Miyamoto, Manabu; Tanaka, Keiichi An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems. (English) Zbl 1503.35233 JSIAM Lett. 14, 25-28 (2022). MSC: 35Q91 91G30 91B05 35C20 35P99 33C45 35R60 34F05 PDF BibTeX XML Cite \textit{M. Miyamoto} and \textit{K. Tanaka}, JSIAM Lett. 14, 25--28 (2022; Zbl 1503.35233) Full Text: DOI OpenURL
Elliott, Robert; Madan, Dilip B.; Wang, King High dimensional Markovian trading of a single stock. (English) Zbl 1500.91130 Front. Math. Finance 1, No. 3, 375-396 (2022). MSC: 91G15 60G15 60G51 PDF BibTeX XML Cite \textit{R. Elliott} et al., Front. Math. Finance 1, No. 3, 375--396 (2022; Zbl 1500.91130) Full Text: DOI OpenURL
Banerjee, Tathagata; Feinstein, Zachary Pricing of debt and equity in a financial network with comonotonic endowments. (English) Zbl 1500.91144 Oper. Res. 70, No. 4, 2085-2100 (2022). MSC: 91G45 91G40 PDF BibTeX XML Cite \textit{T. Banerjee} and \textit{Z. Feinstein}, Oper. Res. 70, No. 4, 2085--2100 (2022; Zbl 1500.91144) Full Text: DOI arXiv OpenURL
Wan, Xiaoyuan; Zhang, Jiachen The effect of relaxing daily price limit: evidence from the ChiNext market of China. (English) Zbl 1493.91122 Econ. Lett. 215, Article ID 110509, 3 p. (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{X. Wan} and \textit{J. Zhang}, Econ. Lett. 215, Article ID 110509, 3 p. (2022; Zbl 1493.91122) Full Text: DOI OpenURL
Guillaume, Tristan Closed form valuation of barrier options with stochastic barriers. (English) Zbl 1492.60229 Ann. Oper. Res. 313, No. 2, 1021-1050 (2022). MSC: 60J65 91G15 PDF BibTeX XML Cite \textit{T. Guillaume}, Ann. Oper. Res. 313, No. 2, 1021--1050 (2022; Zbl 1492.60229) Full Text: DOI OpenURL
Barigou, Karim; Bignozzi, Valeria; Tsanakas, Andreas Insurance valuation: A two-step generalised regression approach. (English) Zbl 1484.91371 ASTIN Bull. 52, No. 1, 211-245 (2022). MSC: 91G05 62P05 62G08 PDF BibTeX XML Cite \textit{K. Barigou} et al., ASTIN Bull. 52, No. 1, 211--245 (2022; Zbl 1484.91371) Full Text: DOI arXiv Link OpenURL
Li, Nan; Wang, Song; Zhang, Kai Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method. (English) Zbl 07484242 Appl. Math. Comput. 421, Article ID 126937, 14 p. (2022). MSC: 91Gxx 91Bxx 65Mxx PDF BibTeX XML Cite \textit{N. Li} et al., Appl. Math. Comput. 421, Article ID 126937, 14 p. (2022; Zbl 07484242) Full Text: DOI OpenURL
Madan, Dilip B.; Schoutens, Wim Nonlinear valuation and non-Gaussian risks in finance. (English) Zbl 1492.91008 Cambridge: Cambridge University Press (ISBN 978-1-316-51809-0/hbk; 978-1-108-99387-6/ebook). xiii, 268 p. (2022). Reviewer: Hernando Burgos-Soto (Toronto) MSC: 91-02 91G10 91B05 91G80 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{W. Schoutens}, Nonlinear valuation and non-Gaussian risks in finance. Cambridge: Cambridge University Press (2022; Zbl 1492.91008) Full Text: DOI OpenURL
Maciak, Matúš; Okhrin, Ostap; Pešta, Michal Infinitely stochastic micro reserving. (English) Zbl 1471.91474 Insur. Math. Econ. 100, 30-58 (2021). MSC: 91G05 60G25 60G55 62M20 62P05 PDF BibTeX XML Cite \textit{M. Maciak} et al., Insur. Math. Econ. 100, 30--58 (2021; Zbl 1471.91474) Full Text: DOI OpenURL
Palmborg, Lina; Lindholm, Mathias; Lindskog, Filip Financial position and performance in IFRS 17. (English) Zbl 1468.91129 Scand. Actuar. J. 2021, No. 3, 171-197 (2021); correction ibid. 2021, No. 3, i (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 PDF BibTeX XML Cite \textit{L. Palmborg} et al., Scand. Actuar. J. 2021, No. 3, 171--197 (2021; Zbl 1468.91129) Full Text: DOI OpenURL
Lee, Cheng Few Alternative security valuation model: theory and empirical results. (English) Zbl 1454.91296 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143-3192 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143--3192 (2021; Zbl 1454.91296) Full Text: DOI OpenURL
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. (English) Zbl 1454.91189 ASTIN Bull. 50, No. 3, 853-871 (2020). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{H. Gweon} et al., ASTIN Bull. 50, No. 3, 853--871 (2020; Zbl 1454.91189) Full Text: DOI OpenURL
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. (English) Zbl 1454.91177 ASTIN Bull. 50, No. 3, 709-742 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{G. Deelstra} et al., ASTIN Bull. 50, No. 3, 709--742 (2020; Zbl 1454.91177) Full Text: DOI OpenURL
Albanese, Claudio; Chataigner, Marc; Crépey, Stéphane Wealth transfers, indifference pricing, and XVA compression schemes. (English) Zbl 1448.91327 Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 219-248 (2020). MSC: 91G70 91G45 PDF BibTeX XML Cite \textit{C. Albanese} et al., in: From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017. Singapore: Springer. 219--248 (2020; Zbl 1448.91327) Full Text: DOI OpenURL
Palmowski, Zbigniew; Tumilewicz, Joanna Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions. (English) Zbl 1436.91112 Appl. Math. Optim. 81, No. 2, 301-347 (2020). MSC: 91G30 91G80 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{J. Tumilewicz}, Appl. Math. Optim. 81, No. 2, 301--347 (2020; Zbl 1436.91112) Full Text: DOI arXiv OpenURL
Dergiades, Theologos; Milas, Costas; Panagiotidis, Theodore A mixed frequency approach for stock returns and valuation ratios. (English) Zbl 1431.91378 Econ. Lett. 187, Article ID 108861, 5 p. (2020). MSC: 91G15 PDF BibTeX XML Cite \textit{T. Dergiades} et al., Econ. Lett. 187, Article ID 108861, 5 p. (2020; Zbl 1431.91378) Full Text: DOI Link OpenURL
Becherer, Dirk; Büttner, Martin; Kentia, Klebert On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples. (English) Zbl 1498.60197 Cohen, Samuel N. (ed.) et al., Frontiers in stochastic analysis – BSDEs, SPDEs and their applications. International workshop on BSDEs, SPDEs and their applications, Edinburgh, UK, July 3–7, 2017. Selected, revised and extended contributions. Cham: Springer. Springer Proc. Math. Stat. 289, 1-41 (2019). MSC: 60H10 60J74 93E20 91G80 PDF BibTeX XML Cite \textit{D. Becherer} et al., Springer Proc. Math. Stat. 289, 1--41 (2019; Zbl 1498.60197) Full Text: DOI arXiv OpenURL
Both, Sandy; Horneff, Vanya; Kaschützke, Barbara; Maurer, Raimond Surplus participation schemes for life annuities under Solvency II. (English) Zbl 1433.91127 Eur. Actuar. J. 9, No. 2, 391-421 (2019). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Both} et al., Eur. Actuar. J. 9, No. 2, 391--421 (2019; Zbl 1433.91127) Full Text: DOI OpenURL
Fergusson, K. Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. (English) Zbl 1426.91216 Scand. Actuar. J. 2019, No. 10, 867-902 (2019). MSC: 91G05 62P05 91G20 91G30 PDF BibTeX XML Cite \textit{K. Fergusson}, Scand. Actuar. J. 2019, No. 10, 867--902 (2019; Zbl 1426.91216) Full Text: DOI Link OpenURL
Chiang, Shu Ling; Tsai, Ming Shann Valuation of an option using non-parametric methods. (English) Zbl 1425.91397 Rev. Deriv. Res. 22, No. 3, 419-447 (2019). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{S. L. Chiang} and \textit{M. S. Tsai}, Rev. Deriv. Res. 22, No. 3, 419--447 (2019; Zbl 1425.91397) Full Text: DOI OpenURL
Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement. (English) Zbl 1406.91468 Eur. J. Oper. Res. 274, No. 2, 788-805 (2019). MSC: 91G40 91G20 60H30 91G80 PDF BibTeX XML Cite \textit{D. Brigo} et al., Eur. J. Oper. Res. 274, No. 2, 788--805 (2019; Zbl 1406.91468) Full Text: DOI Link OpenURL
Brandão, Luiz E.; Fernandes, Gláucia; Dyer, James S. Valuing multistage investment projects in the pharmaceutical industry. (English) Zbl 1403.91384 Eur. J. Oper. Res. 271, No. 2, 720-732 (2018). MSC: 91G80 PDF BibTeX XML Cite \textit{L. E. Brandão} et al., Eur. J. Oper. Res. 271, No. 2, 720--732 (2018; Zbl 1403.91384) Full Text: DOI OpenURL
Assa, Hirbod; Gospodinov, Nikolay Market consistent valuations with financial imperfection. (English) Zbl 1391.91167 Decis. Econ. Finance 41, No. 1, 65-90 (2018). MSC: 91G99 91B24 91B30 91G70 PDF BibTeX XML Cite \textit{H. Assa} and \textit{N. Gospodinov}, Decis. Econ. Finance 41, No. 1, 65--90 (2018; Zbl 1391.91167) Full Text: DOI Link OpenURL
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, C. W. On the modelling of nested risk-neutral stochastic processes with applications in insurance. (English) Zbl 1398.62324 Appl. Math. Finance 24, No. 3-4, 302-336 (2017). MSC: 62P05 91B30 62M05 65L20 PDF BibTeX XML Cite \textit{S. N. Singor} et al., Appl. Math. Finance 24, No. 3--4, 302--336 (2017; Zbl 1398.62324) Full Text: DOI OpenURL
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. (English) Zbl 1394.91233 Eur. Actuar. J. 7, No. 1, 1-28 (2017). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. Vedani} et al., Eur. Actuar. J. 7, No. 1, 1--28 (2017; Zbl 1394.91233) Full Text: DOI HAL OpenURL
Bellotti, Anthony Reliable region predictions for automated valuation models. (English) Zbl 1377.62195 Ann. Math. Artif. Intell. 81, No. 1-2, 71-84 (2017). MSC: 62P05 62H30 91G40 PDF BibTeX XML Cite \textit{A. Bellotti}, Ann. Math. Artif. Intell. 81, No. 1--2, 71--84 (2017; Zbl 1377.62195) Full Text: DOI OpenURL
Gan, Guojun; Valdez, Emiliano A. Modeling partial Greeks of variable annuities with dependence. (English) Zbl 1395.91251 Insur. Math. Econ. 76, 118-134 (2017). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, Insur. Math. Econ. 76, 118--134 (2017; Zbl 1395.91251) Full Text: DOI OpenURL
Li, Wen; Wang, Song Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme. (English) Zbl 1372.91119 Comput. Math. Appl. 73, No. 11, 2454-2469 (2017). MSC: 91G60 65M08 91G20 91B70 93E20 PDF BibTeX XML Cite \textit{W. Li} and \textit{S. Wang}, Comput. Math. Appl. 73, No. 11, 2454--2469 (2017; Zbl 1372.91119) Full Text: DOI OpenURL
Biancardi, Marta; Villani, Giovanni A fuzzy approach for R&D compound option valuation. (English) Zbl 1368.91169 Fuzzy Sets Syst. 310, 108-121 (2017). MSC: 91G20 91G50 91G80 PDF BibTeX XML Cite \textit{M. Biancardi} and \textit{G. Villani}, Fuzzy Sets Syst. 310, 108--121 (2017; Zbl 1368.91169) Full Text: DOI OpenURL
Hyndman, Cody B.; Ngou, Polynice Oyono A convolution method for numerical solution of backward stochastic differential equations. (English) Zbl 1360.60109 Methodol. Comput. Appl. Probab. 19, No. 1, 1-29 (2017). MSC: 60H10 60H35 65C30 60H30 91G80 91G60 PDF BibTeX XML Cite \textit{C. B. Hyndman} and \textit{P. O. Ngou}, Methodol. Comput. Appl. Probab. 19, No. 1, 1--29 (2017; Zbl 1360.60109) Full Text: DOI arXiv OpenURL
Salminen, Tommi; Koskinen, Lasse; Luoma, Arto Joint modeling of inflation and real interest rate dynamics with application to equity-linked investment. (English) Zbl 1462.62045 Colubi, Ana (ed.) et al., Proceedings of COMPSTAT 2016 – 22nd international conference on computational statistics, Oviedo, Spain, August 23–26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 361-371 (2016). MSC: 62-08 62P05 62F15 62M10 PDF BibTeX XML Cite \textit{T. Salminen} et al., in: Proceedings of COMPSTAT 2016 -- 22nd international conference on computational statistics, Oviedo, Spain, August 23--26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 361--371 (2016; Zbl 1462.62045) OpenURL
Gietzmann, Miles B.; Ostaszewski, Adam J. The sound of silence: equilibrium filtering and optimal censoring in financial markets. (English) Zbl 1427.91293 Adv. Appl. Probab. 48, No. A, 119-144 (2016). MSC: 91G50 91G80 93E11 93E35 60G35 60G25 PDF BibTeX XML Cite \textit{M. B. Gietzmann} and \textit{A. J. Ostaszewski}, Adv. Appl. Probab. 48, No. A, 119--144 (2016; Zbl 1427.91293) Full Text: DOI arXiv Link OpenURL
Laghi, Enrico; Di Marcantonio, Michele Beyond CAPM: estimating the cost of equity considering idiosyncratic risks. (English) Zbl 1400.91698 Quant. Finance 16, No. 8, 1273-1296 (2016). MSC: 91G99 62P05 62H05 PDF BibTeX XML Cite \textit{E. Laghi} and \textit{M. Di Marcantonio}, Quant. Finance 16, No. 8, 1273--1296 (2016; Zbl 1400.91698) Full Text: DOI OpenURL
Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea Analysis of nonlinear valuation equations under credit and funding effects. (English) Zbl 1398.91635 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, 37-52 (2016). MSC: 91G40 91G80 60H10 PDF BibTeX XML Cite \textit{D. Brigo} et al., Springer Proc. Math. Stat. 165, 37--52 (2016; Zbl 1398.91635) Full Text: DOI OpenURL
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël Old-age provision: past, present, future. (English) Zbl 1394.91007 Eur. Actuar. J. 6, No. 2, 287-306 (2016). MSC: 91-06 91B30 91D20 91G99 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Eur. Actuar. J. 6, No. 2, 287--306 (2016; Zbl 1394.91007) Full Text: DOI Link OpenURL
Haahtela, Tero Simulation methods in real option valuation. (English) Zbl 1362.91043 Int. J. Oper. Res. 25, No. 4, 487-517 (2016). MSC: 91G60 91G50 PDF BibTeX XML Cite \textit{T. Haahtela}, Int. J. Oper. Res. 25, No. 4, 487--517 (2016; Zbl 1362.91043) Full Text: DOI OpenURL
Gan, Guojun; Valdez, Emiliano A. An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. (English) Zbl 1382.91046 Depend. Model. 4, 382-400 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, Depend. Model. 4, 382--400 (2016; Zbl 1382.91046) Full Text: DOI OpenURL
Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph; Siegelin, Ivonne Accounting and actuarial smoothing of retirement payouts in participating life annuities. (English) Zbl 1371.91105 Insur. Math. Econ. 71, 268-283 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{R. Maurer} et al., Insur. Math. Econ. 71, 268--283 (2016; Zbl 1371.91105) Full Text: DOI OpenURL
Kim, Jinbeom; Leung, Tim Pricing derivatives with counterparty risk and collateralization: a fixed point approach. (English) Zbl 1346.91234 Eur. J. Oper. Res. 249, No. 2, 525-539 (2016). MSC: 91G20 60H30 91G40 91G80 35Q91 PDF BibTeX XML Cite \textit{J. Kim} and \textit{T. Leung}, Eur. J. Oper. Res. 249, No. 2, 525--539 (2016; Zbl 1346.91234) Full Text: DOI arXiv OpenURL
Risk, J.; Ludkovski, M. Statistical emulators for pricing and hedging longevity risk products. (English) Zbl 1369.91095 Insur. Math. Econ. 68, 45-60 (2016). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{J. Risk} and \textit{M. Ludkovski}, Insur. Math. Econ. 68, 45--60 (2016; Zbl 1369.91095) Full Text: DOI arXiv OpenURL
Talponen, Jarno On volatility smile and an investment strategy with out-of-the-money calls. (English) Zbl 1404.91253 Math. Financ. Econ. 10, No. 2, 113-125 (2016). MSC: 91G10 91G20 91G80 PDF BibTeX XML Cite \textit{J. Talponen}, Math. Financ. Econ. 10, No. 2, 113--125 (2016; Zbl 1404.91253) Full Text: DOI arXiv OpenURL
Hastings, Kevin J. Introduction to financial mathematics. (English) Zbl 1403.91002 Advances in Applied Mathematics (Boca Raton). Boca Raton, FL: CRC Press (ISBN 978-1-4987-2390-9/hbk; 978-1-4987-2395-4/ebook). xiii, 407 p. (2016). Reviewer: Răzvan Răducanu (Iaşi) MSC: 91-01 91G10 91G20 PDF BibTeX XML Cite \textit{K. J. Hastings}, Introduction to financial mathematics. Boca Raton, FL: CRC Press (2016; Zbl 1403.91002) OpenURL
Ortiz-Gracia, Luis Efficient wavelets-based valuation of synthetic CDO tranches. (English) Zbl 1320.91159 J. Comput. Appl. Math. 292, 562-575 (2016). MSC: 91G60 91G40 65T60 62P05 60E10 PDF BibTeX XML Cite \textit{L. Ortiz-Gracia}, J. Comput. Appl. Math. 292, 562--575 (2016; Zbl 1320.91159) Full Text: DOI OpenURL
Jørgensen, Peter Løchte; Gatzert, Nadine On risk charges and shadow account options in pension funds. (English) Zbl 1401.91152 Scand. Actuar. J. 2015, No. 7, 616-639 (2015). MSC: 91B30 91G20 62P05 PDF BibTeX XML Cite \textit{P. L. Jørgensen} and \textit{N. Gatzert}, Scand. Actuar. J. 2015, No. 7, 616--639 (2015; Zbl 1401.91152) Full Text: DOI OpenURL
Liu, Yanxin; Li, Johnny Siu-Hang The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. (English) Zbl 1348.91171 Insur. Math. Econ. 64, 135-150 (2015). MSC: 91B30 62P05 91D20 91G20 PDF BibTeX XML Cite \textit{Y. Liu} and \textit{J. S. H. Li}, Insur. Math. Econ. 64, 135--150 (2015; Zbl 1348.91171) Full Text: DOI 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
Stecher, Jack Douglas; van Atten, Mark Using Brouwer’s continuity principle to pick stocks. (English) Zbl 1320.91167 Ann. Oper. Res. 225, 161-171 (2015). MSC: 91G80 03F55 PDF BibTeX XML Cite \textit{J. D. Stecher} and \textit{M. van Atten}, Ann. Oper. Res. 225, 161--171 (2015; Zbl 1320.91167) Full Text: DOI OpenURL
Zhu, Ke; Ling, Shiqing Model-based pricing for financial derivatives. (English) Zbl 1337.91116 J. Econom. 187, No. 2, 447-457 (2015). MSC: 91G20 62M10 62P05 91G70 PDF BibTeX XML Cite \textit{K. Zhu} and \textit{S. Ling}, J. Econom. 187, No. 2, 447--457 (2015; Zbl 1337.91116) Full Text: DOI Link OpenURL
Bielecki, Tomasz R.; Crépey, Stéphane Dynamic hedging of counterparty exposure. (English) Zbl 1418.91563 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 47-71 (2014). MSC: 91G40 91G10 62P05 62H05 91G20 PDF BibTeX XML Cite \textit{T. R. Bielecki} and \textit{S. Crépey}, in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 47--71 (2014; Zbl 1418.91563) Full Text: DOI OpenURL
Laeven, Roger J. A.; Stadje, Mitja Robust portfolio choice and indifference valuation. (English) Zbl 1310.91135 Math. Oper. Res. 39, No. 4, 1109-1141 (2014). MSC: 91G10 60E15 60H30 62P05 PDF BibTeX XML Cite \textit{R. J. A. Laeven} and \textit{M. Stadje}, Math. Oper. Res. 39, No. 4, 1109--1141 (2014; Zbl 1310.91135) Full Text: DOI Link OpenURL
Bondarenko, Oleg Variance trading and market price of variance risk. (English) Zbl 1298.91156 J. Econom. 180, No. 1, 81-97 (2014). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{O. Bondarenko}, J. Econom. 180, No. 1, 81--97 (2014; Zbl 1298.91156) Full Text: DOI OpenURL
Arratia, Argimiro Computational finance. An introductory course with R. (English) Zbl 1309.91001 Atlantis Studies in Computational Finance and Financial Engineering 1. Amsterdam: Atlantis Press (ISBN 978-94-6239-069-0/hbk; 978-94-6239-070-6/ebook). x, 301 p. (2014). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91-01 91G60 91-08 91-04 91G10 91G20 91G70 91B84 62P05 60H30 65C05 90C59 90C90 PDF BibTeX XML Cite \textit{A. Arratia}, Computational finance. An introductory course with R. Amsterdam: Atlantis Press (2014; Zbl 1309.91001) Full Text: DOI OpenURL
Crépey, Stéphane; Bielecki, Tomasz R. [Brigo, Damiano] Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo. (English) Zbl 1294.91005 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4665-1645-8/hbk). xxi, 365 p. (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91-02 91G40 91B30 91B24 91G10 91G20 91G80 60H30 PDF BibTeX XML Cite \textit{S. Crépey} and \textit{T. R. Bielecki}, Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo. Boca Raton, FL: CRC Press (2014; Zbl 1294.91005) OpenURL
Kling, Alexander; Ruß, Jochen; Schilling, Katja Risk analysis of annuity conversion options in a stochastic mortality environment. (English) Zbl 1290.91165 Astin Bull. 44, No. 2, 197-236 (2014). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{A. Kling} et al., ASTIN Bull. 44, No. 2, 197--236 (2014; Zbl 1290.91165) 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
Pelsser, Antoon; Stadje, Mitja Time-consistent and market-consistent evaluations. (English) Zbl 1303.91095 Math. Finance 24, No. 1, 25-65 (2014). Reviewer: Tamás Mátrai (Budapest) MSC: 91B30 91B25 91G20 PDF BibTeX XML Cite \textit{A. Pelsser} and \textit{M. Stadje}, Math. Finance 24, No. 1, 25--65 (2014; Zbl 1303.91095) Full Text: DOI arXiv OpenURL
Gan, Guojun Application of data clustering and machine learning in variable annuity valuation. (English) Zbl 1290.91086 Insur. Math. Econ. 53, No. 3, 795-801 (2013). MSC: 91B30 62P05 62H30 68T05 91G20 PDF BibTeX XML Cite \textit{G. Gan}, Insur. Math. Econ. 53, No. 3, 795--801 (2013; Zbl 1290.91086) Full Text: DOI OpenURL
Frei, Christoph Convergence results for the indifference value based on the stability of BSDEs. (English) Zbl 1285.91148 Stochastics 85, No. 3, 464-488 (2013). MSC: 91G80 60H10 93E20 PDF BibTeX XML Cite \textit{C. Frei}, Stochastics 85, No. 3, 464--488 (2013; Zbl 1285.91148) Full Text: DOI OpenURL
Teng, Long; Ehrhardt, Matthias; Günther, Michael Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults. (English) Zbl 1286.91145 Int. J. Theor. Appl. Finance 16, No. 7, Article ID 1350040, 20 p. (2013). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G40 91G20 91B30 60J25 62P05 PDF BibTeX XML Cite \textit{L. Teng} et al., Int. J. Theor. Appl. Finance 16, No. 7, Article ID 1350040, 20 p. (2013; Zbl 1286.91145) Full Text: DOI OpenURL
Ware, Antony Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage. (English) Zbl 1282.65175 SIAM J. Financ. Math. 4, 427-451 (2013). MSC: 65T40 65M70 65M25 65M12 93E20 49L25 91G80 PDF BibTeX XML Cite \textit{A. Ware}, SIAM J. Financ. Math. 4, 427--451 (2013; Zbl 1282.65175) Full Text: DOI OpenURL
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail Collateralized CVA valuation with rating triggers and credit migrations. (English) Zbl 1301.91052 Int. J. Theor. Appl. Finance 16, No. 2, Article ID 1350009, 32 p. (2013). MSC: 91G20 91B30 91G40 62P05 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., Int. J. Theor. Appl. Finance 16, No. 2, Article ID 1350009, 32 p. (2013; Zbl 1301.91052) Full Text: DOI arXiv OpenURL
Wüthrich, Mario V.; Merz, Michael Financial modeling, actuarial valuation and solvency in insurance. (English) Zbl 1268.91003 Springer Finance. Berlin: Springer (ISBN 978-3-642-31391-2/hbk; 978-3-642-31392-9/ebook). xiv, 432 p. (2013). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91-02 91B30 91G80 62P05 PDF BibTeX XML Cite \textit{M. V. Wüthrich} and \textit{M. Merz}, Financial modeling, actuarial valuation and solvency in insurance. Berlin: Springer (2013; Zbl 1268.91003) Full Text: DOI OpenURL
Hulley, Hardy; Platen, Eckhard Hedging for the long run. (English) Zbl 1264.91147 Math. Financ. Econ. 6, No. 2, 105-124 (2012). MSC: 91G80 91B25 60H30 62P05 PDF BibTeX XML Cite \textit{H. Hulley} and \textit{E. Platen}, Math. Financ. Econ. 6, No. 2, 105--124 (2012; Zbl 1264.91147) Full Text: DOI OpenURL
Cui, Yaling; Stojanovic, Srdjan D. Equity valuation under stock dilution and buy-back. (English) Zbl 1251.91060 Discrete Contin. Dyn. Syst., Ser. B 17, No. 6, 1809-1829 (2012). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 91G20 91G80 35K55 PDF BibTeX XML Cite \textit{Y. Cui} and \textit{S. D. Stojanovic}, Discrete Contin. Dyn. Syst., Ser. B 17, No. 6, 1809--1829 (2012; Zbl 1251.91060) Full Text: DOI OpenURL
Collan, Mikael Thoughts about selected models for the valuation of real options. (English) Zbl 1244.91088 Acta Univ. Palacki. Olomuc., Fac. Rerum Nat., Math. 50, No. 2, 5-12 (2011). MSC: 91G20 91G80 91G60 PDF BibTeX XML Cite \textit{M. Collan}, Acta Univ. Palacki. Olomuc., Fac. Rerum Nat., Math. 50, No. 2, 5--12 (2011; Zbl 1244.91088) Full Text: EuDML OpenURL
Zhu, Dan The martingale pricing for warrant bonds under stochastic interest rate. (Chinese. English summary) Zbl 1249.91135 Acta Math. Appl. Sin. 34, No. 2, 265-271 (2011). MSC: 91G20 91B25 62P05 PDF BibTeX XML Cite \textit{D. Zhu}, Acta Math. Appl. Sin. 34, No. 2, 265--271 (2011; Zbl 1249.91135) OpenURL
Ceci, Claudia; Gerardi, Anna Utility indifference valuation for jump risky assets. (English) Zbl 1273.91192 Decis. Econ. Finance 34, No. 2, 85-120 (2011). MSC: 91B25 91G10 91G80 60H10 93E20 PDF BibTeX XML Cite \textit{C. Ceci} and \textit{A. Gerardi}, Decis. Econ. Finance 34, No. 2, 85--120 (2011; Zbl 1273.91192) Full Text: DOI OpenURL
Knispel, Thomas; Stahl, Gerhard; Weber, Stefan From the equivalence principle to market consistent valuation. (English) Zbl 1237.91130 Jahresber. Dtsch. Math.-Ver. 113, No. 3, 139-172 (2011). MSC: 91B30 62P05 91G80 91B25 PDF BibTeX XML Cite \textit{T. Knispel} et al., Jahresber. Dtsch. Math.-Ver. 113, No. 3, 139--172 (2011; Zbl 1237.91130) Full Text: DOI OpenURL
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. (English) Zbl 1282.91116 Int. J. Theor. Appl. Finance 14, No. 5, 669-708 (2011). MSC: 91B25 91G20 91G70 60G42 62P05 PDF BibTeX XML Cite \textit{A. Badescu} et al., Int. J. Theor. Appl. Finance 14, No. 5, 669--708 (2011; Zbl 1282.91116) Full Text: DOI OpenURL
Madan, Dilip B.; Schoutens, Wim Conic finance and the corporate balance sheet. (English) Zbl 1282.91370 Int. J. Theor. Appl. Finance 14, No. 5, 587-610 (2011). MSC: 91G50 91B24 91B38 91G80 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{W. Schoutens}, Int. J. Theor. Appl. Finance 14, No. 5, 587--610 (2011; Zbl 1282.91370) Full Text: DOI OpenURL
Kohlmann, Michael; Xiong, Dewen Jump bond markets some steps towards general models in applications to hedging and utility problems. (English) Zbl 1235.91181 Tsoi, Allanus (ed.) et al., Stochastic analysis, stochastic systems, and applications to finance. Papers based on the presentations at the 1st Kansas-Missouri winter school of applied probability, Colombia, MO, USA, February 14–15, 2008. Hackensack, NJ: World Scientific (ISBN 978-981-4355-70-4/hbk; 978-981-4355-71-1/ebook). 145-191 (2011). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91G80 91G30 60H30 60G44 PDF BibTeX XML Cite \textit{M. Kohlmann} and \textit{D. Xiong}, in: Stochastic analysis, stochastic systems, and applications to finance. Papers based on the presentations at the 1st Kansas-Missouri winter school of applied probability, Colombia, MO, USA, February 14--15, 2008. Hackensack, NJ: World Scientific. 145--191 (2011; Zbl 1235.91181) Full Text: Link OpenURL
Frei, Christoph; Malamud, Semyon; Schweizer, Martin Convexity bounds for BSDE solutions, with applications to indifference valuation. (English) Zbl 1227.60073 Probab. Theory Relat. Fields 150, No. 1-2, 219-255 (2011). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 91G80 PDF BibTeX XML Cite \textit{C. Frei} et al., Probab. Theory Relat. Fields 150, No. 1--2, 219--255 (2011; Zbl 1227.60073) Full Text: DOI Link OpenURL
Owari, Keita Robust utility maximization with unbounded random endowment. (English) Zbl 1236.91150 Kusuoka, Shigeo (ed.) et al., Advances in mathematical economics. The workshop on mathematical economics 2009, Tokyo, Japan, November 13–15, 2009. Revised selected papers. Tokyo: Springer (ISBN 978-4-431-53882-0/hbk; 978-4-431-53883-7/ebook). Advances in Mathematical Economics 14, 147-181 (2011). Reviewer: Youssef El-Khatib (Al-Ain) MSC: 91G80 60H30 46N10 60G44 PDF BibTeX XML Cite \textit{K. Owari}, Adv. Math. Econ. 14, 147--181 (2011; Zbl 1236.91150) Full Text: DOI OpenURL
Glover, Kristoffer J.; Duck, Peter W.; Newton, David P. On nonlinear models of markets with finite liquidity: some cautionary notes. (English) Zbl 1285.91126 SIAM J. Appl. Math. 70, No. 8, 3252-3271 (2010). MSC: 91G20 91B26 91B24 62P05 91G60 PDF BibTeX XML Cite \textit{K. J. Glover} et al., SIAM J. Appl. Math. 70, No. 8, 3252--3271 (2010; Zbl 1285.91126) Full Text: DOI Link OpenURL
Monoyios, Michael Utility-based valuation and hedging of basis risk with partial information. (English) Zbl 1202.91323 Appl. Math. Finance 17, No. 5-6, 519-551 (2010). MSC: 91G20 91G80 62M20 PDF BibTeX XML Cite \textit{M. Monoyios}, Appl. Math. Finance 17, No. 5--6, 519--551 (2010; Zbl 1202.91323) Full Text: DOI Link OpenURL
Wüthrich, Mario V.; Bühlmann, Hans; Furrer, Hansjörg Market-consistent actuarial valuation. 2nd revised and enlarged ed. (English) Zbl 1203.91005 EAA Series - Textbook. Berlin: Springer (ISBN 978-3-642-14851-4/pbk; 978-3-642-14852-1/ebook). xi, 157 p. (2010). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91-02 91B30 91G10 91G80 PDF BibTeX XML Cite \textit{M. V. Wüthrich} et al., Market-consistent actuarial valuation. 2nd revised and enlarged ed. Berlin: Springer (2010; Zbl 1203.91005) Full Text: DOI OpenURL
Kang, Zhuang; Stojanovic, Srdjan D. Interest rate risk premium and equity valuation. (English) Zbl 1198.91220 J. Syst. Sci. Complex. 23, No. 3, 484-498 (2010). MSC: 91G30 93E20 91B30 91G80 PDF BibTeX XML Cite \textit{Z. Kang} and \textit{S. D. Stojanovic}, J. Syst. Sci. Complex. 23, No. 3, 484--498 (2010; Zbl 1198.91220) Full Text: DOI OpenURL
Siu, Tak Kuen Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows. (English) Zbl 1194.91088 Appl. Math. Comput. 216, No. 11, 3184-3190 (2010). MSC: 91B25 91G80 60J27 PDF BibTeX XML Cite \textit{T. K. Siu}, Appl. Math. Comput. 216, No. 11, 3184--3190 (2010; Zbl 1194.91088) Full Text: DOI OpenURL
Xiong, Dewen; Kohlmann, Michael An \(S\)-related DCV generated by a convex function in a jump market. (English) Zbl 1201.91241 Stochastic Anal. Appl. 28, No. 2, 202-225 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 91G80 60H30 60G44 PDF BibTeX XML Cite \textit{D. Xiong} and \textit{M. Kohlmann}, Stochastic Anal. Appl. 28, No. 2, 202--225 (2010; Zbl 1201.91241) Full Text: DOI OpenURL
Xu, Qin; Wei, Yi; Chen, Xiaoyan; Zheng, Caixiang Clarification of certainty equivalence approach in capital budgeting. (Chinese. English summary) Zbl 1224.91031 J. Tongji Univ., Nat. Sci. 37, No. 10, 1414-1417 (2009). MSC: 91B25 91B30 62P05 91B16 PDF BibTeX XML Cite \textit{Q. Xu} et al., J. Tongji Univ., Nat. Sci. 37, No. 10, 1414--1417 (2009; Zbl 1224.91031) Full Text: DOI OpenURL
Kusakci, Ali Osman Market value valuation with Ohlson model: an empirical analysis of ATX indexed companies in Vienna stock exchange. (English) Zbl 1194.91200 Zadnik Stirn, Lidija (ed.) et al., SOR ’09. Proceedings. The 10th international symposium on operational research in Slovenia, Nova Gorica, Slovenia, September 23–25, 2009. Ljubljana: Slovenian Society Informatika (SDI), Section for Operational Research (SOR) (ISBN 978-961-6165-30-3/pbk). 311-320 (2009). MSC: 91G70 62P05 91B25 PDF BibTeX XML Cite \textit{A. O. Kusakci}, in: SOR '09. Proceedings. The 10th international symposium on operational research in Slovenia, Nova Gorica, Slovenia, September 23--25, 2009. Ljubljana: Slovenian Society Informatika (SDI), Section for Operational Research (SOR). 311--320 (2009; Zbl 1194.91200) OpenURL
Ballotta, Laura Pricing and capital requirements for with profit contracts: modelling considerations. (English) Zbl 1180.91160 Quant. Finance 9, No. 7, 803-817 (2009). MSC: 91B30 91B25 91G80 91G60 PDF BibTeX XML Cite \textit{L. Ballotta}, Quant. Finance 9, No. 7, 803--817 (2009; Zbl 1180.91160) Full Text: DOI Link OpenURL
Lindström, Erik; Ströjby, Jonas; Brodén, Mats; Wiktorsson, Magnus; Holst, Jan Sequential calibration of options. (English) Zbl 1452.62778 Comput. Stat. Data Anal. 52, No. 6, 2877-2891 (2008). MSC: 62P05 62-08 91G20 PDF BibTeX XML Cite \textit{E. Lindström} et al., Comput. Stat. Data Anal. 52, No. 6, 2877--2891 (2008; Zbl 1452.62778) Full Text: DOI OpenURL
Taniguchi, Masanobu; Hirukawa, Junichi; Tamaki, Kenichiro Optimal statistical inference in financial engineering. (English) Zbl 1152.62074 Boca Raton, FL: Chapman & Hall/CRC (ISBN 978-1-58488-591-7/hbk; 978-1-4200-1103-6/ebook). xii, 366 p. (2008). Reviewer: Dmitry Ostrouchov (Odessa) MSC: 62-02 62P05 62M10 62H30 62M15 62G05 91G20 91G70 PDF BibTeX XML Cite \textit{M. Taniguchi} et al., Optimal statistical inference in financial engineering. Boca Raton, FL: Chapman \& Hall/CRC (2008; Zbl 1152.62074) Full Text: DOI OpenURL
Yang, Weihua; Li, Shiyin The valuation of options when the market price of default risk involved. (Chinese. English summary) Zbl 1164.91358 J. Xiamen Univ., Nat. Sci. 46, No. 1, 21-26 (2007). MSC: 91B28 91B30 62P05 PDF BibTeX XML Cite \textit{W. Yang} and \textit{S. Li}, J. Xiamen Univ., Nat. Sci. 46, No. 1, 21--26 (2007; Zbl 1164.91358) OpenURL
Sun, Jiansheng; Wang, Wenju The option game analysis of fair valuation for deductible insurance. (Chinese. English summary) Zbl 1164.91349 Math. Pract. Theory 37, No. 24, 9-15 (2007). MSC: 91B28 91B30 62P05 91A80 PDF BibTeX XML Cite \textit{J. Sun} and \textit{W. Wang}, Math. Pract. Theory 37, No. 24, 9--15 (2007; Zbl 1164.91349) OpenURL
Penagos Forero, Nicolás Valuing mortgage contracts via an option model. (Spanish. English summary) Zbl 1386.91146 Lect. Mat. 27, Spec. Iss., 299-330 (2006). MSC: 91G20 PDF BibTeX XML Cite \textit{N. Penagos Forero}, Lect. Mat. 27, 299--330 (2006; Zbl 1386.91146) OpenURL
Olivieri, Annamaria Heterogeneity in survival models. Applications to pensions and life annuities. (English) Zbl 1356.91059 Belg. Actuar. Bull. 6, No. 1, 23-39 (2006). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{A. Olivieri}, Belg. Actuar. Bull. 6, No. 1, 23--39 (2006; Zbl 1356.91059) OpenURL
Čížek, Pavel; Härdle, Wolfgang; Weron, Rafał Statistical tools for finance and insurance. (English) Zbl 1078.62112 Berlin: Springer (ISBN 3-540-22189-1/pbk). 517 p. (2005). Reviewer: Edward M. Psyadlo (Odessa) MSC: 62-01 91-01 62P05 91G70 91B30 91B26 PDF BibTeX XML Cite \textit{P. Čížek} et al., Statistical tools for finance and insurance. Berlin: Springer (2005; Zbl 1078.62112) Full Text: DOI OpenURL
Duan, Jin-Chuan; Pliska, Stanley R. Option valuation with co-integrated asset prices. (English) Zbl 1179.91261 J. Econ. Dyn. Control 28, No. 4, 727-754 (2004). MSC: 91G70 91G20 62P05 PDF BibTeX XML Cite \textit{J.-C. Duan} and \textit{S. R. Pliska}, J. Econ. Dyn. Control 28, No. 4, 727--754 (2004; Zbl 1179.91261) Full Text: DOI OpenURL
Linnemann, P. Valuation of participating life insurance liabilities. (English) Zbl 1142.62092 Scand. Actuar. J. 2004, No. 2, 81-104 (2004). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62P05 60J20 91B30 60J27 PDF BibTeX XML Cite \textit{P. Linnemann}, Scand. Actuar. J. 2004, No. 2, 81--104 (2004; Zbl 1142.62092) Full Text: DOI OpenURL
Jørgensen, Peter Løchte On accounting standards and fair valuation of life insurance and pension liabilities. (English) Zbl 1087.62117 Scand. Actuar. J. 2004, No. 5, 372-394 (2004). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{P. L. Jørgensen}, Scand. Actuar. J. 2004, No. 5, 372--394 (2004; Zbl 1087.62117) Full Text: DOI OpenURL
Linnemann, P. An actuarial analysis of participating life insurance. (English) Zbl 1092.91051 Scand. Actuar. J. 2003, No. 2, 153-176 (2003). Reviewer: A. D. Borisenko(Kyïv) MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{P. Linnemann}, Scand. Actuar. J. 2003, No. 2, 153--176 (2003; Zbl 1092.91051) Full Text: DOI OpenURL
Owadally, M. Iqbal Pension funding and the actuarial assumption concerning investment returns. (English) Zbl 1098.91058 Astin Bull. 33, No. 2, 289-312 (2003). MSC: 91B28 62E10 62P05 PDF BibTeX XML Cite \textit{M. I. Owadally}, ASTIN Bull. 33, No. 2, 289--312 (2003; Zbl 1098.91058) Full Text: DOI OpenURL
Kunitomo, Naoto; Takahashi, Akihiko On validity of the asymptotic expansion approach in contingent claim analysis. (English) Zbl 1091.91037 Ann. Appl. Probab. 13, No. 3, 914-952 (2003). MSC: 91B28 60H07 PDF BibTeX XML Cite \textit{N. Kunitomo} and \textit{A. Takahashi}, Ann. Appl. Probab. 13, No. 3, 914--952 (2003; Zbl 1091.91037) Full Text: DOI Link OpenURL
Bams, Dennis; Schotman, Peter C. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models. (English) Zbl 1023.62105 J. Econom. 117, No. 1, 179-206 (2003). MSC: 62P05 62M10 62H25 PDF BibTeX XML Cite \textit{D. Bams} and \textit{P. C. Schotman}, J. Econom. 117, No. 1, 179--206 (2003; Zbl 1023.62105) Full Text: DOI OpenURL
Bondarenko, Oleg Estimation of risk-neutral densities using positive convolution approximation. (English) Zbl 1016.62120 J. Econom. 116, No. 1-2, 85-112 (2003). MSC: 62P05 62G07 65C05 PDF BibTeX XML Cite \textit{O. Bondarenko}, J. Econom. 116, No. 1--2, 85--112 (2003; Zbl 1016.62120) Full Text: DOI OpenURL
Chang, Shih-Chieh; Chen, Chiang-Chu Allocating unfunded liability in pension valuation under uncertainty. (English) Zbl 1074.62525 Insur. Math. Econ. 30, No. 3, 371-387 (2002). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{S.-C. Chang} and \textit{C.-C. Chen}, Insur. Math. Econ. 30, No. 3, 371--387 (2002; Zbl 1074.62525) Full Text: DOI OpenURL
Cai, Yuezhou; Wu, Wenjiang Synthetic financial evaluation by a method of combining DEA with AHP. (English) Zbl 0992.91047 Int. Trans. Oper. Res. 8, No. 5, 603-609 (2001). MSC: 91B28 91B82 91B06 PDF BibTeX XML Cite \textit{Y. Cai} and \textit{W. Wu}, Int. Trans. Oper. Res. 8, No. 5, 603--609 (2001; Zbl 0992.91047) Full Text: DOI OpenURL
Ammann, Manuel Credit risk valuation. Methods, models, and applications. 2nd ed. (English) Zbl 0983.91028 Springer Finance. Berlin: Springer. x, 255 p. (2001). Reviewer: Bogdan Choczewski (Kraków) MSC: 91-02 91G40 60G44 60H30 62P05 PDF BibTeX XML Cite \textit{M. Ammann}, Credit risk valuation. Methods, models, and applications. 2nd ed. Berlin: Springer (2001; Zbl 0983.91028) OpenURL