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Found 607 Documents (Results 1–100)

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Polynomial semimartingales and a deep learning approach to local stochastic volatility calibration. (English) Zbl 1423.60002

Freiburg im Breisgau: Univ. Freiburg, Fakultät für Mathematik und Physik (Diss.). viii, 175 p. (2019).
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Explicit description of HARA forward utilities and their optimal portfolios. (English. Russian original) Zbl 1358.91090

Theory Probab. Appl. 61, No. 1, 57-93 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 69-113 (2016).
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A unified view of Libor models. (English) Zbl 1367.91182

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 423-452 (2016).
MSC:  91G30 60G44 60H30
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Financial markets in the context of the general theory of optional processes. (English) Zbl 1414.91359

Bélair, Jacques (ed.) et al., Mathematical and computational approaches in advancing modern science and engineering. Based on the international conference on applied mathematics, modeling and computational science, AMMCS, jointly held with the annual meeting of the Canadian applied and industrial mathematics, CAIMS, June 7–15, 2015. Cham: Springer. 519-528 (2016).
MSC:  91G20 60G44
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Stochastic calculus and applications. 2nd revised and expanded edition. (English) Zbl 1338.60001

Probability and Its Applications. New York, NY: Birkhäuser/Springer (ISBN 978-1-4939-2866-8/hbk; 978-1-4939-2867-5/ebook). xxiii, 666 p. (2015).
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On equations with a fuzzy stochastic integral with respect to semimartingales. (English) Zbl 1338.60165

Kruse, Rudolf (ed.) et al., Synergies of soft computing and statistics for intelligent data analysis. Papers based on the presentations at the 6th international conference on soft methods and probability and statistics, SMPS, Konstanz, Germany, October 4–6, 2012. Berlin: Springer (ISBN 978-3-642-33041-4/pbk; 978-3-642-33042-1/ebook). Advances in Intelligent Systems and Computing 190, 93-101 (2013).
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