×

Found 1,133 Documents (Results 1–100)

A guaranteed deterministic approach to superhedging: the relationship between the deterministic and probabilistic problem statements without trading constraints. (English. Russian original) Zbl 1512.91154

Theory Probab. Appl. 67, No. 4, 548-569 (2023); translation from Teor. Veroyatn. Primen. 67, No. 4, 548-569 (2022).
MSC:  91G20 60G40
PDFBibTeX XMLCite
Full Text: DOI

Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem. (English. Russian original) Zbl 1508.91570

Autom. Remote Control 83, No. 11, 1820-1842 (2022); translation from Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020).
MSC:  91G20 91A80
PDFBibTeX XMLCite
Full Text: DOI

Notes on backward stochastic differential equations for computing XVA. (English) Zbl 07827227

Cheng, Jin (ed.) et al., Proceedings of the forum Math-for-Industry 2018. Big data analysis, AI, Fintech, math in finances and economics, Shanghai, China, November 17–21, 2018. Singapore: Springer. Math. Ind. (Tokyo) 35, 15-50 (2021).
PDFBibTeX XMLCite
Full Text: DOI arXiv

On stablecoin price processes and arbitrage. (English) Zbl 1492.91457

Bernhard, Matthew (ed.) et al., Financial cryptography and data security. FC 2021 international workshops. Codecfin, DeFi, VOTING, and WTSC, virtual event, March 5, 2021. Revised selected papers. Berlin: Springer. Lect. Notes Comput. Sci. 12676, 124-135 (2021).
MSC:  91G99 94A60
PDFBibTeX XMLCite
Full Text: DOI

Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations. (English. Russian original) Zbl 1480.91295

Autom. Remote Control 82, No. 11, 2024-2040 (2021); translation from Mat. Teor. Igr Prilozh. 11, No. 4, 87-115 (2019).
MSC:  91G20
PDFBibTeX XMLCite
Full Text: DOI

A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports. (English) Zbl 1479.91417

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 355-372 (2021).
MSC:  91G20 91A80
PDFBibTeX XMLCite
Full Text: DOI

Filter Results by …

Document Type

all top 5

Author

all top 5

Serial

all top 5

Year of Publication

all top 3

Main Field

Biographic Reference

all top 3

Software