Weiss, Farina A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices. (English) Zbl 07331447 Math. Methods Oper. Res. 93, No. 1, 33-81 (2021). MSC: 90C PDF BibTeX XML Cite \textit{F. Weiss}, Math. Methods Oper. Res. 93, No. 1, 33--81 (2021; Zbl 07331447) Full Text: DOI
Deng, Jun; Zou, Bin Quadratic hedging for sequential claims with random weights in discrete time. (English) Zbl 07331256 Oper. Res. Lett. 49, No. 2, 218-225 (2021). MSC: 90 PDF BibTeX XML Cite \textit{J. Deng} and \textit{B. Zou}, Oper. Res. Lett. 49, No. 2, 218--225 (2021; Zbl 07331256) Full Text: DOI
van der Zwaard, Thomas; Grzelak, Lech A.; Oosterlee, Cornelis W. A computational approach to hedging credit valuation adjustment in a jump-diffusion setting. (English) Zbl 07330459 Appl. Math. Comput. 391, Article ID 125671, 22 p. (2021). MSC: 91 90 PDF BibTeX XML Cite \textit{T. van der Zwaard} et al., Appl. Math. Comput. 391, Article ID 125671, 22 p. (2021; Zbl 07330459) Full Text: DOI
Smirnov, S. N. A guaranteed deterministic approach to superhedging: no arbitrage properties of the market. (English. Russian original) Zbl 07329688 Autom. Remote Control 82, No. 1, 172-187 (2021); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68-95 (2019). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Autom. Remote Control 82, No. 1, 172--187 (2021; Zbl 07329688); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68--95 (2019) Full Text: DOI
Zhang, Chaojun; Wang, Xiaoqun; He, Zhijian Efficient importance sampling in quasi-Monte Carlo methods for computational finance. (English) Zbl 07328662 SIAM J. Sci. Comput. 43, No. 1, B1-B29 (2021). MSC: 65C05 65D30 91G20 91G60 PDF BibTeX XML Cite \textit{C. Zhang} et al., SIAM J. Sci. Comput. 43, No. 1, B1--B29 (2021; Zbl 07328662) Full Text: DOI
Bahl, Raj Kumari; Sabanis, Sotirios Model-independent price bounds for catastrophic mortality bonds. (English) Zbl 07324199 Insur. Math. Econ. 96, 276-291 (2021). MSC: 91G05 91G20 60G44 PDF BibTeX XML Cite \textit{R. K. Bahl} and \textit{S. Sabanis}, Insur. Math. Econ. 96, 276--291 (2021; Zbl 07324199) Full Text: DOI
Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 07324196 Insur. Math. Econ. 96, 232-247 (2021). MSC: 91G05 91G20 60J70 PDF BibTeX XML Cite \textit{R. Brignone} et al., Insur. Math. Econ. 96, 232--247 (2021; Zbl 07324196) Full Text: DOI
Bravo, Jorge M.; Nunes, João Pedro Vidal Pricing longevity derivatives via Fourier transforms. (English) Zbl 07324185 Insur. Math. Econ. 96, 81-97 (2021). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{J. M. Bravo} and \textit{J. P. V. Nunes}, Insur. Math. Econ. 96, 81--97 (2021; Zbl 07324185) Full Text: DOI
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying Volterra mortality model: actuarial valuation and risk management with long-range dependence. (English) Zbl 07324180 Insur. Math. Econ. 96, 1-14 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 60G22 PDF BibTeX XML Cite \textit{L. Wang} et al., Insur. Math. Econ. 96, 1--14 (2021; Zbl 07324180) Full Text: DOI
Zaevski, Tsvetelin S. A new approach for pricing discounted American options. (English) Zbl 07323685 Commun. Nonlinear Sci. Numer. Simul. 97, Article ID 105752, 19 p. (2021). MSC: 35Q91 35R35 60G44 91G20 PDF BibTeX XML Cite \textit{T. S. Zaevski}, Commun. Nonlinear Sci. Numer. Simul. 97, Article ID 105752, 19 p. (2021; Zbl 07323685) Full Text: DOI
Obłój, Jan; Wiesel, Johannes Robust estimation of superhedging prices. (English) Zbl 07319875 Ann. Stat. 49, No. 1, 508-530 (2021). MSC: 91G20 62P05 62G20 62G35 PDF BibTeX XML Cite \textit{J. Obłój} and \textit{J. Wiesel}, Ann. Stat. 49, No. 1, 508--530 (2021; Zbl 07319875) Full Text: DOI Euclid
Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph A numerical scheme for the quantile hedging problem. (English) Zbl 07319376 SIAM J. Financ. Math. 12, No. 1, 110-157 (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{C. Bénézet} et al., SIAM J. Financ. Math. 12, No. 1, 110--157 (2021; Zbl 07319376) Full Text: DOI
Ning, Ning; Wu, Jing Well-posedness and stability analysis of two classes of generalized stochastic volatility models. (English) Zbl 07319375 SIAM J. Financ. Math. 12, No. 1, 79-109 (2021). MSC: 91G20 60G20 PDF BibTeX XML Cite \textit{N. Ning} and \textit{J. Wu}, SIAM J. Financ. Math. 12, No. 1, 79--109 (2021; Zbl 07319375) Full Text: DOI
Zhou, Zhou Utility maximization when shorting American options. (English) Zbl 07319374 SIAM J. Financ. Math. 12, No. 1, 47-78 (2021). MSC: 91G20 60G40 91B16 PDF BibTeX XML Cite \textit{Z. Zhou}, SIAM J. Financ. Math. 12, No. 1, 47--78 (2021; Zbl 07319374) Full Text: DOI
Wang, Peiqi; Rong, Ximin; Zhao, Hui; Wang, Suxin Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk. (English) Zbl 07319204 J. Comput. Appl. Math. 391, Article ID 113382, 18 p. (2021). MSC: 91G05 91G20 49J15 PDF BibTeX XML Cite \textit{P. Wang} et al., J. Comput. Appl. Math. 391, Article ID 113382, 18 p. (2021; Zbl 07319204) Full Text: DOI
Krzyżanowski, Grzegorz; Magdziarz, Marcin A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model. (English) Zbl 07319169 Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDF BibTeX XML Cite \textit{G. Krzyżanowski} and \textit{M. Magdziarz}, Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021; Zbl 07319169) Full Text: DOI
Liang, Gechun; Yang, Zhou Analysis of the optimal exercise boundary of American put options with delivery lags. (English) Zbl 07317501 J. Math. Anal. Appl. 497, No. 2, Article ID 124916, 22 p. (2021). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{G. Liang} and \textit{Z. Yang}, J. Math. Anal. Appl. 497, No. 2, Article ID 124916, 22 p. (2021; Zbl 07317501) Full Text: DOI
Fallah, Somayeh; Mehrdoust, Farshid CEV model equipped with the long-memory. (English) Zbl 07309617 J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021; Zbl 07309617) Full Text: DOI
Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Safdari, Mohammad Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints. (English) Zbl 07308684 J. Differ. Equations 279, 76-135 (2021). MSC: 35B65 35R35 35D40 35J87 49N60 91G20 93E20 PDF BibTeX XML Cite \textit{M. Safdari}, J. Differ. Equations 279, 76--135 (2021; Zbl 07308684) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 07305168 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 07305168) Full Text: DOI
Cao, Jiling; Kim, Jeong-Hoon; Zhang, Wenjun Pricing variance swaps under hybrid CEV and stochastic volatility. (English) Zbl 07305143 J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021; Zbl 07305143) Full Text: DOI
Orlando, Giuseppe; Taglialatela, Giovanni On the approximation of the Black and Scholes call function. (English) Zbl 07305055 J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021). MSC: 65-02 91G20 91G60 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021; Zbl 07305055) Full Text: DOI
Chambers, Donald R.; Lu, Qin Introduction to financial mathematics. With computer applications (to appear). (English) Zbl 07304717 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-0-367-41039-1/hbk). 582 p. (2021). MSC: 91-01 91G20 91G30 92-08 PDF BibTeX XML Cite \textit{D. R. Chambers} and \textit{Q. Lu}, Introduction to financial mathematics. With computer applications (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07304717)
Alos, Elisa; Garcia Lorite, David Malliavin calculus in finance. Theory and practice (to appear). (English) Zbl 07302702 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-0-367-89344-6/hbk). 344 p. (2021). MSC: 91-02 91G20 60H07 60G22 PDF BibTeX XML Cite \textit{E. Alos} and \textit{D. Garcia Lorite}, Malliavin calculus in finance. Theory and practice (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07302702)
Campolieti, Giuseppe; Makarov, Roman N. Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. (English) Zbl 07286287 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-1-138-58787-8/hbk). 592 p. (2021). MSC: 91-01 91G20 91G10 91G60 60H30 PDF BibTeX XML Cite \textit{G. Campolieti} and \textit{R. N. Makarov}, Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. Boca Raton, FL: CRC Press (2021; Zbl 07286287)
Gallagher, Liam A.; Hutchinson, Mark C.; O’Brien, John Using smooth transition regressions to model risk regimes. (English) Zbl 1454.91246 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281-4311 (2021). MSC: 91G15 91G20 62P05 PDF BibTeX XML Cite \textit{L. A. Gallagher} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281--4311 (2021; Zbl 1454.91246) Full Text: DOI
Chen, Yu-Ting; Lee, Cheng Few; Sheu, Yuan-Chung An integral equation approach for bond prices with applications to credit spreads. (English) Zbl 1454.91281 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849-3866 (2021). MSC: 91G20 91G40 60J74 60H20 PDF BibTeX XML Cite \textit{Y.-T. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849--3866 (2021; Zbl 1454.91281) Full Text: DOI
Hsu, Y. L.; Lin, T. L.; Lee, Cheng Few Constant elasticity of variance option pricing model: integration and detailed derivation. (English) Zbl 1454.91290 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829-3847 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Y. L. Hsu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829--3847 (2021; Zbl 1454.91290) Full Text: DOI
Ferson, Wayne; Chen, Yong How many good and bad funds are there, really? (English) Zbl 1452.91307 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753-3827 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{W. Ferson} and \textit{Y. Chen}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753--3827 (2021; Zbl 1452.91307) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Implied variance estimates for Black-Scholes and CEV OPM: review and comparison. (English) Zbl 1454.91297 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703-3736 (2021). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703--3736 (2021; Zbl 1454.91297) Full Text: DOI
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng Few Option price and stock market momentum in China. (English) Zbl 1454.91301 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619-3647 (2021). MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Li} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619--3647 (2021; Zbl 1454.91301) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Alternative methods to derive option pricing models: review and comparison. (English) Zbl 1451.91200 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573-3617 (2021). MSC: 91G20 91G80 60H10 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573--3617 (2021; Zbl 1451.91200) Full Text: DOI
Lee, Cheng Few; Tsai, Chiung-Min; Lee, Alice C. A dynamic CAPM with supply effect: theory and empirical results. (English) Zbl 1454.91318 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3517-3544 (2021). MSC: 91G30 91G20 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3517--3544 (2021; Zbl 1454.91318) Full Text: DOI
Yu, Hai-Chin; Lee, Chia-Ju; Hsieh, Der-Tzon Does quantile co-integration exist between gold spot and futures prices? (English) Zbl 1454.91310 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3219-3239 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{H.-C. Yu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3219--3239 (2021; Zbl 1454.91310) Full Text: DOI
Smith, Zachary A.; Janabi, Mazin A. M. Al; Mumtaz, Muhammad Z. Opacity, stale pricing, extreme bounds analysis, and hedge fund performance: making sense of reported hedge fund returns. (English) Zbl 1454.91307 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3193-3217 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{Z. A. Smith} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3193--3217 (2021; Zbl 1454.91307) Full Text: DOI
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
Lee, Cheng Few Synthetic options, portfolio insurance, and contingent immunization. (English) Zbl 1454.91295 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099-3141 (2021). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099--3141 (2021; Zbl 1454.91295) Full Text: DOI
Lee, Cheng Few Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 1454.91225 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059-3098 (2021). MSC: 91G10 91G20 91G30 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059--3098 (2021; Zbl 1454.91225) Full Text: DOI
Lee, Cheng Few; Xiao, Yuanyuan A comparative static analysis approach to derive Greek letters: theory and applications. (English) Zbl 1454.91298 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965-2999 (2021). MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{Y. Xiao}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965--2999 (2021; Zbl 1454.91298) Full Text: DOI
Lee, Cheng Few Statistical distributions, European option, American option, and option bounds. (English) Zbl 1454.91294 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2929-2964 (2021). MSC: 91G20 60G40 62P05 62H10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2929--2964 (2021; Zbl 1454.91294) Full Text: DOI
Chang, Jow-Ran; Lee, John Decision tree and Microsoft Excel approach for option pricing model. (English) Zbl 1452.91304 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{J.-R. Chang} and \textit{J. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885--2927 (2021; Zbl 1452.91304) Full Text: DOI
Lee, Cheng Few Options and option strategies: theory and empirical results. (English) Zbl 1454.91293 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839-2884 (2021). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839--2884 (2021; Zbl 1454.91293) Full Text: DOI
Lee, Cheng Few Credit analysis, bond rating forecasting, and default probability estimation. (English) Zbl 1454.91328 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635-2671 (2021). MSC: 91G40 91G20 62P05 62H25 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635--2671 (2021; Zbl 1454.91328) Full Text: DOI
Chen, Son-Nan; Lee, Cheng Few The sampling relationship between Sharpe’s performance measure and its risk proxy: sample size, investment horizon and market conditions. (English) Zbl 1454.91215 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2419-2435 (2021). MSC: 91G10 91G20 91G70 PDF BibTeX XML Cite \textit{S.-N. Chen} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2419--2435 (2021; Zbl 1454.91215) Full Text: DOI
Chang, Hao; Wu, Yangru Application of filtering methods in asset pricing. (English) Zbl 1454.91313 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2303-2321 (2021). MSC: 91G30 91G20 62P05 62M20 PDF BibTeX XML Cite \textit{H. Chang} and \textit{Y. Wu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2303--2321 (2021; Zbl 1454.91313) Full Text: DOI
Agoraki, Maria-Eleni K.; Georgoutsos, Dimitris A.; Moratis, George T. Determinants of Euro-area bank CDS spreads. (English) Zbl 1454.91325 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161-2198 (2021). MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{M.-E. K. Agoraki} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161--2198 (2021; Zbl 1454.91325) Full Text: DOI
Kao, Lie-Jane; Chen, Li-Shya; Lee, Cheng Few Analysis of sequential conversions of convertible bonds: a recurrent survival approach. (English) Zbl 1451.91199 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141-2159 (2021). MSC: 91G20 62P05 62N02 PDF BibTeX XML Cite \textit{L.-J. Kao} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141--2159 (2021; Zbl 1451.91199) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) Full Text: DOI
Szu, Wen-Ming; Wang, Yi-Chen; Yang, Wan-Ru How does investor sentiment affect implied risk-neutral distributions of call and put options? (English) Zbl 1454.91308 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599-1636 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{W.-M. Szu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599--1636 (2021; Zbl 1454.91308) Full Text: DOI
Chow, K. Victor; Jiang, Wanjun; Li, Jingrui Does VIX truly measure return volatility? (English) Zbl 1454.91282 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533-1559 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{K. V. Chow} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533--1559 (2021; Zbl 1454.91282) Full Text: DOI
Sebehela, Tumellano Entropic two-asset option. (English) Zbl 1454.91306 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1295-1344 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Sebehela}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1295--1344 (2021; Zbl 1454.91306) Full Text: DOI
Diavatopoulos, Dean; Sokolinskiy, Oleg Stochastic volatility models: faking a smile. (English) Zbl 1454.91286 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271-1293 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{D. Diavatopoulos} and \textit{O. Sokolinskiy}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271--1293 (2021; Zbl 1454.91286) Full Text: DOI
Chalamandaris, George; Malliaris, A. G. Itô’s calculus and the derivation of the Black-Scholes option-pricing model. (English) Zbl 1454.91277 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025-1074 (2021). MSC: 91G20 60H10 60G44 PDF BibTeX XML Cite \textit{G. Chalamandaris} and \textit{A. G. Malliaris}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025--1074 (2021; Zbl 1454.91277) Full Text: DOI
Lee, Cheng Few; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei Alternative methods for determining option bounds: a review and comparison. (English) Zbl 1454.91299 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917-945 (2021). MSC: 91G20 60G40 60E15 90C05 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917--945 (2021; Zbl 1454.91299) Full Text: DOI
Tai, Tzu; Lee, Cheng Few; Dai, Tian-Shyr; Wang, Keh Luh; Chen, Hong-Yi Pricing fair deposit insurance: structural model approach. (English) Zbl 1451.91170 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583-602 (2021). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{T. Tai} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583--602 (2021; Zbl 1451.91170) Full Text: DOI
Chen, Sheng-Syan; Lee, Cheng Few; Shresth, Keshab Hedge ratio and time series analysis. (English) Zbl 1454.91280 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431-483 (2021). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{S.-S. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431--483 (2021; Zbl 1454.91280) Full Text: DOI
Rahman, Shafiqur; Schneider, Matthew J. Application of the multivariate average \(F\)-test to examine relative performance of asset pricing models with individual security returns. (English) Zbl 1452.91319 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 391-430 (2021). MSC: 91G30 91G20 62P05 PDF BibTeX XML Cite \textit{S. Rahman} and \textit{M. J. Schneider}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 391--430 (2021; Zbl 1452.91319) Full Text: DOI
Lee, Cheng Few; Zhang, Peter Guangping Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison. (English) Zbl 1451.91201 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297-334 (2021). MSC: 91G20 62P05 60E15 90C05 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{P. G. Zhang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297--334 (2021; Zbl 1451.91201) Full Text: DOI
Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDF BibTeX XML Cite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) Full Text: DOI
Ahmadi, Z.; Hosseini, S. M.; Bastani, A. Foroush A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. (English) Zbl 1448.91290 J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021). MSC: 91G20 93E20 60J74 90C39 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021; Zbl 1448.91290) Full Text: DOI
Lin, Sha; He, Xin-Jiang A new integral equation approach for pricing American-style barrier options with rebates. (English) Zbl 1448.91298 J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021). MSC: 91G20 60G40 35Q91 PDF BibTeX XML Cite \textit{S. Lin} and \textit{X.-J. He}, J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021; Zbl 1448.91298) Full Text: DOI
Georgiev, Slavi G.; Vulkov, Lubin G. Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021). MSC: 91G60 65M55 91G20 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323) Full Text: DOI
Hainaut, Donatien; Leonenko, Nikolai Option pricing in illiquid markets: a fractional jump-diffusion approach. (English) Zbl 1447.91174 J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021). MSC: 91G20 26A33 60J74 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{N. Leonenko}, J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021; Zbl 1447.91174) Full Text: DOI
Chiesa, Gabriella Safe assets, credit provision and debt management. (English) Zbl 07331504 Open Econ. Rev. 31, No. 3, 637-667 (2020). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{G. Chiesa}, Open Econ. Rev. 31, No. 3, 637--667 (2020; Zbl 07331504) Full Text: DOI
Goard, Joanna Closed-form formulae for European options under three-factor models. (English) Zbl 07329671 Commun. Math. Stat. 8, No. 4, 379-408 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Goard}, Commun. Math. Stat. 8, No. 4, 379--408 (2020; Zbl 07329671) Full Text: DOI
Boyarchenko, Svetlana; Levendorskiĭ, Sergei Static and semistatic hedging as contrarian or conformist bets. (English) Zbl 07326772 Math. Finance 30, No. 3, 921-960 (2020). MSC: 91G PDF BibTeX XML Cite \textit{S. Boyarchenko} and \textit{S. Levendorskiĭ}, Math. Finance 30, No. 3, 921--960 (2020; Zbl 07326772) Full Text: DOI
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian Hedging nontradable risks with transaction costs and price impact. (English) Zbl 07326770 Math. Finance 30, No. 3, 833-868 (2020). MSC: 91G PDF BibTeX XML Cite \textit{Á. Cartea} et al., Math. Finance 30, No. 3, 833--868 (2020; Zbl 07326770) Full Text: DOI
Shiraya, Kenichirpo An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. (English) Zbl 07323554 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050051, 20 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{K. Shiraya}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050051, 20 p. (2020; Zbl 07323554) Full Text: DOI
de Gennaro Aquino, Luca; Bernard, Carole Bounds on multi-asset derivatives via neural networks. (English) Zbl 07323553 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050050, 31 p. (2020). MSC: 91G20 68T05 PDF BibTeX XML Cite \textit{L. de Gennaro Aquino} and \textit{C. Bernard}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050050, 31 p. (2020; Zbl 07323553) Full Text: DOI
van Appel, Jacques; McWalter, Thomas A. Moment approximations of displaced forward-LIBOR rates with application to swaptions. (English) Zbl 07323549 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050046, 29 p. (2020). MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{J. van Appel} and \textit{T. A. McWalter}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050046, 29 p. (2020; Zbl 07323549) Full Text: DOI
Willems, Sander Linear stochastic dividend model. (English) Zbl 07323547 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050044, 20 p. (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{S. Willems}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050044, 20 p. (2020; Zbl 07323547) Full Text: DOI
Yu, Xing; Zhang, Wei Guo; Liu, Yong Jun; Wang, Xinxin; Wang, Chao Hedging the exchange rate risk for international portfolios. (English) Zbl 07318053 Math. Comput. Simul. 173, 85-104 (2020). MSC: 91 62 PDF BibTeX XML Cite \textit{X. Yu} et al., Math. Comput. Simul. 173, 85--104 (2020; Zbl 07318053) Full Text: DOI
Aptus, Elias; Britz, Volker; Gersbach, Hans Crisis contracts. (English) Zbl 07317168 Econ. Theory 70, No. 1, 121-164 (2020). MSC: 91G45 91B41 91A80 PDF BibTeX XML Cite \textit{E. Aptus} et al., Econ. Theory 70, No. 1, 121--164 (2020; Zbl 07317168) Full Text: DOI
Dube, Mbakisi; Patidar, Kailash C. A robust nonstandard finite difference scheme for pricing real estate index options. (English) Zbl 07314943 J. Difference Equ. Appl. 26, No. 11-12, 1471-1493 (2020). MSC: 35Q91 91G20 91G60 35K20 65M06 65M12 65D07 PDF BibTeX XML Cite \textit{M. Dube} and \textit{K. C. Patidar}, J. Difference Equ. Appl. 26, No. 11--12, 1471--1493 (2020; Zbl 07314943) Full Text: DOI
van Appel, Vaughan; Maré, Eben The recovery theorem with application to risk management. (English) Zbl 07311507 S. Afr. Stat. J. 54, No. 1, 65-91 (2020). MSC: 62P05 62G07 91G20 PDF BibTeX XML Cite \textit{V. van Appel} and \textit{E. Maré}, S. Afr. Stat. J. 54, No. 1, 65--91 (2020; Zbl 07311507) Full Text: DOI
Cruz, José M. T. S.; Ševčovič, Daniel On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (English) Zbl 07309987 Japan J. Ind. Appl. Math. 37, No. 3, 697-721 (2020). MSC: 45K05 35K58 34G20 91G20 PDF BibTeX XML Cite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovič}, Japan J. Ind. Appl. Math. 37, No. 3, 697--721 (2020; Zbl 07309987) Full Text: DOI
Zhang, Min; Hou, Liangshao; Sun, Jie; Yan, Ailing A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms. (English) Zbl 07309368 Asia-Pac. J. Oper. Res. 37, No. 4, Article ID 2040004, 21 p. (2020). MSC: 90C15 PDF BibTeX XML Cite \textit{M. Zhang} et al., Asia-Pac. J. Oper. Res. 37, No. 4, Article ID 2040004, 21 p. (2020; Zbl 07309368) Full Text: DOI
Tiwari, Archana; Bhattacharyya, Debanjana; Pati, K. C. Controllabilty and stability analysis on a group associated with Black-Scholes equation. (English) Zbl 07308286 Arch. Control Sci. 30, No. 3, 553-573 (2020). MSC: 93B05 93C20 35J10 91G20 93D05 PDF BibTeX XML Cite \textit{A. Tiwari} et al., Arch. Control Sci. 30, No. 3, 553--573 (2020; Zbl 07308286) Full Text: DOI
Candian, Giacomo; Dmitriev, Mikhail Optimal contracts and supply-driven recessions. (English) Zbl 07308072 Econ. Lett. 197, Article ID 109618, 5 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{G. Candian} and \textit{M. Dmitriev}, Econ. Lett. 197, Article ID 109618, 5 p. (2020; Zbl 07308072) Full Text: DOI
Jang, Hanbyeol; Kim, Hyundong; Jo, Subeom; Kim, Hanrim; Lee, Seri; Lee, Juwon; Kim, Junseok Fast Android implementation of Monte Carlo simulation for pricing equity-linked securities. (English) Zbl 07307922 J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79-84 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{H. Jang} et al., J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79--84 (2020; Zbl 07307922) Full Text: DOI
Yuen, Tsz Hon; Sun, Shi-Feng; Liu, Joseph K.; Au, Man Ho; Esgin, Muhammed F.; Zhang, Qingzhao; Gu, Dawu RingCT 3.0 for blockchain confidential transaction: shorter size and stronger security. (English) Zbl 07307730 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 464-483 (2020). MSC: 94A60 94A62 91B64 91G20 68P25 68M14 PDF BibTeX XML Cite \textit{T. H. Yuen} et al., Lect. Notes Comput. Sci. 12059, 464--483 (2020; Zbl 07307730) Full Text: DOI
Wahby, Riad S.; Boneh, Dan; Jeffrey, Christopher; Poon, Joseph An airdrop that preserves recipient privacy. (English) Zbl 07307729 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 444-463 (2020). MSC: 94A60 94A62 91B64 91G20 PDF BibTeX XML Cite \textit{R. S. Wahby} et al., Lect. Notes Comput. Sci. 12059, 444--463 (2020; Zbl 07307729) Full Text: DOI
Bünz, Benedikt; Agrawal, Shashank; Zamani, Mahdi; Boneh, Dan Zether: towards privacy in a smart contract world. (English) Zbl 07307728 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 423-443 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{B. Bünz} et al., Lect. Notes Comput. Sci. 12059, 423--443 (2020; Zbl 07307728) Full Text: DOI
Baum, Carsten; David, Bernardo; Dowsley, Rafael Insured MPC: efficient secure computation with financial penalties. (English) Zbl 07307727 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 404-420 (2020). MSC: 94A60 91B64 91G20 68P25 68M14 PDF BibTeX XML Cite \textit{C. Baum} et al., Lect. Notes Comput. Sci. 12059, 404--420 (2020; Zbl 07307727) Full Text: DOI
Tueno, Anselme; Kerschbaum, Florian; Katzenbeisser, Stefan; Boev, Yordan; Qureshi, Mubashir Secure computation of the \(k^{\text{th}}\)-ranked element in a star network. (English) Zbl 07307726 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 386-403 (2020). MSC: 94A60 91B64 91G20 68P25 91B26 PDF BibTeX XML Cite \textit{A. Tueno} et al., Lect. Notes Comput. Sci. 12059, 386--403 (2020; Zbl 07307726) Full Text: DOI
Ohata, Satsuya; Nuida, Koji Communication-efficient (client-aided) secure two-party protocols and its application. (English) Zbl 07307725 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 369-385 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{S. Ohata} and \textit{K. Nuida}, Lect. Notes Comput. Sci. 12059, 369--385 (2020; Zbl 07307725) Full Text: DOI
Avarikioti, Zeta; Thyfronitis Litos, Orfeas Stefanos; Wattenhofer, Roger Cerberus channels: incentivizing watchtowers for Bitcoin. (English) Zbl 07307724 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 346-366 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{Z. Avarikioti} et al., Lect. Notes Comput. Sci. 12059, 346--366 (2020; Zbl 07307724) Full Text: DOI
Moreno-Sanchez, Pedro; Blue, Arthur; Le, Duc V.; Noether, Sarang; Goodell, Brandon; Kate, Aniket DLSAG: non-interactive refund transactions for interoperable payment channels in Monero. (English) Zbl 07307723 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 325-345 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{P. Moreno-Sanchez} et al., Lect. Notes Comput. Sci. 12059, 325--345 (2020; Zbl 07307723) Full Text: DOI
Bagaria, Vivek; Neu, Joachim; Tse, David Boomerang: redundancy improves latency and throughput in payment-channel networks. (English) Zbl 07307722 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 304-324 (2020). MSC: 94A60 94A62 91B64 91G20 PDF BibTeX XML Cite \textit{V. Bagaria} et al., Lect. Notes Comput. Sci. 12059, 304--324 (2020; Zbl 07307722) Full Text: DOI
Ersoy, Oğuzhan; Roos, Stefanie; Erkin, Zekeriya How to profit from payments channels. (English) Zbl 07307721 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 284-303 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{O. Ersoy} et al., Lect. Notes Comput. Sci. 12059, 284--303 (2020; Zbl 07307721) Full Text: DOI
Avarikioti, Zeta; Heimbach, Lioba; Wang, Yuyi; Wattenhofer, Roger Ride the lightning: the game theory of payment channels. (English) Zbl 07307720 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 264-283 (2020). MSC: 94A60 91B64 91G20 91A10 PDF BibTeX XML Cite \textit{Z. Avarikioti} et al., Lect. Notes Comput. Sci. 12059, 264--283 (2020; Zbl 07307720) Full Text: DOI
Pérez-Solà, Cristina; Ranchal-Pedrosa, Alejandro; Herrera-Joancomartí, Jordi; Navarro-Arribas, Guillermo; Garcia-Alfaro, Joaquin LockDown: balance availability attack against lightning network channels. (English) Zbl 07307719 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 245-263 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{C. Pérez-Solà} et al., Lect. Notes Comput. Sci. 12059, 245--263 (2020; Zbl 07307719) Full Text: DOI
Almashaqbeh, Ghada; Bishop, Allison; Cappos, Justin MicroCash: practical concurrent processing of micropayments. (English) Zbl 07307718 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 227-244 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{G. Almashaqbeh} et al., Lect. Notes Comput. Sci. 12059, 227--244 (2020; Zbl 07307718) Full Text: DOI
Gudgeon, Lewis; Moreno-Sanchez, Pedro; Roos, Stefanie; McCorry, Patrick; Gervais, Arthur SoK: layer-two blockchain protocols. (English) Zbl 07307717 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 201-226 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{L. Gudgeon} et al., Lect. Notes Comput. Sci. 12059, 201--226 (2020; Zbl 07307717) Full Text: DOI
Moin, Amani; Sekniqi, Kevin; Sirer, Emin Gün SoK: a classification framework for stablecoin designs. (English) Zbl 07307716 Bonneau, Joseph (ed.) et al., Financial cryptography and data security. 24th international conference, FC 2020 , Kota Kinabalu, Malaysia, February 10–14, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-51279-8/pbk; 978-3-030-51280-4/ebook). Lecture Notes in Computer Science 12059, 174-197 (2020). MSC: 94A60 91B64 91G20 PDF BibTeX XML Cite \textit{A. Moin} et al., Lect. Notes Comput. Sci. 12059, 174--197 (2020; Zbl 07307716) Full Text: DOI
Qiu, Shi American strangle options. (English) Zbl 07307494 Appl. Math. Finance 27, No. 3, 228-263 (2020). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{S. Qiu}, Appl. Math. Finance 27, No. 3, 228--263 (2020; Zbl 07307494) Full Text: DOI
Sabino, Piergiacomo Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. (English) Zbl 07307493 Appl. Math. Finance 27, No. 3, 207-227 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{P. Sabino}, Appl. Math. Finance 27, No. 3, 207--227 (2020; Zbl 07307493) Full Text: DOI
Madan, Dilip B.; Wang, King Additive processes with bilateral gamma marginals. (English) Zbl 07307491 Appl. Math. Finance 27, No. 3, 171-188 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Appl. Math. Finance 27, No. 3, 171--188 (2020; Zbl 07307491) Full Text: DOI