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Found 280 Documents (Results 1–100)

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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
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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).
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Option pricing and sensitivity analysis in the Lévy forward process model. (English) Zbl 1398.91670

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, 285-313 (2016).
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Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs. (English) Zbl 1398.91636

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, 3-35 (2016).
MSC:  91G40 60H10 91G20
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Pricing options on EU ETS certificates with a time-varying market price of risk model. (English) Zbl 1335.91089

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, 341-360 (2016).
MSC:  91G20 91B76
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Finance, economics, and mathematics. With a foreword by Robert C. Merton. (English) Zbl 1403.91008

Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-12220-3/hbk; 1-119-18622-6/ebook). xii, 354 p. (2016).
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