051, 22 p. (2015). MSC: 91G20 91G70 62P05 PDF BibTeX XML Cite \textit{J. A. Jiménez} et al., Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550051, 22 p. (2015; Zbl 1337.91103) Full Text: DOI OpenURL