Bégin, Jean-François; Godin, Frédéric Option pricing under stochastic volatility models with latent volatility. (English) Zbl 1522.91262 Quant. Finance 23, No. 7-8, 1079-1097 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{J.-F. Bégin} and \textit{F. Godin}, Quant. Finance 23, No. 7--8, 1079--1097 (2023; Zbl 1522.91262) Full Text: DOI
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (English) Zbl 1522.91280 Quant. Finance 23, No. 7-8, 1055-1078 (2023). MSC: 91G20 91G05 60G40 60J28 PDFBibTeX XMLCite \textit{A. MacKay} et al., Quant. Finance 23, No. 7--8, 1055--1078 (2023; Zbl 1522.91280) Full Text: DOI arXiv
Dai, Tian-Shyr; Liu, Liang-Chih; Yang, Sharon S. Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk. (English) Zbl 1522.91290 Quant. Finance 23, No. 9, 1325-1339 (2023). MSC: 91G30 PDFBibTeX XMLCite \textit{T.-S. Dai} et al., Quant. Finance 23, No. 9, 1325--1339 (2023; Zbl 1522.91290) Full Text: DOI
Avanzi, B.; Falden, D. K.; Steffensen, M. Stable dividends under linear-quadratic optimisation. (English) Zbl 1522.91303 Quant. Finance 23, No. 9, 1199-1215 (2023). MSC: 91G50 91B05 49N10 93E20 60G51 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Quant. Finance 23, No. 9, 1199--1215 (2023; Zbl 1522.91303) Full Text: DOI arXiv
Pun, Chi Seng; Ye, Zi Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency. (English) Zbl 1518.91247 Quant. Finance 23, No. 2, 351-365 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{C. S. Pun} and \textit{Z. Ye}, Quant. Finance 23, No. 2, 351--365 (2023; Zbl 1518.91247) Full Text: DOI
Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng Optimal reinsurance-investment with loss aversion under rough Heston model. (English) Zbl 1519.91216 Quant. Finance 23, No. 1, 95-109 (2023). MSC: 91G05 91B70 PDFBibTeX XMLCite \textit{J. Ma} et al., Quant. Finance 23, No. 1, 95--109 (2023; Zbl 1519.91216) Full Text: DOI
Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray Optimal asset allocation for outperforming a stochastic benchmark target. (English) Zbl 1505.91354 Quant. Finance 22, No. 9, 1595-1626 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G10 62P05 62M45 68T07 91G05 PDFBibTeX XMLCite \textit{C. Ni} et al., Quant. Finance 22, No. 9, 1595--1626 (2022; Zbl 1505.91354) Full Text: DOI arXiv
Wang, Xiaodong; Hsieh, Fushing Unraveling S&P\(500\) stock volatility and networks – an encoding-and-decoding approach. (English) Zbl 1491.91136 Quant. Finance 22, No. 5, 997-1016 (2022). MSC: 91G15 91G45 PDFBibTeX XMLCite \textit{X. Wang} and \textit{F. Hsieh}, Quant. Finance 22, No. 5, 997--1016 (2022; Zbl 1491.91136) Full Text: DOI arXiv
Chang, Hsiaoyin; Schmeiser, Hato Life insurance surrender and liquidity risks. (English) Zbl 1491.91105 Quant. Finance 22, No. 4, 761-776 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Chang} and \textit{H. Schmeiser}, Quant. Finance 22, No. 4, 761--776 (2022; Zbl 1491.91105) Full Text: DOI
Elliott, R. J.; Siu, T. K. A generalized Esscher transform for option valuation with regime switching risk. (English) Zbl 1490.91212 Quant. Finance 22, No. 4, 691-705 (2022). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 22, No. 4, 691--705 (2022; Zbl 1490.91212) Full Text: DOI
Penev, S.; Shevchenko, P. V.; Wu, W. Myopic robust index tracking with Bregman divergence. (English) Zbl 1484.91438 Quant. Finance 22, No. 2, 289-302 (2022). MSC: 91G10 PDFBibTeX XMLCite \textit{S. Penev} et al., Quant. Finance 22, No. 2, 289--302 (2022; Zbl 1484.91438) Full Text: DOI arXiv
Jang, Chul; Owadally, Iqbal; Clare, Andrew; Kashif, Muhammad Lifetime consumption and investment with housing, deferred annuities and home equity release. (English) Zbl 1484.91388 Quant. Finance 22, No. 1, 129-145 (2022). MSC: 91G05 91G15 90C15 PDFBibTeX XMLCite \textit{C. Jang} et al., Quant. Finance 22, No. 1, 129--145 (2022; Zbl 1484.91388) Full Text: DOI
Lorig, Matthew; Zou, Bin Bond indifference prices. (English) Zbl 1479.91406 Quant. Finance 21, No. 7, 1223-1233 (2021). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{M. Lorig} and \textit{B. Zou}, Quant. Finance 21, No. 7, 1223--1233 (2021; Zbl 1479.91406) Full Text: DOI
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 PDFBibTeX XMLCite \textit{A. Carbonneau} and \textit{F. Godin}, Quant. Finance 21, No. 4, 593--608 (2021; Zbl 1476.91177) Full Text: DOI arXiv
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin A Markov chain approximation scheme for option pricing under skew diffusions. (English) Zbl 1466.91332 Quant. Finance 21, No. 3, 461-480 (2021). MSC: 91G20 60J28 PDFBibTeX XMLCite \textit{K. Ding} et al., Quant. Finance 21, No. 3, 461--480 (2021; Zbl 1466.91332) Full Text: DOI
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 PDFBibTeX XMLCite \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
Shen, Zhiyi; Weng, Chengguo Pricing bounds and bang-bang analysis of the Polaris variable annuities. (English) Zbl 1431.91343 Quant. Finance 20, No. 1, 147-171 (2020). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{Z. Shen} and \textit{C. Weng}, Quant. Finance 20, No. 1, 147--171 (2020; Zbl 1431.91343) Full Text: DOI
Endres, Sylvia; Stübinger, Johannes A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (English) Zbl 1422.91801 Quant. Finance 19, No. 10, 1727-1740 (2019). MSC: 91G99 60J60 PDFBibTeX XMLCite \textit{S. Endres} and \textit{J. Stübinger}, Quant. Finance 19, No. 10, 1727--1740 (2019; Zbl 1422.91801) Full Text: DOI Link
Lyuu, Yuh-Dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, Sheng-Xiang A systematic and efficient simulation scheme for the Greeks of financial derivatives. (English) Zbl 1420.91473 Quant. Finance 19, No. 7, 1199-1219 (2019). MSC: 91G20 60G51 60J75 PDFBibTeX XMLCite \textit{Y.-D. Lyuu} et al., Quant. Finance 19, No. 7, 1199--1219 (2019; Zbl 1420.91473) Full Text: DOI
Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. (English) Zbl 1400.91648 Quant. Finance 18, No. 6, 1049-1075 (2018). MSC: 91G60 65T40 91G20 PDFBibTeX XMLCite \textit{J. Alonso-García} et al., Quant. Finance 18, No. 6, 1049--1075 (2018; Zbl 1400.91648) Full Text: DOI
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 PDFBibTeX XMLCite \textit{C.-W. Wang} et al., Quant. Finance 17, No. 10, 1567--1581 (2017; Zbl 1402.91820) Full Text: DOI
Lönnbark, Carl Approximation methods for multiple period value at risk and expected shortfall prediction. (English) Zbl 1468.91194 Quant. Finance 16, No. 6, 947-968 (2016). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{C. Lönnbark}, Quant. Finance 16, No. 6, 947--968 (2016; Zbl 1468.91194) Full Text: DOI
Yang, Sharon S.; Huang, Jr-Wei; Chang, Chuang-Chang Detecting and modelling the jump risk of \(\text{CO}_2\) emission allowances and their impact on the valuation of option on futures contracts. (English) Zbl 1468.91177 Quant. Finance 16, No. 5, 749-762 (2016). MSC: 91G20 91B76 60J74 PDFBibTeX XMLCite \textit{S. S. Yang} et al., Quant. Finance 16, No. 5, 749--762 (2016; Zbl 1468.91177) Full Text: DOI
Chen, Zhiping; Hu, Qianhui; Lin, Ruiyue Performance ratio-based coherent risk measure and its application. (English) Zbl 1468.91134 Quant. Finance 16, No. 5, 681-693 (2016). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{Z. Chen} et al., Quant. Finance 16, No. 5, 681--693 (2016; Zbl 1468.91134) Full Text: DOI
Chen, Son-Nan; Hsu, Pao-Peng; Li, Chang-Yi Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion. (English) Zbl 1468.91163 Quant. Finance 16, No. 4, 573-592 (2016). MSC: 91G20 91G40 60J74 PDFBibTeX XMLCite \textit{S.-N. Chen} et al., Quant. Finance 16, No. 4, 573--592 (2016; Zbl 1468.91163) Full Text: DOI
Linders, Daniël; Stassen, Ben The multivariate variance gamma model: basket option pricing and calibration. (English) Zbl 1468.91171 Quant. Finance 16, No. 4, 555-572 (2016). MSC: 91G20 62P05 62H10 PDFBibTeX XMLCite \textit{D. Linders} and \textit{B. Stassen}, Quant. Finance 16, No. 4, 555--572 (2016; Zbl 1468.91171) Full Text: DOI Link
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca US stock returns: are there seasons of excesses? (English) Zbl 1400.91693 Quant. Finance 16, No. 9, 1453-1464 (2016). MSC: 91G99 62P05 91B84 PDFBibTeX XMLCite \textit{M. Bee} et al., Quant. Finance 16, No. 9, 1453--1464 (2016; Zbl 1400.91693) Full Text: DOI
Karagiannis, N.; Assa, H.; Pantelous, A. A.; Turvey, C. G. Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application. (English) Zbl 1400.91597 Quant. Finance 16, No. 12, 1949-1959 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{N. Karagiannis} et al., Quant. Finance 16, No. 12, 1949--1959 (2016; Zbl 1400.91597) Full Text: DOI Link
Yao, Haixiang; Li, Xun; Hao, Zhifeng; Li, Yong Dynamic asset-liability management in a Markov market with stochastic cash flows. (English) Zbl 1400.91570 Quant. Finance 16, No. 10, 1575-1597 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Yao} et al., Quant. Finance 16, No. 10, 1575--1597 (2016; Zbl 1400.91570) Full Text: DOI
Yener, Haluk Maximizing survival, growth and goal reaching under borrowing constraints. (English) Zbl 1395.91426 Quant. Finance 15, No. 12, 2053-2065 (2015). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Yener}, Quant. Finance 15, No. 12, 2053--2065 (2015; Zbl 1395.91426) Full Text: DOI arXiv
Xiao, Yugu; Valdez, Emiliano A. A Black-Litterman asset allocation model under elliptical distributions. (English) Zbl 1398.62330 Quant. Finance 15, No. 3, 509-519 (2015). MSC: 62P05 91G10 62E10 PDFBibTeX XMLCite \textit{Y. Xiao} and \textit{E. A. Valdez}, Quant. Finance 15, No. 3, 509--519 (2015; Zbl 1398.62330) Full Text: DOI
Haslip, Gareth G.; Kaishev, Vladimir K. Lookback option pricing using the Fourier transform B-spline method. (English) Zbl 1308.91188 Quant. Finance 14, No. 5, 789-803 (2014). MSC: 91G60 91G20 65M70 PDFBibTeX XMLCite \textit{G. G. Haslip} and \textit{V. K. Kaishev}, Quant. Finance 14, No. 5, 789--803 (2014; Zbl 1308.91188) Full Text: DOI Link
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven Optimal portfolios under worst-case scenarios. (English) Zbl 1308.91136 Quant. Finance 14, No. 4, 657-671 (2014). MSC: 91G10 60H30 62P05 PDFBibTeX XMLCite \textit{C. Bernard} et al., Quant. Finance 14, No. 4, 657--671 (2014; Zbl 1308.91136) Full Text: DOI
Uzelac, Filip; Szimayer, Alexander Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model. (English) Zbl 1403.91201 Quant. Finance 14, No. 2, 357-368 (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91B30 91G20 91G60 60J28 PDFBibTeX XMLCite \textit{F. Uzelac} and \textit{A. Szimayer}, Quant. Finance 14, No. 2, 357--368 (2014; Zbl 1403.91201) Full Text: DOI
Li, Jing; Szimayer, Alexander The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees. (English) Zbl 1294.91079 Quant. Finance 14, No. 2, 327-342 (2014). MSC: 91B30 91G60 PDFBibTeX XMLCite \textit{J. Li} and \textit{A. Szimayer}, Quant. Finance 14, No. 2, 327--342 (2014; Zbl 1294.91079) Full Text: DOI Link
Nadarajah, Saralees; Zhang, Bo; Chan, Stephen Estimation methods for expected shortfall. (English) Zbl 1294.91196 Quant. Finance 14, No. 2, 271-291 (2014). MSC: 91G70 91-02 62P05 91B30 PDFBibTeX XMLCite \textit{S. Nadarajah} et al., Quant. Finance 14, No. 2, 271--291 (2014; Zbl 1294.91196) Full Text: DOI
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. Longevity hedge effectiveness: a decomposition. (English) Zbl 1294.91072 Quant. Finance 14, No. 2, 217-235 (2014). MSC: 91B30 91D20 PDFBibTeX XMLCite \textit{A. J. G. Cairns} et al., Quant. Finance 14, No. 2, 217--235 (2014; Zbl 1294.91072) Full Text: DOI Link
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng Pricing Bermudan options using low-discrepancy mesh methods. (English) Zbl 1281.91181 Quant. Finance 13, No. 6, 841-860 (2013). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{P. P. Boyle} et al., Quant. Finance 13, No. 6, 841--860 (2013; Zbl 1281.91181) Full Text: DOI
Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena Choosing the optimal annuitization time post-retirement. (English) Zbl 1279.91094 Quant. Finance 12, No. 7, 1143-1159 (2012). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{R. Gerrard} et al., Quant. Finance 12, No. 7, 1143--1159 (2012; Zbl 1279.91094) Full Text: DOI Link
So, Mike K. P.; Wong, Chi-Ming Estimation of multiple period expected shortfall and median shortfall for risk management. (English) Zbl 1278.91192 Quant. Finance 12, No. 5, 739-754 (2012). MSC: 91G70 91B30 PDFBibTeX XMLCite \textit{M. K. P. So} and \textit{C.-M. Wong}, Quant. Finance 12, No. 5, 739--754 (2012; Zbl 1278.91192) Full Text: DOI Link
Dridi, Amira; El Ghourabi, Mohamed; Limam, Mohamed On monitoring financial stress index with extreme value theory. (English) Zbl 1278.91188 Quant. Finance 12, No. 3, 329-339 (2012). MSC: 91G70 62G32 PDFBibTeX XMLCite \textit{A. Dridi} et al., Quant. Finance 12, No. 3, 329--339 (2012; Zbl 1278.91188) Full Text: DOI
Hellmich, Martin; Kassberger, Stefan Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework. (English) Zbl 1258.91197 Quant. Finance 11, No. 10, 1503-1516 (2011). MSC: 91G10 91B30 90C90 62P05 PDFBibTeX XMLCite \textit{M. Hellmich} and \textit{S. Kassberger}, Quant. Finance 11, No. 10, 1503--1516 (2011; Zbl 1258.91197) Full Text: DOI
Belhaj, Mohamed Excess capital, operational disaster risk, and capital requirements for banks. (English) Zbl 1217.91197 Quant. Finance 11, No. 5, 653-661 (2011). MSC: 91G50 PDFBibTeX XMLCite \textit{M. Belhaj}, Quant. Finance 11, No. 5, 653--661 (2011; Zbl 1217.91197) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A stochastic differential game for optimal investment of an insurer with regime switching. (English) Zbl 1232.91346 Quant. Finance 11, No. 3, 365-380 (2011). MSC: 91B30 91G50 91A15 49N70 49L20 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 11, No. 3, 365--380 (2011; Zbl 1232.91346) Full Text: DOI
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro Regression-based algorithms for life insurance contracts with surrender guarantees. (English) Zbl 1210.91056 Quant. Finance 10, No. 9, 1077-1090 (2010). MSC: 91B30 91G60 65C05 PDFBibTeX XMLCite \textit{A. R. Bacinello} et al., Quant. Finance 10, No. 9, 1077--1090 (2010; Zbl 1210.91056) Full Text: DOI
Chen, Zhuliang; Forsyth, Peter A. Implications of a regime-switching model on natural gas storage valuation and optimal operation. (English) Zbl 1198.91204 Quant. Finance 10, No. 2, 159-176 (2010). MSC: 91G20 93E20 91G60 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{P. A. Forsyth}, Quant. Finance 10, No. 2, 159--176 (2010; Zbl 1198.91204) Full Text: DOI
Savu, Cornelia; Trede, Mark Goodness-of-fit tests for parametric families of Archimedean copulas. (English) Zbl 1134.91556 Quant. Finance 8, No. 2, 109-116 (2008). MSC: 91B82 PDFBibTeX XMLCite \textit{C. Savu} and \textit{M. Trede}, Quant. Finance 8, No. 2, 109--116 (2008; Zbl 1134.91556) Full Text: DOI
Kawata, Ryohei; Kijima, Masaaki Value-at-risk in a market subject to regime switching. (English) Zbl 1151.91574 Quant. Finance 7, No. 6, 609-619 (2007). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{R. Kawata} and \textit{M. Kijima}, Quant. Finance 7, No. 6, 609--619 (2007; Zbl 1151.91574) Full Text: DOI
Siu, Tak-Kuen; Ching, Wai-Ki; Fung, S. Eric; Ng, Michael K. On a multivariate Markov chain model for credit risk measurement. (English) Zbl 1134.91485 Quant. Finance 5, No. 6, 543-556 (2005). MSC: 91B30 PDFBibTeX XMLCite \textit{T.-K. Siu} et al., Quant. Finance 5, No. 6, 543--556 (2005; Zbl 1134.91485) Full Text: DOI
Caillault, Cyril; Guégan, Dominique Empirical estimation of tail dependence using copulas: application to Asian markets. (English) Zbl 1081.62031 Quant. Finance 5, No. 5, 489-501 (2005). MSC: 62G32 62P20 62G09 PDFBibTeX XMLCite \textit{C. Caillault} and \textit{D. Guégan}, Quant. Finance 5, No. 5, 489--501 (2005; Zbl 1081.62031) Full Text: DOI Link
Malevergne, Y.; Sornette, D. Testing the Gaussian copula hypothesis for financial assets dependences. (English) Zbl 1408.62177 Quant. Finance 3, No. 4, 231-250 (2003). MSC: 62P05 62H05 PDFBibTeX XMLCite \textit{Y. Malevergne} and \textit{D. Sornette}, Quant. Finance 3, No. 4, 231--250 (2003; Zbl 1408.62177) Full Text: DOI arXiv