Bao, Nguyen Xuan Duy; Khanh, Phan Quoc; Tung, Nguyen Minh On necessary optimality conditions with higher-order complementarity slackness for set-valued optimization problems. (English) Zbl 07536251 Set-Valued Var. Anal. 30, No. 2, 465-486 (2022). MSC: 90C29 49J52 90C46 90C48 PDF BibTeX XML Cite \textit{N. X. D. Bao} et al., Set-Valued Var. Anal. 30, No. 2, 465--486 (2022; Zbl 07536251) Full Text: DOI OpenURL
Pham, Thanh-Hung On generalized second-order proto-differentiability of the benson proper perturbation maps in parametric vector optimization problems. (English) Zbl 07490121 Positivity 26, No. 2, Paper No. 27, 36 p. (2022). MSC: 90C31 90C29 90C26 PDF BibTeX XML Cite \textit{T.-H. Pham}, Positivity 26, No. 2, Paper No. 27, 36 p. (2022; Zbl 07490121) Full Text: DOI OpenURL
Koziol, Christian; Weitz, Sebastian Does model complexity improve pricing accuracy? The case of Cocos. (English) Zbl 1479.91404 Rev. Deriv. Res. 24, No. 3, 261-284 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{C. Koziol} and \textit{S. Weitz}, Rev. Deriv. Res. 24, No. 3, 261--284 (2021; Zbl 1479.91404) Full Text: DOI OpenURL
Kreps, David M.; Schachermayer, Walter Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets. (English) Zbl 1475.91359 Theor. Econ. 16, No. 1, 25-47 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{D. M. Kreps} and \textit{W. Schachermayer}, Theor. Econ. 16, No. 1, 25--47 (2021; Zbl 1475.91359) Full Text: DOI OpenURL
Kenc, Turalay; Cevik, Emrah Ismail; Dibooglu, Sel Bank default indicators with volatility clustering. (English) Zbl 1467.91199 Ann. Finance 17, No. 1, 127-151 (2021). Reviewer: George Stoica (Saint John) MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{T. Kenc} et al., Ann. Finance 17, No. 1, 127--151 (2021; Zbl 1467.91199) Full Text: DOI OpenURL
Liu, Haibo; Tang, Qihe; Yuan, Zhongyi Indifference pricing of insurance-linked securities in a multi-period model. (English) Zbl 07354355 Eur. J. Oper. Res. 289, No. 2, 793-805 (2021). MSC: 91G20 91G05 93E20 PDF BibTeX XML Cite \textit{H. Liu} et al., Eur. J. Oper. Res. 289, No. 2, 793--805 (2021; Zbl 07354355) Full Text: DOI OpenURL
Anh, Nguyen Le Hoang; Linh, Ha Manh Sensitivity analysis for set-valued equilibrium problems. (English) Zbl 1484.49031 Positivity 25, No. 1, 31-48 (2021). Reviewer: Radu Ioan Bot (Wien) MSC: 49J53 54C60 90C31 90C56 28B20 PDF BibTeX XML Cite \textit{N. Le H. Anh} and \textit{H. M. Linh}, Positivity 25, No. 1, 31--48 (2021; Zbl 1484.49031) Full Text: DOI OpenURL
Liang, Jin; Zou, Hongchun Valuation of credit contingent interest rate swap with credit rating migration. (English) Zbl 1483.91254 Int. J. Comput. Math. 97, No. 12, 2546-2560 (2020). MSC: 91G60 65M06 91G20 91G30 91G40 PDF BibTeX XML Cite \textit{J. Liang} and \textit{H. Zou}, Int. J. Comput. Math. 97, No. 12, 2546--2560 (2020; Zbl 1483.91254) Full Text: DOI OpenURL
Fajardo, José; Mendes, Layla On the propensity to issue contingent convertible (CoCo) bonds. (English) Zbl 1466.91335 Quant. Finance 20, No. 4, 691-707 (2020). MSC: 91G20 91G45 PDF BibTeX XML Cite \textit{J. Fajardo} and \textit{L. Mendes}, Quant. Finance 20, No. 4, 691--707 (2020; Zbl 1466.91335) Full Text: DOI OpenURL
Das, K.; Nahak, C. Sufficiency and duality in set-valued optimization problems under \((p, r)-\rho-(\eta, \theta)\)-invexity. (English) Zbl 07351420 Acta Univ. Apulensis, Math. Inform. 62, 93-110 (2020). MSC: 90C29 90C46 PDF BibTeX XML Cite \textit{K. Das} and \textit{C. Nahak}, Acta Univ. Apulensis, Math. Inform. 62, 93--110 (2020; Zbl 07351420) Full Text: DOI OpenURL
Matusik, Radosław; Nowakowski, Andrzej; Plaskacz, Sławomir; Rogowski, Andrzej Finite-time stability for differential inclusions with applications to neural networks. (English) Zbl 1456.34016 SIAM J. Control Optim. 58, No. 5, 2854-2870 (2020). Reviewer: Aurelian Cernea (Bucharest) MSC: 34A60 34D20 92B20 93D40 PDF BibTeX XML Cite \textit{R. Matusik} et al., SIAM J. Control Optim. 58, No. 5, 2854--2870 (2020; Zbl 1456.34016) Full Text: DOI arXiv OpenURL
Le, Thanh Tung; Pham, Thanh Hung Sensitivity analysis in parametric vector optimization in Banach spaces via \(\tau^w\)-contingent derivatives. (English) Zbl 1448.49048 Turk. J. Math. 44, No. 1, 152-168 (2020). MSC: 49Q12 90C26 90C29 90C30 PDF BibTeX XML Cite \textit{T. T. Le} and \textit{T. H. Pham}, Turk. J. Math. 44, No. 1, 152--168 (2020; Zbl 1448.49048) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{W. Li}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050023, 29 p. (2020; Zbl 1447.91179) Full Text: DOI OpenURL
Tung, Nguyen Minh New higher-order strong Karush-Kuhn-Tucker conditions for proper solutions in nonsmooth optimization. (English) Zbl 1464.90093 J. Optim. Theory Appl. 185, No. 2, 448-475 (2020). Reviewer: Sorin-Mihai Grad (Wien) MSC: 90C29 49J52 90C46 90C48 PDF BibTeX XML Cite \textit{N. M. Tung}, J. Optim. Theory Appl. 185, No. 2, 448--475 (2020; Zbl 1464.90093) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. Matsuda} and \textit{A. Takemura}, Japan J. Ind. Appl. Math. 37, No. 1, 213--248 (2020; Zbl 1436.91110) Full Text: DOI arXiv OpenURL
Anh, Nguyen Le Hoang; Thoa, Nguyen Thanh Calculus rules of the generalized contingent derivative and applications to set-valued optimization. (English) Zbl 1442.49019 Positivity 24, No. 1, 81-94 (2020). Reviewer: Vasile Postolică (Piatra Neamt) MSC: 49J53 49Q12 90C46 PDF BibTeX XML Cite \textit{N. Le H. Anh} and \textit{N. T. Thoa}, Positivity 24, No. 1, 81--94 (2020; Zbl 1442.49019) Full Text: DOI OpenURL
Atarzadeh, S.; Fakhar, M.; Zafarani, J. Characterizing the Lagrange multiplier rule in nonconvex set-valued optimization. (English) Zbl 1463.90232 Carpathian J. Math. 35, No. 3, 407-416 (2019). MSC: 90C46 90C29 49J53 PDF BibTeX XML Cite \textit{S. Atarzadeh} et al., Carpathian J. Math. 35, No. 3, 407--416 (2019; Zbl 1463.90232) OpenURL
Meng, Xudong Optimal conditions and duality of approximate efficient solutions for set-valued vector optimization problems. (Chinese. English summary) Zbl 1449.90362 J. Jilin Univ., Sci. 57, No. 5, 1065-1074 (2019). MSC: 90C46 49J53 PDF BibTeX XML Cite \textit{X. Meng}, J. Jilin Univ., Sci. 57, No. 5, 1065--1074 (2019; Zbl 1449.90362) Full Text: DOI OpenURL
Anh, Nguyen Le Hoang Second-order sensitivity analysis for parametric equilibrium problems in set-valued optimization. (English) Zbl 1428.90164 RAIRO, Oper. Res. 53, No. 4, 1245-1260 (2019). Reviewer: Radu Ioan Bot (Wien) MSC: 90C31 49J53 54C60 49J52 PDF BibTeX XML Cite \textit{N. Le H. Anh}, RAIRO, Oper. Res. 53, No. 4, 1245--1260 (2019; Zbl 1428.90164) Full Text: DOI OpenURL
Anh, Nguyen Le Hoang On higher-order sensitivity analysis of parametric Henig set-valued equilibrium problems. (English) Zbl 07122686 Numer. Funct. Anal. Optim. 40, No. 15, 1822-1839 (2019). MSC: 90C31 90C48 46N10 49J53 49K40 54C60 90C29 PDF BibTeX XML Cite \textit{N. Le H. Anh}, Numer. Funct. Anal. Optim. 40, No. 15, 1822--1839 (2019; Zbl 07122686) Full Text: DOI 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
Nguyen Le Hoang Anh Second-order composed contingent derivatives of perturbation maps in set-valued optimization. (English) Zbl 1438.46050 Comput. Appl. Math. 38, No. 3, Paper No. 145, 22 p. (2019). MSC: 46G05 49J52 54C60 90C31 PDF BibTeX XML Cite \textit{Nguyen Le Hoang Anh}, Comput. Appl. Math. 38, No. 3, Paper No. 145, 22 p. (2019; Zbl 1438.46050) 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
Gapeev, Pavel V.; Jeanblanc, Monique Defaultable claims in switching models with partial information. (English) Zbl 1411.91599 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950006, 18 p. (2019). MSC: 91G40 91G20 60J70 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{M. Jeanblanc}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950006, 18 p. (2019; Zbl 1411.91599) Full Text: DOI OpenURL
Bienek, T.; Scherer, M. Valuation of contingent guarantees using least-squares Monte Carlo. (English) Zbl 1419.91348 ASTIN Bull. 49, No. 1, 31-56 (2019). MSC: 91B30 91G20 60G40 60G44 91G60 PDF BibTeX XML Cite \textit{T. Bienek} and \textit{M. Scherer}, ASTIN Bull. 49, No. 1, 31--56 (2019; Zbl 1419.91348) Full Text: DOI OpenURL
Liang, Hongwei; Wan, Zhongping; He, Qilong Sensitivity for second-order composed contingent derivatives under Benson proper efficiency. (English) Zbl 1465.90107 Pac. J. Optim. 14, No. 3, 463-477 (2018). Reviewer: Vasile Postolică (Piatra Neamţ) MSC: 90C31 49J53 46G05 49Q12 PDF BibTeX XML Cite \textit{H. Liang} et al., Pac. J. Optim. 14, No. 3, 463--477 (2018; Zbl 1465.90107) Full Text: Link OpenURL
Hassani, S.; Mammadov, M. A. Optimality conditions in infinite horizon optimization by contingent derivative. (English) Zbl 1461.90111 Pac. J. Optim. 14, No. 3, 451-462 (2018). MSC: 90C26 PDF BibTeX XML Cite \textit{S. Hassani} and \textit{M. A. Mammadov}, Pac. J. Optim. 14, No. 3, 451--462 (2018; Zbl 1461.90111) Full Text: Link OpenURL
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 PDF BibTeX XML Cite \textit{M. A. Kociński}, Appl. Math. 45, No. 2, 161--180 (2018; Zbl 1419.91621) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Carassus} and \textit{T. Vargiolu}, ESAIM, Proc. Surv. 64, 54--64 (2018; Zbl 1419.91606) Full Text: DOI OpenURL
Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. Pricing sovereign contingent convertible debt. (English) Zbl 1419.91608 Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850049, 36 p. (2018). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{A. Consiglio} et al., Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850049, 36 p. (2018; Zbl 1419.91608) Full Text: DOI arXiv OpenURL
Kentia, Klebert; Kühn, Christoph Nash equilibria for game contingent claims with utility-based hedging. (English) Zbl 1417.91505 SIAM J. Control Optim. 56, No. 6, 3948-3972 (2018). MSC: 91G20 60G40 91A15 91A55 91B16 PDF BibTeX XML Cite \textit{K. Kentia} and \textit{C. Kühn}, SIAM J. Control Optim. 56, No. 6, 3948--3972 (2018; Zbl 1417.91505) Full Text: DOI arXiv Link OpenURL
Hainaut, Donatien; Shen, Yang; Zeng, Yan How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? (English) Zbl 1416.91396 Ann. Oper. Res. 262, No. 2, 519-545 (2018). MSC: 91G50 91G20 PDF BibTeX XML Cite \textit{D. Hainaut} et al., Ann. Oper. Res. 262, No. 2, 519--545 (2018; Zbl 1416.91396) Full Text: DOI Link OpenURL
Peng, Zhenhua; Wan, Zhongping Second-order Karush-Kuhn-Tucker optimality conditions for set-valued optimization subject to mixed constraints. (English) Zbl 1401.90211 Result. Math. 73, No. 3, Paper No. 101, 20 p. (2018). MSC: 90C29 90C46 49J53 54C60 PDF BibTeX XML Cite \textit{Z. Peng} and \textit{Z. Wan}, Result. Math. 73, No. 3, Paper No. 101, 20 p. (2018; Zbl 1401.90211) Full Text: DOI OpenURL
Phan, Quoc Khanh; Nguyen, Minh Tung Existence and boundedness of second-order Karush-Kuhn-Tucker multipliers for set-valued optimization with variable ordering structures. (English) Zbl 1401.90225 Taiwanese J. Math. 22, No. 4, 1001-1029 (2018). MSC: 90C30 90C46 49J52 49J53 PDF BibTeX XML Cite \textit{Q. K. Phan} and \textit{M. T. Nguyen}, Taiwanese J. Math. 22, No. 4, 1001--1029 (2018; Zbl 1401.90225) Full Text: DOI Euclid OpenURL
Wang, Li’na; Fang, Zhimiao; Li, Minghua Lipschitz-likeness and contingent derivative of an implicit multifunction. (Chinese. English summary) Zbl 1413.90241 J. East China Norm. Univ., Nat. Sci. Ed. 2018, No. 1, 17-23 (2018). MSC: 90C29 PDF BibTeX XML Cite \textit{L. Wang} et al., J. East China Norm. Univ., Nat. Sci. Ed. 2018, No. 1, 17--23 (2018; Zbl 1413.90241) Full Text: DOI OpenURL
Matusik, Radosław; Rogowski, Andrzej Global finite-time stability of differential equation with discontinuous right-hand side. (English) Zbl 1413.34067 Electron. J. Qual. Theory Differ. Equ. 2018, Paper No. 35, 17 p. (2018). MSC: 34A36 34D05 34D23 34D20 PDF BibTeX XML Cite \textit{R. Matusik} and \textit{A. Rogowski}, Electron. J. Qual. Theory Differ. Equ. 2018, Paper No. 35, 17 p. (2018; Zbl 1413.34067) Full Text: DOI OpenURL
Consiglio, Andrea; Zenios, Stavros A. Pricing and hedging GDP-linked bonds in incomplete markets. (English) Zbl 1401.91529 J. Econ. Dyn. Control 88, 137-155 (2018). MSC: 91G20 91B25 60G42 90C15 PDF BibTeX XML Cite \textit{A. Consiglio} and \textit{S. A. Zenios}, J. Econ. Dyn. Control 88, 137--155 (2018; Zbl 1401.91529) Full Text: DOI Link OpenURL
Yuan, Weipeng; Lai, Shaoyong The \(CEV\) model and its application to financial markets with volatility uncertainty. (English) Zbl 1457.91394 J. Comput. Appl. Math. 344, 25-36 (2018). MSC: 91G20 91G15 60J70 PDF BibTeX XML Cite \textit{W. Yuan} and \textit{S. Lai}, J. Comput. Appl. Math. 344, 25--36 (2018; Zbl 1457.91394) Full Text: DOI OpenURL
Tavares-Gärtner, Miguel; Pereira, Paulo J.; Brandão, Elísio Optimal contingent payment mechanisms and entrepreneurial financing decisions. (English) Zbl 1403.91393 Eur. J. Oper. Res. 270, No. 3, 1182-1194 (2018). MSC: 91G80 91G20 PDF BibTeX XML Cite \textit{M. Tavares-Gärtner} et al., Eur. J. Oper. Res. 270, No. 3, 1182--1194 (2018; Zbl 1403.91393) Full Text: DOI OpenURL
Ghossoub, Mario A Neyman-Pearson problem with ambiguity and nonlinear pricing. (English) Zbl 1397.91553 Math. Financ. Econ. 12, No. 3, 365-385 (2018). MSC: 91G10 91G20 91B30 28A12 PDF BibTeX XML Cite \textit{M. Ghossoub}, Math. Financ. Econ. 12, No. 3, 365--385 (2018; Zbl 1397.91553) Full Text: DOI OpenURL
Khanh, Phan Quoc; Tung, Nguyen Minh Higher-order Karush-Kuhn-Tucker conditions in nonsmooth optimization. (English) Zbl 1437.90145 SIAM J. Optim. 28, No. 1, 820-848 (2018). MSC: 90C29 49J52 90C46 90C48 PDF BibTeX XML Cite \textit{P. Q. Khanh} and \textit{N. M. Tung}, SIAM J. Optim. 28, No. 1, 820--848 (2018; Zbl 1437.90145) Full Text: DOI OpenURL
Huynh, Van Ngai; Théra, Michel Ekeland’s inverse function theorem in graded Fréchet spaces revisited for multifunctions. (English) Zbl 06790544 J. Math. Anal. Appl. 457, No. 2, 1403-1421 (2018). MSC: 47-XX 49-XX PDF BibTeX XML Cite \textit{V. N. Huynh} and \textit{M. Théra}, J. Math. Anal. Appl. 457, No. 2, 1403--1421 (2018; Zbl 06790544) Full Text: DOI arXiv OpenURL
Esmaeeli, Neda; Imkeller, Peter American options with asymmetric information and reflected BSDE. (English) Zbl 1417.91497 Bernoulli 24, No. 2, 1394-1426 (2018). MSC: 91G20 91G80 60G40 60H10 PDF BibTeX XML Cite \textit{N. Esmaeeli} and \textit{P. Imkeller}, Bernoulli 24, No. 2, 1394--1426 (2018; Zbl 1417.91497) Full Text: DOI arXiv Euclid OpenURL
Li, J.; Metzler, A.; Reesor, R. M. A structural framework for modelling contingent capital. (English) Zbl 1402.91799 Quant. Finance 17, No. 7, 1071-1088 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Li} et al., Quant. Finance 17, No. 7, 1071--1088 (2017; Zbl 1402.91799) Full Text: DOI OpenURL
Luo, Pengfei; Yang, Zhaojun Real options and contingent convertibles with regime switching. (English) Zbl 1401.91536 J. Econ. Dyn. Control 75, 122-135 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Luo} and \textit{Z. Yang}, J. Econ. Dyn. Control 75, 122--135 (2017; Zbl 1401.91536) Full Text: DOI OpenURL
Huang, Liyun; Wei, Zhou On metric subregularity for convex constraint systems by primal equivalent conditions. (English) Zbl 1410.90240 Optim. Lett. 11, No. 8, 1713-1728 (2017). MSC: 90C48 PDF BibTeX XML Cite \textit{L. Huang} and \textit{Z. Wei}, Optim. Lett. 11, No. 8, 1713--1728 (2017; Zbl 1410.90240) Full Text: DOI arXiv OpenURL
Anh, Nguyen Le Hoang Some results on sensitivity analysis in set-valued optimization. (English) Zbl 1382.49048 Positivity 21, No. 4, 1527-1543 (2017). Reviewer: Vasile Postolică (Piatra Neamt) MSC: 49Q12 54C60 49J53 PDF BibTeX XML Cite \textit{N. Le H. Anh}, Positivity 21, No. 4, 1527--1543 (2017; Zbl 1382.49048) Full Text: DOI OpenURL
Khan, Akhtar A.; Soleimani, Behnam; Tammer, Christiane Second-order optimality conditions in set-valued optimization with variable ordering structure. (English) Zbl 1375.90240 Pure Appl. Funct. Anal. 2, No. 2, 305-316 (2017). MSC: 90C26 90C29 90C30 90C48 PDF BibTeX XML Cite \textit{A. A. Khan} et al., Pure Appl. Funct. Anal. 2, No. 2, 305--316 (2017; Zbl 1375.90240) Full Text: Link OpenURL
Turfus, Colin; Shubert, Alexander Analytic pricing of CoCo bonds. (English) Zbl 1396.91767 Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750034, 26 p. (2017). MSC: 91G20 60J75 41A60 PDF BibTeX XML Cite \textit{C. Turfus} and \textit{A. Shubert}, Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750034, 26 p. (2017; Zbl 1396.91767) Full Text: DOI OpenURL
Makogin, Vitalii; Melnikov, Alexander; Mishura, Yuliya On mean-variance hedging under partial observations and terminal wealth constraints. (English) Zbl 1396.91695 Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750031, 21 p. (2017). MSC: 91G10 60G48 60G35 60J65 PDF BibTeX XML Cite \textit{V. Makogin} et al., Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750031, 21 p. (2017; Zbl 1396.91695) Full Text: DOI arXiv OpenURL
Xu, Yihong; Peng, Zhenhua Higher-order sensitivity analysis in set-valued optimization under Henig efficiency. (English) Zbl 1368.49049 J. Ind. Manag. Optim. 13, No. 1, 313-327 (2017). MSC: 49Q12 46G05 90C31 49J53 PDF BibTeX XML Cite \textit{Y. Xu} and \textit{Z. Peng}, J. Ind. Manag. Optim. 13, No. 1, 313--327 (2017; Zbl 1368.49049) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{P. Bank} et al., Math. Financ. Econ. 11, No. 2, 215--239 (2017; Zbl 1409.91226) Full Text: DOI arXiv OpenURL
Chung, Tsz-Kin; Kwok, Yue-Kuen Enhanced equity-credit modelling for contingent convertibles. (English) Zbl 1400.91585 Quant. Finance 16, No. 10, 1511-1527 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{T.-K. Chung} and \textit{Y.-K. Kwok}, Quant. Finance 16, No. 10, 1511--1527 (2016; Zbl 1400.91585) Full Text: DOI OpenURL
De Spiegeleer, Jan; Höcht, Stephan; Marquet, Ine; Schoutens, Wim The impact of a new CoCo issuance on the price performance of outstanding CoCos. (English) Zbl 1398.91580 Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 405-419 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{J. De Spiegeleer} et al., Springer Proc. Math. Stat. 165, 405--419 (2016; Zbl 1398.91580) Full Text: DOI OpenURL
Herscovich, Estanislao Noncommutative valuation of options. (English) Zbl 1386.91182 Rep. Math. Phys. 78, No. 3, 371-386 (2016). MSC: 91G80 46L53 91B25 91G20 PDF BibTeX XML Cite \textit{E. Herscovich}, Rep. Math. Phys. 78, No. 3, 371--386 (2016; Zbl 1386.91182) Full Text: DOI OpenURL
Constantin, Elena Second-order necessary conditions for set constrained nonsmooth optimization problems via second-order projective tangent cones. (English) Zbl 1375.49034 Lib. Math. (N.S.) 36, No. 1, 73-95 (2016). MSC: 49K27 90C30 90C48 49K30 49J50 PDF BibTeX XML Cite \textit{E. Constantin}, Lib. Math. (N.S.) 36, No. 1, 73--95 (2016; Zbl 1375.49034) OpenURL
Corcuera, José Manuel; Fajardo, José; Schoutens, Wim; Valdivia, Arturo CoCos with extension risk. A structural approach. (English) Zbl 1354.91147 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 447-464 (2016). MSC: 91G20 60H30 91G50 PDF BibTeX XML Cite \textit{J. M. Corcuera} et al., in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 447--464 (2016; Zbl 1354.91147) Full Text: DOI OpenURL
Liang, Xiaoqing; Tsai, Cary Chi-Liang; Lu, Yi Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality. (English) Zbl 1371.91101 Insur. Math. Econ. 70, 150-161 (2016). MSC: 91B30 91G20 62P05 PDF BibTeX XML Cite \textit{X. Liang} et al., Insur. Math. Econ. 70, 150--161 (2016; Zbl 1371.91101) Full Text: DOI OpenURL
Roux, Alet Pricing and hedging game options in currency models with proportional transaction costs. (English) Zbl 1396.91761 Int. J. Theor. Appl. Finance 19, No. 7, Article ID 1650043, 25 p. (2016). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{A. Roux}, Int. J. Theor. Appl. Finance 19, No. 7, Article ID 1650043, 25 p. (2016; Zbl 1396.91761) Full Text: DOI arXiv OpenURL
Corcuera, José Manuel; Valdivia, Arturo Pricing CoCos with a market trigger. (English) Zbl 1335.91080 Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 179-209 (2016). MSC: 91G20 60H30 60G51 91G30 PDF BibTeX XML Cite \textit{J. M. Corcuera} and \textit{A. Valdivia}, Springer Proc. Math. Stat. 138, 179--209 (2016; Zbl 1335.91080) Full Text: DOI OpenURL
Ghossoub, Mario Cost-efficient contingent claims with market frictions. (English) Zbl 1404.91257 Math. Financ. Econ. 10, No. 1, 87-111 (2016). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{M. Ghossoub}, Math. Financ. Econ. 10, No. 1, 87--111 (2016; Zbl 1404.91257) Full Text: DOI OpenURL
Cibulka, R.; Fabian, M. On primal regularity estimates for set-valued mappings. (English) Zbl 1336.49022 J. Math. Anal. Appl. 438, No. 1, 444-464 (2016). MSC: 49J53 49J52 46N10 47H04 54C60 PDF BibTeX XML Cite \textit{R. Cibulka} and \textit{M. Fabian}, J. Math. Anal. Appl. 438, No. 1, 444--464 (2016; Zbl 1336.49022) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{L. Vitiello} and \textit{I. Rebelo}, Rev. Deriv. Res. 18, No. 3, 291--300 (2015; Zbl 1345.91076) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{X. Liu} et al., Acta Math. Appl. Sin. 38, No. 6, 1115--1125 (2015; Zbl 1349.91280) OpenURL
Brown, Donald J.; Ibragimov, Rustam; Walden, Johan Bounds for path-dependent options. (English) Zbl 1369.91173 Ann. Finance 11, No. 3-4, 433-451 (2015). MSC: 91G20 60E15 PDF BibTeX XML Cite \textit{D. J. Brown} et al., Ann. Finance 11, No. 3--4, 433--451 (2015; Zbl 1369.91173) Full Text: DOI Link OpenURL
García Castaño, F.; Melguizo Padial, M. A. A natural extension of the classical envelope theorem in vector differential programming. (English) Zbl 1356.90134 J. Glob. Optim. 63, No. 4, 757-775 (2015). MSC: 90C29 90C48 PDF BibTeX XML Cite \textit{F. García Castaño} and \textit{M. A. Melguizo Padial}, J. Glob. Optim. 63, No. 4, 757--775 (2015; Zbl 1356.90134) Full Text: DOI Link OpenURL
Sun, Xiang-Kai; Chai, Yi; Guo, Xiao-Le; Zeng, Jing A method of differential and sensitivity properties for weak vector variational inequalities. (English) Zbl 1328.49024 J. Nonlinear Sci. Appl. 8, No. 4, 434-441 (2015). MSC: 49K40 49J40 49J53 49J52 90C31 90C29 PDF BibTeX XML Cite \textit{X.-K. Sun} et al., J. Nonlinear Sci. Appl. 8, No. 4, 434--441 (2015; Zbl 1328.49024) Full Text: DOI Link OpenURL
Huynh Van Ngai; Phan Nhat Tinh Metric subregularity of multifunctions: first and second order infinitesimal characterizations. (English) Zbl 1323.47054 Math. Oper. Res. 40, No. 3, 703-724 (2015). MSC: 47H04 49J53 90C31 PDF BibTeX XML Cite \textit{Huynh Van Ngai} and \textit{Phan Nhat Tinh}, Math. Oper. Res. 40, No. 3, 703--724 (2015; Zbl 1323.47054) Full Text: DOI OpenURL
Khanh, P. Q.; Tung, N. M. Second-order optimality conditions with the envelope-like effect for set-valued optimization. (English) Zbl 1327.90287 J. Optim. Theory Appl. 167, No. 1, 68-90 (2015). MSC: 90C29 49J52 90C46 90C48 PDF BibTeX XML Cite \textit{P. Q. Khanh} and \textit{N. M. Tung}, J. Optim. Theory Appl. 167, No. 1, 68--90 (2015; Zbl 1327.90287) Full Text: DOI OpenURL
Bank, Peter; Kramkov, Dmitry A model for a large investor trading at market indifference prices. II: Continuous-time case. (English) Zbl 1338.91123 Ann. Appl. Probab. 25, No. 5, 2708-2742 (2015). MSC: 91G10 91G20 52A41 60G60 PDF BibTeX XML Cite \textit{P. Bank} and \textit{D. Kramkov}, Ann. Appl. Probab. 25, No. 5, 2708--2742 (2015; Zbl 1338.91123) Full Text: DOI arXiv Euclid OpenURL
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 PDF BibTeX XML Cite \textit{M. Schröder}, Methodol. Comput. Appl. Probab. 17, No. 2, 285--313 (2015; Zbl 1339.60117) Full Text: DOI OpenURL
Brigo, Damiano; Garcia, João; Pede, Nicola CoCo bonds pricing with credit and equity calibrated first-passage firm value models. (English) Zbl 1337.91090 Int. J. Theor. Appl. Finance 18, No. 3, Article ID 1550015, 31 p. (2015). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 18, No. 3, Article ID 1550015, 31 p. (2015; Zbl 1337.91090) Full Text: DOI OpenURL
Das, K.; Nahak, C. Sufficiency and duality of set-valued optimization problems via higher-order contingent derivative. (English) Zbl 1335.90110 J. Adv. Math. Stud. 8, No. 1, 137-151 (2015). Reviewer: Efstratios Rappos (Aubonne) MSC: 90C46 90C30 26B25 PDF BibTeX XML Cite \textit{K. Das} and \textit{C. Nahak}, J. Adv. Math. Stud. 8, No. 1, 137--151 (2015; Zbl 1335.90110) OpenURL
Metzler, A.; Reesor, R. M. Valuation and analysis of zero-coupon contingent capital bonds. (English) Zbl 1336.91078 Math. Financ. Econ. 9, No. 2, 85-109 (2015). Reviewer: Matthias M. M. Buehlmaier (Hong Kong) MSC: 91G20 91G50 PDF BibTeX XML Cite \textit{A. Metzler} and \textit{R. M. Reesor}, Math. Financ. Econ. 9, No. 2, 85--109 (2015; Zbl 1336.91078) Full Text: DOI OpenURL
Küçük, Yalçın; Atasever, Ilknur; Küçük, Mahide Some relationships among gw-subdifferential, directional derivative and radial epiderivative for nonconvex vector functions. (English) Zbl 1310.26005 Optimization 64, No. 3, 627-640 (2015). MSC: 26A24 28B99 49J52 65K10 PDF BibTeX XML Cite \textit{Y. Küçük} et al., Optimization 64, No. 3, 627--640 (2015; Zbl 1310.26005) Full Text: DOI OpenURL
García, F.; Melguizo Padial, M. A.; Muñoz-Bouzo, M. J. Corrigendum to “the envelope theorem for multiobjective convex programming via contingent derivatives” [J. Math. Anal. Appl. 372 (1) (2010) 197-207]. (English) Zbl 1305.90366 J. Math. Anal. Appl. 423, No. 1, 834-840 (2015). MSC: 90C29 90C31 PDF BibTeX XML Cite \textit{F. García} et al., J. Math. Anal. Appl. 423, No. 1, 834--840 (2015; Zbl 1305.90366) Full Text: DOI OpenURL
Deb, Rahul; Mishra, Debasis Implementation with contingent contracts. (English) Zbl 1419.91609 Econometrica 82, No. 6, 2371-2393 (2014). MSC: 91G20 91B14 PDF BibTeX XML Cite \textit{R. Deb} and \textit{D. Mishra}, Econometrica 82, No. 6, 2371--2393 (2014; Zbl 1419.91609) Full Text: DOI OpenURL
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. (English) Zbl 1337.91047 Stochastics 86, No. 4, 594-608 (2014). MSC: 91B30 60H30 PDF BibTeX XML Cite \textit{X. Liu} et al., Stochastics 86, No. 4, 594--608 (2014; Zbl 1337.91047) Full Text: DOI OpenURL
Pınar, Mustafa Ç. Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming. (English) Zbl 1335.91087 Discrete Appl. Math. 164, Part 1, 304-312 (2014). MSC: 91G20 90C90 PDF BibTeX XML Cite \textit{M. Ç. Pınar}, Discrete Appl. Math. 164, Part 1, 304--312 (2014; Zbl 1335.91087) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{A. Ellanskaya} and \textit{L. Vostrikova}, Proc. Steklov Inst. Math. 287, 68--95 (2014; Zbl 1403.91338) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Shao} and \textit{J. Wang}, J. Syst. Eng. 29, No. 4, 487--493 (2014; Zbl 1324.91082) OpenURL
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 PDF BibTeX XML Cite \textit{F. Angelini} and \textit{S. Herzel}, J. Comput. Appl. Math. 259, Part B, 385--393 (2014; Zbl 1314.91232) Full Text: DOI OpenURL
Lau, Chun-Sing; Lo, Chi-Fai The pricing of basket-spread options. (English) Zbl 1402.91795 Quant. Finance 14, No. 11, 1971-1982 (2014). MSC: 91G20 62P05 62E17 PDF BibTeX XML Cite \textit{C.-S. Lau} and \textit{C.-F. Lo}, Quant. Finance 14, No. 11, 1971--1982 (2014; Zbl 1402.91795) Full Text: DOI OpenURL
Li, Kunqiong; Liu, Shuang Strict efficiency for vector equilibrium problems. (Chinese. English summary) Zbl 1313.90235 J. Yunnan Univ., Nat. Sci. 36, No. 4, 464-471 (2014). MSC: 90C33 90C29 90C46 PDF BibTeX XML Cite \textit{K. Li} and \textit{S. Liu}, J. Yunnan Univ., Nat. Sci. 36, No. 4, 464--471 (2014; Zbl 1313.90235) OpenURL
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 PDF BibTeX XML Cite \textit{M. Anthropelos}, SIAM J. Financ. Math. 5, 626--655 (2014; Zbl 1308.91154) Full Text: DOI arXiv OpenURL
Mirzaee, Hadi; Soleimani-Damaneh, Majid Derivatives of set-valued maps and gap functions for vector equilibrium problems. (English) Zbl 1303.49007 Set-Valued Var. Anal. 22, No. 4, 673-689 (2014). MSC: 49J53 49J52 26E25 PDF BibTeX XML Cite \textit{H. Mirzaee} and \textit{M. Soleimani-Damaneh}, Set-Valued Var. Anal. 22, No. 4, 673--689 (2014; Zbl 1303.49007) Full Text: DOI OpenURL
Diem, H. T. H.; Khanh, P. Q.; Tung, L. T. On higher-order sensitivity analysis in nonsmooth vector optimization. (English) Zbl 1323.90061 J. Optim. Theory Appl. 162, No. 2, 463-488 (2014). Reviewer: Fabián Flores-Bazan (Concepción) MSC: 90C29 PDF BibTeX XML Cite \textit{H. T. H. Diem} et al., J. Optim. Theory Appl. 162, No. 2, 463--488 (2014; Zbl 1323.90061) Full Text: DOI OpenURL
Long, X. J.; Peng, J. W.; Li, X. B. Weak subdifferentials for set-valued mappings. (English) Zbl 1318.90074 J. Optim. Theory Appl. 162, No. 1, 1-12 (2014). Reviewer: Frank Werner (Magdeburg) MSC: 90C48 90C29 58C06 49J53 PDF BibTeX XML Cite \textit{X. J. Long} et al., J. Optim. Theory Appl. 162, No. 1, 1--12 (2014; Zbl 1318.90074) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Bichuch}, Finance Stoch. 18, No. 3, 651--694 (2014; Zbl 1303.91169) Full Text: DOI arXiv OpenURL
Vorbrink, Jörg Financial markets with volatility uncertainty. (English) Zbl 1305.91232 J. Math. Econ. 53, 64-78 (2014). MSC: 91G20 60H30 91G99 91B24 PDF BibTeX XML Cite \textit{J. Vorbrink}, J. Math. Econ. 53, 64--78 (2014; Zbl 1305.91232) Full Text: DOI arXiv OpenURL
Nicolato, E.; Sloth, D. Risk adjustments of option prices under time-changed dynamics. (English) Zbl 1294.91178 Quant. Finance 14, No. 1, 125-141 (2014). MSC: 91G20 60G51 60H30 PDF BibTeX XML Cite \textit{E. Nicolato} and \textit{D. Sloth}, Quant. Finance 14, No. 1, 125--141 (2014; Zbl 1294.91178) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{M. Schröder}, J. Comput. Appl. Math. 260, 36--53 (2014; Zbl 1293.91180) Full Text: DOI OpenURL
Zhu, S. K.; Li, S. J.; Teo, K. L. Second-order Karush-Kuhn-Tucker optimality conditions for set-valued optimization. (English) Zbl 1294.49015 J. Glob. Optim. 58, No. 4, 673-692 (2014). Reviewer: Vasile Postolică (Piatra Neamt) MSC: 49K30 49J53 90C29 90C46 PDF BibTeX XML Cite \textit{S. K. Zhu} et al., J. Glob. Optim. 58, No. 4, 673--692 (2014; Zbl 1294.49015) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{T. J. Tkalinski}, Math. Methods Oper. Res. 79, No. 2, 239--252 (2014; Zbl 1408.91225) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{B. Acciaio} and \textit{G. Svindland}, Math. Finance 24, No. 1, 147--155 (2014; Zbl 1291.91202) Full Text: DOI Link OpenURL
Fischer, Tom No-arbitrage pricing under systemic risk: accounting for cross-ownership. (English) Zbl 1314.91193 Math. Finance 24, No. 1, 97-124 (2014). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91G10 91G20 PDF BibTeX XML Cite \textit{T. Fischer}, Math. Finance 24, No. 1, 97--124 (2014; Zbl 1314.91193) Full Text: DOI arXiv OpenURL
Li, Minghua; Li, Shengjie; Chen, Chunrong Hölder-likeness and contingent derivative of solutions to parametric weak vector equilibrium problems. (Chinese. English summary) Zbl 07449114 Sci. Sin., Math. 43, No. 1, 61-74 (2013). MSC: 90C33 49K40 PDF BibTeX XML Cite \textit{M. Li} et al., Sci. Sin., Math. 43, No. 1, 61--74 (2013; Zbl 07449114) Full Text: DOI OpenURL
Zhu, Shengkun; Li, Shengjie Optimality conditions of strict minimality in optimization problems under inclusion constraints. (English) Zbl 1401.49025 Appl. Math. Comput. 219, No. 9, 4816-4825 (2013). MSC: 49K27 90C46 90C48 PDF BibTeX XML Cite \textit{S. Zhu} and \textit{S. Li}, Appl. Math. Comput. 219, No. 9, 4816--4825 (2013; Zbl 1401.49025) Full Text: DOI OpenURL
Ruf, Johannes Negative call prices. (English) Zbl 1298.91168 Ann. Finance 9, No. 4, 787-794 (2013). MSC: 91G20 60H30 91B24 91G10 PDF BibTeX XML Cite \textit{J. Ruf}, Ann. Finance 9, No. 4, 787--794 (2013; Zbl 1298.91168) Full Text: DOI arXiv OpenURL
Barucci, Emilio; Del Viva, Luca Dynamic capital structure and the contingent capital option. (English) Zbl 1298.91181 Ann. Finance 9, No. 3, 337-364 (2013). MSC: 91G50 91G20 PDF BibTeX XML Cite \textit{E. Barucci} and \textit{L. Del Viva}, Ann. Finance 9, No. 3, 337--364 (2013; Zbl 1298.91181) Full Text: DOI OpenURL