Becker, Torsten; Herrmann, Richard; Heumann, Christian; Pilz, Stefan; Sandor, Viktor; Schäfer, Dominik; Wellisch, Ulrich Stochastic risk modeling and statistical methods. An application-oriented textbook for actuaries. 2nd edition. (Stochastische Risikomodellierung und statistische Methoden. Angewandte Stochastik für die aktuarielle Praxis.) (German) Zbl 07935669 Statistik und ihre Anwendungen. Berlin: Springer Spektrum (ISBN 978-3-662-69531-9/pbk; 978-3-662-69532-6/ebook). xiv, 454 p. (2025). MSC: 91-01 62-01 91G05 62P05 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Boyarchenko, Svetlana; Levendorskiĭ, Sergei Asymptotics of survival probabilities and lower tail probability problem. arXiv:2501.04218 Preprint, arXiv:2501.04218 [math.PR] (2025). MSC: 60G51 60G52 60-08 65C05 91G05 91G20 97M30 × Cite Format Result Cite Full Text: arXiv OA License
Mitsuda, Daiki; Shimizu, Yasutaka Mortality prediction using survival energy models with functional data analysis. (English) Zbl 07973759 Jpn. J. Stat. Data Sci. 7, No. 2, 841-859 (2024). MSC: 62P05 62M20 62H25 91D20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Akahori, Jirô; Namba, Ryuya; Watanabe, Atsuhito The SIML method without microstructure noise. (English) Zbl 07973753 Jpn. J. Stat. Data Sci. 7, No. 2, 677-700 (2024). MSC: 62P05 62G20 60F05 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Psarrakos, Georgios Calculating premium principles from the mode of a unimodal weighted distribution. (English) Zbl 07972598 ASTIN Bull. 54, No. 3, 791-803 (2024). MSC: 91G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Deelstra, Griselda; Devolder, Pierre; Roelants du Vivier, Benjamin Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products. (English) Zbl 07972590 ASTIN Bull. 54, No. 3, 569-599 (2024). MSC: 91G05 × Cite Format Result Cite Review PDF Full Text: DOI
Su, Li; Zhu, Jingjing Term structures and firm dynamics: a FAVAR approach. (English) Zbl 07968854 Econ. Lett. 244, Article ID 111962, 5 p. (2024). MSC: 91G30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Egozcue, Martín; Fuentes García, Luis Optimal bounds and practical insights: Cantelli’s inequality revisited. (English) Zbl 07966574 J. Stat. Theory Pract. 18, No. 4, Paper No. 59, 19 p. (2024). MSC: 62P05 60E15 × Cite Format Result Cite Review PDF Full Text: DOI
Akeju, A. O.; Ayoola, E. O. Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach. (English) Zbl 07965496 J. Niger. Math. Soc. 43, No. 2, 163-181 (2024). MSC: 91Bxx 91Gxx 49Q12 60H30 62P05 × Cite Format Result Cite Review PDF Full Text: Link
Jokhadze, Valeriane; Purtukhia, Omar Enhancing tail risk measurement: a practical approach to managing model risk of tail risk. (English) Zbl 07963289 Bull. TICMI 28, No. 2, 65-71 (2024). MSC: 60H30 60H07 62P05 91G15 × Cite Format Result Cite Review PDF Full Text: Link
Namgalauri, Ekaterine; Purtukhia, Omar Constructive stochastic integral representation of some path-dependent Brownian functional. (English) Zbl 07961998 Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 38, 62-65 (2024). MSC: 60H07 60H30 62P05 × Cite Format Result Cite Review PDF Full Text: Link
Khechinashvili, Zaza The Minimal Reverse Entropy Martingale Measure in the Trinomial Financial Model. (English) Zbl 07961994 Rep. Enlarged Sess. Semin. I. Vekua Inst. Appl. Math. 38, 47-49 (2024). MSC: 60G42 60G70 62P05 91B26 94A17 × Cite Format Result Cite Review PDF Full Text: Link
Saglam Ozkan, Yeşim; Yasar, Emrullah Prolific new M-fractional soliton behaviors to the Schrödinger type Ivancevic option pricing model by two efficient techniques. (English) Zbl 07961502 Comput. Methods Differ. Equ. 12, No. 2, 207-225 (2024). MSC: 97M30 34G20 93E35 × Cite Format Result Cite Review PDF Full Text: DOI
Mahamat, Ali; Amary, Diop; Ali, Dabye; Djabbi, Mamadou Mahamat Jackknife methodology for bias reduction in tail index estimation under random truncation. (English) Zbl 07960437 Gulf J. Math. 18, No. 1, 38-53 (2024). MSC: 60G70 62G32 62F12 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Meng, Hui; Wang, Yeshunying; Zhou, Ming Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification. (English) Zbl 07953931 SIAM J. Financ. Math. 15, No. 4, 1020-1046 (2024). MSC: 62P05 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Glasserman, Paul; Pirjol, Dan; Wu, Qi Tail risk monotonicity in GARCH(1,1) models. (English) Zbl 07950063 Int. J. Theor. Appl. Finance 27, No. 3-4, Article ID 2350029, 33 p. (2024). MSC: 91G15 62P05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Hudecová, Šárka; Pešta, Michal Quasi-likelihood estimation in volatility models for semi-continuous time series. (English) Zbl 07942719 J. Time Ser. Anal. 45, No. 6, 859-883 (2024). MSC: 62Mxx 62F12 62M10 62M20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Merkin, L.; Averbuch, L. Stochastic mean-reverting trend (SMART) model in quantitative finance. (English) Zbl 07940785 Lobachevskii J. Math. 45, No. 4, 1618-1632 (2024). MSC: 91G20 62P05 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Brockwell, A. E. Fractional growth portfolio investment. (English) Zbl 1548.91105 Wood, David R. (ed.) et al., 2021–2022 MATRIX annals. Cham: Springer. MATRIX Book Ser. 5, 449-466 (2024). MSC: 91G10 60H10 26A33 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yang, Zhi; Wang, Jing An endogenous evolution mechanism model of asset prices based on time-varying risk aversion coefficient. (English) Zbl 07925744 Results Appl. Math. 23, Article ID 100489, 11 p. (2024). MSC: 91G30 91B16 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, Gregor Comparing and quantifying tail dependence. (English) Zbl 1544.91275 Insur. Math. Econ. 118, 95-103 (2024). MSC: 91G05 91G15 60E15 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guerbyenne, Hafida; Hamdi, Fayçal; Hamrat, Malika The \(\log\) GARCH stochastic volatility model. (English) Zbl 07913921 Stat. Probab. Lett. 214, Article ID 110185, 5 p. (2024). MSC: 62P05 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Kechejian, H.; Ohanyan, V. K.; Bardakhchyan, V. G. Portfolio value-at-risk approximation for geometric Brownian motion. (English) Zbl 1547.60070 J. Contemp. Math. Anal., Armen. Acad. Sci. 59, No. 2, 110-119 (2024) and Izv. Nats. Akad. Nauk Armen., Mat. 59, No. 2, 56-66 (2024). MSC: 60J65 65C30 60H35 97M30 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Koch, Erwan Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses. (English) Zbl 1545.60059 Extremes 27, No. 3, 315-356 (2024). MSC: 60G70 62G32 62H10 62H11 62H20 62P05 62P12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yılmaz, Fikriye; Öz Bakan, Hacer; Weber, Gerhard-Wilhelm Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems. (English) Zbl 1547.49020 J. Optim. Theory Appl. 202, No. 1, 497-517 (2024). Reviewer: Alain Brillard (Riedisheim) MSC: 49J55 49K99 62P05 37A50 49J45 × Cite Format Result Cite Review PDF Full Text: DOI
Ben Ameur, Hachmi; Boubaker, Sahbi; Ftiti, Zied; Louhichi, Wael; Tissaoui, Kais Forecasting commodity prices: empirical evidence using deep learning tools. (English) Zbl 1542.91370 Ann. Oper. Res. 339, No. 1-2, 349-367 (2024). MSC: 91G15 62P05 62M20 68T07 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zirong; Zhou, Yao Dynamic partial (co)variance forecasting model. (English) Zbl 1542.91373 Quant. Finance 24, No. 5, 643-653 (2024). MSC: 91G15 62P05 62M20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Jinzhu Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return. (English) Zbl 07887788 Commun. Stat., Theory Methods 53, No. 16, 5773-5784 (2024). MSC: 62P05 62E10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Xing, Xiaoyu; Li, Xiaofang Robust equilibrium investment-reinsurance strategy for \(n\) competitive insurers with square-root factor process. (English) Zbl 07880525 Commun. Stat., Theory Methods 53, No. 12, 4469-4486 (2024). MSC: 93E20 97M30 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Xisheng Nonparametric estimation of quadratic variation using high-frequency data. (English) Zbl 1543.62304 Math. Methods Appl. Sci. 47, No. 5, 3053-3078 (2024). MSC: 62G05 60H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Bernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven Implied value-at-risk and model-free simulation. (English) Zbl 1537.91309 Ann. Oper. Res. 336, No. 1-2, 925-943 (2024). MSC: 91G20 91G70 62P05 62G08 × Cite Format Result Cite Review PDF Full Text: DOI
Kan, Raymond; Lassance, Nathan; Wang, Xiaolu The distribution of sample mean-variance portfolio weights. (English) Zbl 1539.62310 Random Matrices Theory Appl. 13, No. 1, Article ID 2450002, 20 p. (2024). MSC: 62P05 62E15 62E20 62H10 62H12 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Muhle-Karbe, Johannes Book review of: K. T. Webster, Handbook of price impact modeling. (English) Zbl 1545.00059 Quant. Finance 24, No. 2, 201-202 (2024). MSC: 00A17 91-01 91G15 91G10 91G70 60H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Hillairet, Caroline; Kaakaï, Sarah; Mrad, Mohamed Time-consistent pension policy with minimum guarantee and sustainability constraint. (English) Zbl 1537.91252 Probab. Uncertain. Quant. Risk 9, No. 1, 35-64 (2024). MSC: 91G05 93E20 91B70 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Mingjun; Chen, Zhangting; Cheng, Dongya; Zhou, Junyi Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns. (English) Zbl 1537.91260 Stat. Probab. Lett. 207, Article ID 110013, 11 p. (2024). MSC: 91G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Takabatake, Tetsuya Quasi-likelihood analysis of fractional Brownian motion with constant drift under high-frequency observations. (English) Zbl 1537.62037 Stat. Probab. Lett. 207, Article ID 110006, 10 p. (2024). MSC: 62M09 60G22 62F12 62M15 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zlatniczki, Adam; Telcs, Andras Application of portfolio optimization to achieve persistent time series. (English) Zbl 07846607 J. Optim. Theory Appl. 201, No. 2, 932-954 (2024). MSC: 60H30 62P05 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Yumo Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach. (English) Zbl 1539.91126 Stoch. Models 40, No. 2, 167-223 (2024). MSC: 91G15 93E20 60H30 91G05 × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Chenghao; Wang, Kaiyong; Wu, Xinyi The finite-time ruin probability of a risk model with stochastic return and subexponential claim sizes. (English) Zbl 07833924 Commun. Stat., Theory Methods 53, No. 6, 2194-2204 (2024). MSC: 62P05 62E10 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Ziqing Multi-regime foreign exchange rate model: calibration and pricing. (English) Zbl 1540.91079 Math. Comput. Simul. 220, 204-218 (2024). MSC: 91G20 91B70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Arai, Takuji; Imai, Yuto Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. (English) Zbl 1540.91066 Math. Comput. Simul. 218, 223-234 (2024). MSC: 91G20 62P05 60G51 65C05 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Niknami, Behrooz Stochastic matching models. (Abstract of thesis). (English) Zbl 1534.60003 Bull. Aust. Math. Soc. 109, No. 2, 407-408 (2024). MSC: 60-02 60K30 62P05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Ansari, Jonathan; Rüschendorf, Ludger Supermodular and directionally convex comparison results for general factor models. (English) Zbl 07823261 J. Multivariate Anal. 201, Article ID 105264, 20 p. (2024). MSC: 62Hxx 60E15 62H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Klein, Maximilian Nested simulations: theory and application. (English) Zbl 1534.91006 Mathematische Optimierung und Wirtschaftsmathematik/Mathematical Optimization and Economathematics. Wiesbaden: Springer Spektrum; Augsburg: Univ. Augsburg (Diss. 2023) (ISBN 978-3-658-43852-4/pbk; 978-3-658-43853-1/ebook). xvii, 137 p. (2024). MSC: 91-02 91G60 65C05 65C30 62P05 60F05 91G05 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Xuan, Hanwen; Maestrini, Luca; Chen, Feng; Grazian, Clara Stochastic variational inference for GARCH models. (English) Zbl 1529.62041 Stat. Comput. 34, No. 1, Paper No. 45, 26 p. (2024). MSC: 62-08 62M10 62F15 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Vogl, Markus Chaos measure dynamics in a multifactor model for financial market predictions. (English) Zbl 1531.62051 Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107760, 22 p. (2024). MSC: 62P05 37D45 62G10 62M20 91B84 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Aknouche, Abdelhakim; Scotto, Manuel G. A multiplicative thinning-based integer-valued GARCH model. (English) Zbl 07786777 J. Time Ser. Anal. 45, No. 1, 4-26 (2024). MSC: 62Mxx 62M10 62M20 62F12 62P05 60G10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Liu, Xijun; Gao, Qingwu Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments. (English) Zbl 07772216 Commun. Stat., Theory Methods 53, No. 2, 641-665 (2024). MSC: 62P05 62E20 60E05 × Cite Format Result Cite Review PDF Full Text: DOI
Arab, Idir; Lando, Tommaso; Oliveira, Paulo Eduardo Convex combinations of random variables stochastically dominate the parent for a new class of heavy-tailed distributions. arXiv:2411.14926 Preprint, arXiv:2411.14926 [math.PR] (2024). MSC: 60E15 91G70 62P05 × Cite Format Result Cite Full Text: arXiv
Duc, Luu Hoang; Hong, Phan Thanh; Cong, Nguyen Dinh Stability criteria for rough systems. arXiv:2410.07842 Preprint, arXiv:2410.07842 [math.DS] (2024). MSC: 60G15 60G18 60H05 60H10 62J10 62P05 91B28 × Cite Format Result Cite Full Text: arXiv
Laeven, Roger J. A.; Gianin, Emanuela Rosazza; Zullino, Marco Geometric BSDEs. arXiv:2405.09260 Preprint, arXiv:2405.09260 [math.PR] (2024). MSC: 60H10 60H30 91B06 91B30 62P05 × Cite Format Result Cite Full Text: arXiv OA License
Akin, Ethan; Davis, Morton The Simple Yield Curve Models. arXiv:2403.13531 Preprint, arXiv:2403.13531 [math.DS] (2024). MSC: 91B02 91G10 91G30 97M30 × Cite Format Result Cite Full Text: arXiv
Irie, Haruka; Shimizu, Yasutaka Approximation and estimation of scale functions for spectrally negative Levy processes. arXiv:2402.13599 Preprint, arXiv:2402.13599 [math.ST] (2024). MSC: 60G51 62M86 62P05 × Cite Format Result Cite Full Text: arXiv
Yang, Shanchao; Xie, Jiaying; Luo, Shuyi; Li, Zhiyong; Yang, Xin Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process. (English) Zbl 1537.62036 J. Inequal. Appl. 2023, Paper No. 154, 27 p. (2023). MSC: 62M05 62M10 60E15 62G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Zotov, G. A.; Lukianchenko, P. P. Neural network approach to the problem of predicting interest rate anomalies under the influence of correlated noise. (English. Russian original) Zbl 1540.62145 Dokl. Math. 108, Suppl. 2, S293-S299 (2023); translation from Dokl. Ross. Akad. Nauk, Mat. Inform. Protsessy Upr. 514, No. 2, 150-157 (2023). MSC: 62P05 62M10 65C30 68T07 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Pichler, Alois; Schlotter, Ruben Risk-averse optimal control in continuous time by nesting risk measures. (English) Zbl 1541.90352 Math. Oper. Res. 48, No. 3, 1657-1678 (2023). MSC: 90C39 49J55 60B05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Kushnir, M.; Tokarieva, K. A generalization of the ARIMA model to the nonlinear and continuous cases. (English. Ukrainian original) Zbl 1534.91179 Cybern. Syst. Anal. 59, No. 6, 900-909 (2023); translation from Kibern. Sist. Anal. 59, No. 6, 40-50 (2023). MSC: 91G80 34K50 93E20 62P05 62M20 × Cite Format Result Cite Review PDF Full Text: DOI
Bakkali, Youssra; El Merzguioui, Mhamed; Akharif, Abdelhadi; Azmani, Abdellah Forecasting stock return volatility using the realized GARCH model and an artificial neural network. (English) Zbl 1530.62031 Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 16, No. 4, 45-60 (2023). MSC: 62P05 62M10 62M20 62M45 68T07 × Cite Format Result Cite Review PDF Full Text: DOI MNR
Kandji, Baye Matar Exponential control of the trajectories of iterated function systems with application to semi-strong \(\mathrm{GARCH}(p,q)\) models. (English) Zbl 1533.60118 J. Appl. Probab. 60, No. 4, 1501-1515 (2023). MSC: 60H25 62M10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series. (English) Zbl 1525.60065 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 115-139 (2023). MSC: 60G70 62P05 60F05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Cai-feng; Xie, Cong; Ma, Zi-yu; Zhao, Hui-min Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market. (English) Zbl 1538.62325 Acta Math. Appl. Sin., Engl. Ser. 39, No. 4, 791-807 (2023). MSC: 62P05 62M20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Hoshiea, M.; Mousa, A. S.; Pinto, A. A. Optimal social welfare policy within financial and life insurance markets. (English) Zbl 1522.91116 Optimization 72, No. 9, 2367-2391 (2023). MSC: 91B15 93E20 91G15 91G05 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Cuchiero, Christa; Gazzani, Guido; Svaluto-Ferro, Sara Signature-based models: theory and calibration. (English) Zbl 1522.91310 SIAM J. Financ. Math. 14, No. 3, 910-957 (2023). MSC: 91G60 65C20 91B70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Duc, Luu H.; Jost, Jürgen How rough path lifts affect expected return and volatility: a rough model under transaction cost. (English) Zbl 1522.91241 SIAM J. Financ. Math. 14, No. 3, 879-909 (2023). MSC: 91G15 60H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Barmalzan, Ghobad; Kosari, Sajad; Akbar Hosseinzadeh, Ali; Balakrishnan, Narayanaswamy Likelihood ratio and dispersive orders of parallel and series systems consisting of dependent multiple-outlier components. (English) Zbl 07736110 Commun. Stat., Theory Methods 52, No. 19, 6695-6715 (2023). MSC: 60E15 60K10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Tavakoli, Shahin; Nisol, Gilles; Hallin, Marc Factor models for high-dimensional functional time series. II: Estimation and forecasting. (English) Zbl 07731496 J. Time Ser. Anal. 44, No. 5-6, 601-621 (2023). MSC: 62Mxx 62M10 62H25 60G10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Hallin, Marc; Nisol, Gilles; Tavakoli, Shahin Factor models for high-dimensional functional time series. I: Representation results. (English) Zbl 07731495 J. Time Ser. Anal. 44, No. 5-6, 578-600 (2023). MSC: 62Mxx 62M10 62H25 60G10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki Stochastic volatility and realized stochastic volatility models. (English) Zbl 07720963 SpringerBriefs in Statistics. Singapore: Springer (ISBN 978-981-9909-34-6/pbk; 978-981-9909-35-3/ebook). viii, 113 p. (2023). MSC: 60-02 91-02 62P05 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Hongwiengjan, Warunya; Kumam, Poom; Thongtha, Dawud Option pricing with fuzzy-TGARCH volatility clustering. (English) Zbl 1524.62433 Int. J. Math. Comput. Sci. 18, No. 4, 781-803 (2023). MSC: 62P05 62M10 62M86 91G20 × Cite Format Result Cite Review PDF Full Text: Link
Chen, Yu; Ma, Mengyuan; Sun, Hongfang Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model. (English) Zbl 1520.91318 Insur. Math. Econ. 111, 142-162 (2023). MSC: 91G05 62P05 60G70 62G32 × Cite Format Result Cite Review PDF Full Text: DOI
Shimizu, Yasutaka; Shirai, Kana; Kojima, Yuta; Mitsuda, Daiki; Inoue, Mahiro Survival energy models for mortality prediction and future prospects. (English) Zbl 1520.91350 ASTIN Bull. 53, No. 2, 377-391 (2023). MSC: 91G05 62M20 62P05 91D20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhu, Xiaobai; Zhou, Kenneth Q. Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach. (English) Zbl 1518.91232 Eur. Actuar. J. 13, No. 1, 277-305 (2023). MSC: 91G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Han; Zhang, Yu; Wang, Xikui Minimization of ruin probability with joint strategies of investment and reinsurance. (English) Zbl 1532.91109 Commun. Stat., Theory Methods 52, No. 15, 5451-5469 (2023). MSC: 91G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Fu, Bowen Measuring the trend real interest rate in a data-rich environment. (English) Zbl 1518.91292 J. Econ. Dyn. Control 147, Article ID 104606, 17 p. (2023). MSC: 91G30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Marino, Mario; Levantesi, Susanna; Nigri, Andrea A neural approach to improve the Lee-Carter mortality density forecasts. (English) Zbl 1520.91345 N. Am. Actuar. J. 27, No. 1, 148-165 (2023). MSC: 91G05 62P05 62M45 × Cite Format Result Cite Review PDF Full Text: DOI
Majumder, Reetam; Neerchal, Nagaraj K.; Ji, Qing Optimal stock portfolio selection with a multivariate hidden Markov model. (English) Zbl 07705113 Sankhyā, Ser. B 85, No. 1, Suppl., S177-S198 (2023). MSC: 62P05 62H22 62M05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Akahori, Jirô; Fan, Jie Yen; Imamura, Yuri On the convergence order of a binary tree approximation of symmetrized diffusion processes. (English) Zbl 1540.60159 Math. Comput. Simul. 211, 263-277 (2023). MSC: 60H35 60B10 62P05 60J65 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Webster, Kevin T. Handbook of price impact modeling. (English) Zbl 1534.91003 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-032-32822-5/hbk; 978-1-032-32823-2/pbk; 978-1-003-31692-3/ebook). xvi, 416 p. (2023). Reviewer: Paweł Kliber (Poznan) MSC: 91-01 91G15 91G10 91G70 60H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Fieberg, Christian; Metko, Daniel; Poddig, Thorsten; Loy, Thomas Machine learning techniques for cross-sectional equity returns’ prediction. (English) Zbl 1519.91245 OR Spectrum 45, No. 1, 289-323 (2023). MSC: 91G15 62P05 62M20 68T05 × Cite Format Result Cite Review PDF Full Text: DOI
Peng, Xingchun; Zhou, Hao; Luo, Liuling Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching. (English) Zbl 1519.91220 J. Comput. Appl. Math. 425, Article ID 115058, 23 p. (2023). MSC: 91G05 62P05 62M05 × Cite Format Result Cite Review PDF Full Text: DOI
Cheng, Yuyang; Escobar-Anel, Marcos A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions. (English) Zbl 1515.91140 Quant. Finance 23, No. 3, 497-519 (2023). MSC: 91G10 62P05 × Cite Format Result Cite Review PDF 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 × Cite Format Result Cite Review PDF Full Text: DOI
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge Continuous scaled phase-type distributions. (English) Zbl 1514.60018 Stoch. Models 39, No. 2, 293-322 (2023). MSC: 60E05 60G70 60J22 62F10 62N01 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Inci, Ahmet Can Contemporary issues in quantitative finance. (English) Zbl 1534.91008 Routledge Advanced Texts in Economics and Finance 40. Milton Park, Abingdon: Routledge (ISBN 978-1-032-10115-6/hbk; 978-1-032-10112-5/pbk; 978-1-003-21369-7/ebook). x, 291 p. (2023). MSC: 91-06 00B15 91G10 91G15 91G20 91G30 91G45 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Kawakatsu, Hiroyuki Simple factor realized stochastic volatility models. (English) Zbl 1541.62280 J. Time Ser. Econom. 15, No. 1, 79-110 (2023). MSC: 62P05 62M10 62M20 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Tianxiang; Xu, Jie; Hu, Jian-Qiang; Chen, Chun-Hung Efficient estimation of a risk measure requiring two-stage simulation optimization. (English) Zbl 1541.91266 Eur. J. Oper. Res. 305, No. 3, 1355-1365 (2023). MSC: 91G70 62P05 90C15 × Cite Format Result Cite Review PDF Full Text: DOI
Alexopoulos, Angelos; Dellaportas, Petros; Titsias, Michalis K. Variance reduction for Metropolis-Hastings samplers. (English) Zbl 1499.62009 Stat. Comput. 33, No. 1, Paper No. 6, 20 p. (2023). MSC: 62-08 62F15 62J12 62P05 65C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xin, Yue; Gao, Jinwu; Yang, Xiangfeng; Yang, Jing Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market. (English) Zbl 1524.62459 J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023). MSC: 62M10 62M20 62F10 62M86 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Søjmark, Andreas; Wunderlich, Fabrice Functional CLTs for subordinated Lévy models in physics, finance, and econometrics. arXiv:2312.15119 Preprint, arXiv:2312.15119 [math.PR] (2023). MSC: 60G35 60H30 60J75 60F17 60F05 60G50 60G51 60G52 62P05 62P20 62P35 × Cite Format Result Cite Full Text: arXiv OA License
Baños, David R.; Ortiz-Latorre, Salvador; Font, Oriol Zamora Thiele’s PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. arXiv:2309.03541 Preprint, arXiv:2309.03541 [q-fin.PR] (2023). MSC: 60G55 60H30 91G05 91G15 × Cite Format Result Cite Full Text: arXiv
Di Nunno, Giulia; Kubilius, Kęstutis; Mishura, Yuliya; Yurchenko-Tytarenko, Anton From constant to rough: A survey of continuous volatility modeling. arXiv:2309.01033 Preprint, arXiv:2309.01033 [q-fin.MF] (2023). MSC: 91-02 91-03 62P05 60H10 60G22 91G15 91G30 91G80 × Cite Format Result Cite Full Text: arXiv
Laeven, Roger J. A.; Gianin, Emanuela Rosazza; Zullino, Marco Dynamic Return and Star-Shaped Risk Measures via BSDEs. arXiv:2307.03447 Preprint, arXiv:2307.03447 [q-fin.RM] (2023). MSC: 60H10 91B06 60H30 62P05 × Cite Format Result Cite Full Text: arXiv OA License
Bayraktar, Erhan; Das, Purba; Kim, Donghan Hölder regularity and roughness: construction and examples. arXiv:2304.13794 Preprint, arXiv:2304.13794 [math.PR] (2023). MSC: 60H07 60G22 60G17 62P05 62M09 42A16 × Cite Format Result Cite Full Text: arXiv OA License
Peng, Xingchun; Chen, Fenge Mean-variance asset-liability management with inside information. (English) Zbl 07897032 Commun. Stat., Theory Methods 51, No. 7, 2281-2302 (2022). MSC: 97M30 91G80 93E20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Darus, M.; Taib, C. M. I. C. Modelling temperature using CARMA processes with stochastic speed of mean reversion for temperature insurance pricing. (English) Zbl 1533.91420 Malays. J. Math. Sci. 16, No. 2, 273-288 (2022). MSC: 91G05 62P05 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Xisheng On the convergence of two types of estimators of quadratic variation. (English) Zbl 1528.62055 Math. Methods Appl. Sci. 45, No. 18, 12206-12221 (2022). MSC: 62P05 91G70 60G05 × Cite Format Result Cite Review PDF Full Text: DOI
Bodnar, Taras; Dette, Holger; Parolya, Nestor; Thorsén, Erik Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions. (English) Zbl 1523.62079 Random Matrices Theory Appl. 11, No. 1, Article ID 2250008, 47 p. (2022); corrigendum ibid. 12, No. 3, Article ID 2392001, 6 p. (2023). MSC: 62P05 62H10 62H12 62E20 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. (English) Zbl 1522.91272 Math. Finance 32, No. 4, 1086-1132 (2022). MSC: 91G20 60G22 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Farkas, Walter; Ferrari, Francesco; Ulrych, Urban Pricing autocallables under local-stochastic volatility. (English) Zbl 1519.91257 Front. Math. Finance 1, No. 4, 575-610 (2022). MSC: 91G20 91G60 65C05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI