Buckner, Dean; Dowd, Kevin; Hulley, Hardy Arbitrage problems with reflected geometric Brownian motion. (English) Zbl 1530.91544 Finance Stoch. 28, No. 1, 1-26 (2024). MSC: 91G15 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Fishman, George S.; Stidham, Shaler An adaptive strategy for offering \(m\)-out-of-\(n\) insurance policies. (English) Zbl 1519.91211 Probab. Eng. Inf. Sci. 37, No. 1, 106-134 (2023). MSC: 91G05 91B16 × Cite Format Result Cite Review PDF Full Text: DOI
Hess, Markus Explicit representations for utility indifference prices. (English) Zbl 1475.91328 Appl. Math. Finance 28, No. 1, 23-47 (2021). MSC: 91G10 91B16 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Haibo; Tang, Qihe; Yuan, Zhongyi Indifference pricing of insurance-linked securities in a multi-period model. (English) Zbl 1487.91140 Eur. J. Oper. Res. 289, No. 2, 793-805 (2021). MSC: 91G20 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Matsushima, Hitoshi Timing games with irrational types: leverage-driven bubbles and crash-contingent claims. (English) Zbl 1508.91094 B. E. J. Theor. Econ. 20, No. 1, Article ID 20180088, 17 p. (2020). MSC: 91A55 91A80 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Weiping Optimal dividend policy and stock prices. (English) Zbl 1447.91179 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050023, 29 p. (2020). MSC: 91G20 91G50 × Cite Format Result Cite Review PDF Full Text: DOI
Jokhadze, Valeriane; Schmidt, Wolfgang M. Measuring model risk in financial risk management and pricing. (English) Zbl 1443.91342 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050012, 37 p. (2020). MSC: 91G70 62F15 × Cite Format Result Cite Review PDF Full Text: DOI
Matsuda, Takeru; Takemura, Akimichi Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity. (English) Zbl 1436.91110 Japan J. Ind. Appl. Math. 37, No. 1, 213-248 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91A80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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 × Cite Format Result Cite Review PDF Full Text: DOI
Kociński, Marek Andrzej Partial hedging of American contingent claims in a finite discrete time model. (English) Zbl 1419.91621 Appl. Math. 45, No. 2, 161-180 (2018). MSC: 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Carassus, Laurence; Vargiolu, Tiziano Super-replication price: it can be OK. (English. French summary) Zbl 1419.91606 ESAIM, Proc. Surv. 64, 54-64 (2018). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Galai, Dan; Wiener, Zvi Dividend policy relevance in a levered firm – the binomial case. (English) Zbl 1406.91478 Econ. Lett. 172, 78-80 (2018). MSC: 91G50 × Cite Format Result Cite Review PDF Full Text: DOI
Silaghi, Florina The use of equity financing in debt renegotiation. (English) Zbl 1401.91596 J. Econ. Dyn. Control 86, 123-143 (2018). MSC: 91G80 91B25 × Cite Format Result Cite Review PDF Full Text: DOI
Guo, Wenjing; Li, Sijie Pricing and hedging of the defaultable CPPI with jump processes. (Chinese. English summary) Zbl 1399.91094 J. Lanzhou Univ., Nat. Sci. 53, No. 4, 545-551 (2017). MSC: 91G10 91G40 60J75 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Bank, Peter; Soner, H. Mete; Voß, Moritz Hedging with temporary price impact. (English) Zbl 1409.91226 Math. Financ. Econ. 11, No. 2, 215-239 (2017). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 91G10 91G80 93E20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, Claudia; Manelli, Claudio Default probability estimation via pair copula constructions. (English) Zbl 1346.91106 Eur. J. Oper. Res. 249, No. 1, 298-311 (2016). MSC: 91B30 91B38 62P05 62G05 62H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Vitiello, Luiz; Rebelo, Ivonia A note on the pricing of multivariate contingent claims under a transformed-gamma distribution. (English) Zbl 1345.91076 Rev. Deriv. Res. 18, No. 3, 291-300 (2015). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Liu, Xuanhui; Han, Youpan; Zhang, Xiajie; Jia, Danqin The problem research on the hedging strategy of a mixed contingent claim under mean-variance criterion. (Chinese. English summary) Zbl 1349.91280 Acta Math. Appl. Sin. 38, No. 6, 1115-1125 (2015). MSC: 91G20 60J75 91G80 93E20 × Cite Format Result Cite Review PDF
Schröder, Michael Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance. (English) Zbl 1339.60117 Methodol. Comput. Appl. Probab. 17, No. 2, 285-313 (2015). MSC: 60J60 60G51 60H30 60H10 60G10 65C99 91G20 91G80 91G60 33C45 33F05 × Cite Format Result Cite Review PDF Full Text: DOI
Ellanskaya, A.; Vostrikova, L. Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities. (English) Zbl 1403.91338 Proc. Steklov Inst. Math. 287, 68-95 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91B16 60G48 60J75 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
Shao, Jiguang; Wang, Jun A study of stock price process by continuum percolation theory. (Chinese. English summary) Zbl 1324.91082 J. Syst. Eng. 29, No. 4, 487-493 (2014). MSC: 91G80 60K35 82B43 91G20 × Cite Format Result Cite Review PDF
Angelini, Flavio; Herzel, Stefano Delta hedging in discrete time under stochastic interest rate. (English) Zbl 1314.91232 J. Comput. Appl. Math. 259 B, 385-393 (2014). MSC: 91G60 91G30 65R10 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Anthropelos, Michail Forward exponential performances: pricing and optimal risk sharing. (English) Zbl 1308.91154 SIAM J. Financ. Math. 5, 626-655 (2014). MSC: 91G20 91G10 91G99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bichuch, Maxim Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. (English) Zbl 1303.91169 Finance Stoch. 18, No. 3, 651-694 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60H10 60H30 41A60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Schröder, Michael On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type. (English) Zbl 1293.91180 J. Comput. Appl. Math. 260, 36-53 (2014). MSC: 91G20 91G60 91B70 60G51 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Tkalinski, Tomasz J. Convex hedging of non-superreplicable claims in discrete-time market models. (English) Zbl 1408.91225 Math. Methods Oper. Res. 79, No. 2, 239-252 (2014). MSC: 91G20 46N10 49K35 91B30 91B70 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Acciaio, Beatrice; Svindland, Gregor On the lower arbitrage bound of American contingent claims. (English) Zbl 1291.91202 Math. Finance 24, No. 1, 147-155 (2014). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Dokuchaev, Nikolai Optimal replication of random claims by ordinary integrals with applications in finance. (English) Zbl 07876487 Fahroo, Fariba (ed.) et al., SIAM conference on control and its applications, CT’13, San Diego, CA, USA, July 8–10, 2013. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM). 59-66 (2013). MSC: 93E20 60H30 91G10 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ruf, Johannes Negative call prices. (English) Zbl 1298.91168 Ann. Finance 9, No. 4, 787-794 (2013). MSC: 91G20 60H30 91B24 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Englezos, Nikolaos; Frangos, Nikolaos E.; Kartala, Xanthi-Isidora; Yannacopoulos, Athanasios N. Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation. (English) Zbl 1291.60128 Stochastic Processes Appl. 123, No. 8, 3239-3272 (2013). MSC: 60H15 60H30 35R60 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Denkl, Stephan; Goy, Martina; Kallsen, Jan; Muhle-Karbe, Johannes; Pauwels, Arnd On the performance of delta hedging strategies in exponential Lévy models. (English) Zbl 1281.91158 Quant. Finance 13, No. 8, 1173-1184 (2013). MSC: 91G20 44A10 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Khasanov, R. V. [Zhitlukhin, M. V.] On the upper hedging price of contingent claims. (English. Russian original) Zbl 1287.91144 Theory Probab. Appl. 57, No. 4, 607-618 (2013); translation from Teor. Veroyatn. Primen. 57, No. 4, 657-681 (2012). Reviewer: Răzvan Răducanu (Iaşi) MSC: 91G20 60G48 × Cite Format Result Cite Review PDF Full Text: DOI
Fontana, Claudio; Runggaldier, Wolfgang J. Diffusion-based models for financial markets without martingale measures. (English) Zbl 1306.91125 Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 45-81 (2013). MSC: 91G10 60G44 60J70 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dokuchaev, Nikolai Optimal replication of random vectors by ordinary integrals. (English) Zbl 1257.93112 Syst. Control Lett. 62, No. 1, 43-47 (2013). MSC: 93E20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Xiao, Qingxian; Liu, Limin Multi-period mean-variance portfolio selection with a benchmark process. (English) Zbl 1254.91716 Int. J. Contemp. Math. Sci. 7, No. 33-36, 1727-1734 (2012). MSC: 91G10 90C90 × Cite Format Result Cite Review PDF Full Text: Link
Kociński, Marek Andrzej The martingale method of shortfall risk minimization in a discrete time market. (English) Zbl 1254.91724 Appl. Math. 39, No. 4, 413-424 (2012). MSC: 91G20 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Nakajima, Ryuichi; Kumon, Masayuki Approximations and asymptotics of upper hedging prices in multinomial models. (English) Zbl 1261.91045 Japan J. Ind. Appl. Math. 29, No. 1, 1-21 (2012). MSC: 91G20 91A60 93E20 90C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pınar, Mustafa Ç. Gain-loss based convex risk limits in discrete-time trading. (English) Zbl 1253.91180 Comput. Manag. Sci. 8, No. 3, 299-321 (2011). MSC: 91G20 91G10 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Coviello, Rosanna; di Girolami, Cristina; Russo, Francesco On stochastic calculus related to financial assets without semimartingales. (English) Zbl 1233.91337 Bull. Sci. Math. 135, No. 6-7, 733-774 (2011). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G80 91B24 60G48 60H05 60H07 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Elliott, Robert J.; Siu, Tak Kuen Utility-based indifference pricing in regime-switching models. (English) Zbl 1237.91220 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 74, No. 17, 6302-6313 (2011). MSC: 91G40 91G20 93E20 90C05 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Yoon, Ji Hee; Jang, Bong-Gyu; Roh, Kum-Hwan An analytic valuation method for multivariate contingent claims with regime-switching volatilities. (English) Zbl 1219.91144 Oper. Res. Lett. 39, No. 3, 180-187 (2011). MSC: 91G20 91G70 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Broeders, Dirk; Chen, An; Koos, Birgit A utility-based comparison of pension funds and life insurance companies under regulatory constraints. (English) Zbl 1218.91070 Insur. Math. Econ. 49, No. 1, 1-10 (2011). MSC: 91B30 91B16 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Belyavsky, G. I.; Danilova, N. V.; Sushko, S. S. The ways of finding fair prices of contingent claims for the discrete and continuous cases when parameters of \((B, S)\)-market may change at stochastic point of time. (Russian) Zbl 1224.91147 Izv. Vyssh. Uchebn. Zaved., Sev.-Kavk. Reg., Estestv. Nauki 2010, No. 6, 5-8 (2010). MSC: 91G20 91G60 91B24 × Cite Format Result Cite Review PDF
Song, Ruili; Wang, Bo Backward stochastic differential equation on hedging American contingent claims. (English) Zbl 1219.60060 Math. Comput. Appl. 15, No. 5, 895-900 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 91G20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Tehranchi, Michael R. Characterizing attainable claims: a new proof. (English) Zbl 1226.91020 J. Appl. Probab. 47, No. 4, 1013-1022 (2010). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 91B25 60G42 × Cite Format Result Cite Review PDF Full Text: DOI
Ayache, Elie The blank swan. The end of probability. (English) Zbl 1222.91003 Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-72522-1/hbk). xx, 476 p. (2010). Reviewer: Jörg Kampen (Hattingen) MSC: 91-03 91Bxx 01A75 × Cite Format Result Cite Review PDF
Hamadène, Said; Zhang, Jianfeng The continuous time nonzero-sum Dynkin game problem and application in game options. (English) Zbl 1202.91020 SIAM J. Control Optim. 48, No. 5, 3659-3669 (2010). Reviewer: Pavel Stoynov (Sofia) MSC: 91A15 91A10 91A30 60G40 91A60 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Angelini, Flavio; Herzel, Stefano Explicit formulas for the minimal variance hedging strategy in a martingale case. (English) Zbl 1202.91310 Decis. Econ. Finance 33, No. 1, 63-79 (2010). MSC: 91G20 60G42 × Cite Format Result Cite Review PDF Full Text: DOI
Pınar, Mustafa Ç. Gain-loss pricing under ambiguity of measure. (English) Zbl 1186.91219 ESAIM, Control Optim. Calc. Var. 16, No. 1, 132-147 (2010). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91G20 91B25 90C15 90C90 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Pınar, Mustafa Ç.; Salih, Aslıhan; Camcı, Ahmet Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming. (English) Zbl 1173.91397 Eur. J. Oper. Res. 201, No. 3, 770-785 (2010). MSC: 91G20 90C15 90C05 × Cite Format Result Cite Review PDF Full Text: DOI
Corradini, M.; Gheno, A. Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework. (English) Zbl 1231.91429 Insur. Math. Econ. 45, No. 2, 180-187 (2009). MSC: 91G20 91B24 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Hua On approximate hedging a contingent claim in the minimum variance criterion. (English. Chinese summary) Zbl 1211.91234 J. Math., Wuhan Univ. 29, No. 6, 725-732 (2009). MSC: 91G20 60G42 × Cite Format Result Cite Review PDF
Wei, Yuesong; Lin, Meiyan The contingent claim pricing with continuous dividend and stochastic volatility. (Chinese. English summary) Zbl 1199.91225 Pure Appl. Math. 25, No. 2, 351-355 (2009). MSC: 91G20 91B25 60G48 × Cite Format Result Cite Review PDF
Angelini, Flavio; Herzel, Stefano Measuring the error of dynamic hedging: a Laplace transform approach. (English) Zbl 1187.91205 J. Comput. Finance 13, No. 2, 47-72 (2009). MSC: 91G20 91B25 91G60 65R10 44A10 × Cite Format Result Cite Review PDF Full Text: DOI
Camcı, Ahmet; Pınar, Mustafa Ç. Pricing American contingent claims by stochastic linear programming. (English) Zbl 1167.90599 Optimization 58, No. 6, 627-640 (2009). MSC: 90C11 90C90 91B28 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kallio, Markku; Pirjetä, Antti Computational methods for incentive option valuation. (English) Zbl 1205.90208 Comput. Manag. Sci. 6, No. 2, 209-231 (2009). MSC: 90C15 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Bensoussan, Alain Real options. (English) Zbl 1180.91303 Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 531-572 (2009). MSC: 91G50 91B25 91G80 49J40 × Cite Format Result Cite Review PDF Full Text: DOI
Pınar, Mustafa Ç. Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming. (English) Zbl 1283.91182 Automatica 44, No. 8, 2063-2073 (2008). MSC: 91G20 93E03 90C25 × Cite Format Result Cite Review PDF Full Text: DOI Link
Xue, Hong; Wang, Lasheng Pricing of maximum or minimum option in the fractional Brownian motion environment. (Chinese. English summary) Zbl 1174.60391 Chin. J. Eng. Math. 25, No. 5, 843-850 (2008). MSC: 60H10 60J65 91G20 × Cite Format Result Cite Review PDF
Xia, Jianming; Yan, Jia-An Convex duality theory for optimal investment. (English) Zbl 1175.91009 Lau, Ka-Sing (ed.) et al., Third international congress of Chinese mathematicians. Part 2. Proceedings of the ICCM ’04, Hong Kong, China, December 17–22, 2004. Providence, RI: American Mathematical Society (AMS); Somerville, MA: International Press (ISBN 978-0-8218-4452-6/pbk; 978-0-8218-4416-8/set). AMS/IP Studies in Advanced Mathematics 42, 2, 663-678 (2008). MSC: 91-02 91G20 91G80 91B16 60G48 × Cite Format Result Cite Review PDF
Kholodnyi, Valery A. Universal contingent claims and valuation multiplicative measures with examples and applications. (English) Zbl 1142.91393 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 69, No. 3, 880-890 (2008). MSC: 91B02 91B28 91B30 91B70 28B10 47D06 47H20 47J35 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zengjing; Davison, Matt; Reesor, Mark; Zhang, Ying An additivity of maximum expectations and its applications. (English) Zbl 1195.91173 Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 67-79 (2007). MSC: 91G60 60H07 91G20 91B25 65C30 × Cite Format Result Cite Review PDF
Nguyen Van Huu; Vuong, Quan Hoang On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion. (English) Zbl 1173.91395 Jeltsch, Rolf (ed.) et al., Some topics in industrial and applied mathematics. Based on lectures delivered at the Shanghai Forum on Industrial and Applied Mathematics, Shanghai, China, May 26–27, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-934-9/hbk). Series in Contemporary Applied Mathematics CAM 8, 134-151 (2007). MSC: 91B28 60G42 60G44 60H10 60H30 × Cite Format Result Cite Review PDF
Sun, Wangui Interest rate risk and contingent claim pricing. (Chinese. English summary) Zbl 1150.91390 J. Syst. Sci. Math. Sci. 27, No. 2, 219-228 (2007). MSC: 91G20 91G30 91B30 × Cite Format Result Cite Review PDF
Oertel, Frank; Owen, Mark On utility-based superreplication prices of contingent claims with unbounded payoffs. (English) Zbl 1210.91135 J. Appl. Probab. 44, No. 4, 880-888 (2007). MSC: 91G20 46N10 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Vellekoop, Michel; Nieuwenhuis, Hans On option pricing models in the presence of heavy tails. (English) Zbl 1151.91550 Quant. Finance 7, No. 5, 563-573 (2007). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kramkov, D.; Sîrbu, M. Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. (English) Zbl 1134.91439 Stochastic Processes Appl. 117, No. 11, 1606-1620 (2007). MSC: 91B28 91B26 90C26 × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Jin-Ping; Yu, Min-Teh Valuation of catastrophe reinsurance with catastrophe bonds. (English) Zbl 1193.91067 Insur. Math. Econ. 41, No. 2, 264-278 (2007). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R. Hedging with a correlated asset: Solution of a nonlinear pricing PDE. (English) Zbl 1152.91033 J. Comput. Appl. Math. 200, No. 1, 86-115 (2007). MSC: 91B28 65M12 65M60 × Cite Format Result Cite Review PDF Full Text: DOI
Meng, Qingxin; Wang, Bo Arbitrage-free interval of American contingent claims under proportional transaction cost. (English) Zbl 1302.91183 J. Control Theory Appl. 4, No. 2, 114-120 (2006). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Kramkov, Dmitry; Sîrbu, Mihai Sensitivity analysis of utility-based prices and risk-tolerance wealth processes. (English) Zbl 1132.91426 Ann. Appl. Probab. 16, No. 4, 2140-2194 (2006). MSC: 91B16 90C26 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bergenthum, Jan; Rüschendorf, Ludger Comparison of option prices in semimartingale models. (English) Zbl 1101.91028 Finance Stoch. 10, No. 2, 222-249 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60J75 × Cite Format Result Cite Review PDF Full Text: DOI
Vellekoop, M. H.; Vd Kamp, A. A.; Post, B. A. Pricing and hedging guaranteed returns on mix funds. (English) Zbl 1168.91403 Insur. Math. Econ. 38, No. 3, 585-598 (2006). MSC: 91B28 91B30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yong, Jiongmin Completeness of security markets and solvability of linear backward stochastic differential equations. (English) Zbl 1092.60025 J. Math. Anal. Appl. 319, No. 1, 333-356 (2006). Reviewer: Alexandr B. Vasil’ev (Odessa) MSC: 60H15 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Shujin; Li, Shenghong Pricing American interest rate option on zero-coupon bond numerically. (English) Zbl 1137.91460 Appl. Math. Comput. 175, No. 1, 834-850 (2006). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Williams, R. J. Introduction to the mathematics of finance. (English) Zbl 1116.91051 Graduate Studies in Mathematics 72. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3903-9/hbk). viii, 150 p. (2006). Reviewer: Gong Guanglu (Beijing) MSC: 91B28 91-01 60G44 × Cite Format Result Cite Review PDF
Favero, Gino Shortfall risk minimization versus symmetric (quadratic) hedging. (English) Zbl 1124.91334 Decis. Econ. Finance 28, No. 1, 1-8 (2005). MSC: 91B28 91B70 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Bernhard, Pierre The robust control approach to option pricing and interval models: an overview. (English) Zbl 1126.91360 Breton, Michèle (ed.) et al., Numerical methods in finance. New York, NY: Springer (ISBN 0-387-25117-0/hbk). GERAD 25th Anniversary Series 9, 91-108 (2005). MSC: 91G20 × Cite Format Result Cite Review PDF
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu Continuous-time mean-variance portfolio selection with bankruptcy prohibition. (English) Zbl 1153.91466 Math. Finance 15, No. 2, 213-244 (2005). MSC: 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Kholodnyi, Valery A. Universal contingent claims in a general market environment and multiplicative measures: examples and applications. (English) Zbl 1134.91433 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 62, No. 8, 1437-1452 (2005). MSC: 91B28 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Bergenthum, Jan Comparison of semimartingales and Lévy processes with applications to financial mathematics. (English) Zbl 1116.60007 Freiburg i. Br.: Universität Freiburg, Fakultät für Mathematik und Physik. iii, 118 p. (2005). Reviewer: Ludger Rüschendorf (Freiburg i. Br.) MSC: 60E15 60G48 60G51 91B28 60J75 × Cite Format Result Cite Review PDF Full Text: Link
Melnikov, A. V.; Nachaev, M. L. On the pricing of equity linked-life insurance contracts in Gaussian financial environment. (English) Zbl 1102.91053 Teor. Jmovirn. Mat. Stat. 70, 94-100 (2004) and Theory Probab. Math. Stat. 70, 105-111 (2005). MSC: 91B28 91B30 × Cite Format Result Cite Review PDF
Peng, Daheng; Han, Maoan Optimal contingent claims and consumption. (English) Zbl 1139.91339 Int. J. Theor. Appl. Finance 8, No. 4, 463-482 (2005). MSC: 91B28 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Santacroce, Marina On the convergence of the \(p\)-optimal martingale measures to the minimal entropy martingale measure. (English) Zbl 1108.91045 Stochastic Anal. Appl. 23, No. 1, 31-54 (2005). MSC: 91B28 60H30 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Melnikov, Alexander V.; Petrachenko, Yury G. On option pricing in binomial market with transaction costs. (English) Zbl 1060.62121 Finance Stoch. 9, No. 1, 141-149 (2005). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 62P05 91G20 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Lepeltier, J.-P.; Matoussi, A.; Xu, M. Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions. (English) Zbl 1086.60035 Adv. Appl. Probab. 37, No. 1, 134-159 (2005). Reviewer: Volker Wihstutz (Charlotte) MSC: 60H10 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Stummer, Wolfgang Exponentials, diffusions, finance, entropy and information. (English) Zbl 1140.91013 Aachen: Shaker Verlag (ISBN 3-8322-3186-2/pbk). viii, 223 p. (2004). Reviewer: Silvia Curteanu (Iaşi) MSC: 91-02 94-02 60-02 62-02 × Cite Format Result Cite Review PDF Full Text: Link
Di Francesco, Marco; Pascucci, Andrea On the complete model with stochastic volatility by Hobson and Rogers. (English) Zbl 1092.91024 Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 460, No. 2051, 3327-3338 (2004). MSC: 91B28 35H10 35K55 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Kalotay, Andrew; Yang, Deane; Fabozzi, Frank J. An option-theoretic prepayment model for mortgages and mortgage-backed securities. (English) Zbl 1090.91042 Int. J. Theor. Appl. Finance 7, No. 8, 949-978 (2004). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Carmona, Rene; Tehranchi, Michael A characterization of hedging portfolios for interest rate contingent claims. (English) Zbl 1048.60049 Ann. Appl. Probab. 14, No. 3, 1267-1294 (2004). Reviewer: George Stoica (Saint John) MSC: 60H30 60H07 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Dianfa Optimal premium in randomly constrained markets. (English) Zbl 1049.60061 Math. Appl. 17, No. 1, 26-30 (2004). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60H30 60J70 × Cite Format Result Cite Review PDF
Mania, Michael; Santacroce, Marina; Tevzadze, Revaz A semimartingale BSDE related to the minimal entropy martingale measure. (English) Zbl 1063.91037 Finance Stoch. 7, No. 3, 385-402 (2003). Reviewer: M. P. Moklyachuk (Kyïv) MSC: 91B28 60H30 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Mania, M.; Tevzadze, R. A unified characterization of \(q\)-optimal and minimal entropy martingale measures by semimartingale backward equations. (English) Zbl 1040.60058 Georgian Math. J. 10, No. 2, 289-310 (2003). Reviewer: Rainer Buckdahn (Brest) MSC: 60H30 91B28 90C39 × Cite Format Result Cite Review PDF Full Text: EuDML
Rásonyi, Miklós A remark on the superhedging theorem under transaction costs. (English) Zbl 1062.91038 Azéma, J. (ed.) et al., 37th seminar on probability. Berlin: Springer (ISBN 3-540-20520-9/pbk). Lect. Notes Math. 1832, 394-398 (2003). MSC: 91B28 × Cite Format Result Cite Review PDF
Mania, Michael; Tevzadze, Revaz A semimartingale backward equation and the variance-optimal martingale measure under general information flow. (English) Zbl 1125.91356 SIAM J. Control Optim. 42, No. 5, 1703-1726 (2003). MSC: 91B28 60H30 90C39 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Motoczyński, Michał Risk minimization in the model with transaction costs. (English) Zbl 1141.91019 Appl. Math. 30, No. 2, 209-216 (2003). Reviewer: Bogdan A. Choczewski (Kraków) MSC: 91B28 91B26 91B30 60K25 60K30 90B22 90B50 × Cite Format Result Cite Review PDF Full Text: DOI
Hui, C. H.; Lo, C. F. Effect of asset value correlation on credit-linked note values. (English) Zbl 1107.91352 Int. J. Theor. Appl. Finance 5, No. 5, 455-478 (2002). MSC: 91B30 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Kijima, Masaaki Monotonicity and convexity of option prices revisited. (English) Zbl 1029.91035 Math. Finance 12, No. 4, 411-425 (2002). Reviewer: Klaus Schürger (Bonn) MSC: 91B28 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Kirch, Michael Efficient hedging in incomplete markets under model uncertainty. (English) Zbl 1032.91066 Berlin: Humboldt-Univ., Mathematisch-Naturwissenschaftliche Fakultät II (Diss.). electronic (2002). MSC: 91B28 91B82 × Cite Format Result Cite Review PDF Full Text: Link
Chen, Dianfa; Wu, Rong Pricing contingent claims in a constrained market. (Chinese. English summary) Zbl 1040.91046 J. Eng. Math., Xi’an 19, No. 4, 111-116, 105 (2002). MSC: 91B28 × Cite Format Result Cite Review PDF