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Found 625 Documents (Results 1–100)

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Khosrawi-Sardroudi, Wahid

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).
MSC:  60-02 60G48 60H30 68T05 91G80
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\textit{W. Khosrawi-Sardroudi}, Polynomial semimartingales and a deep learning approach to local stochastic volatility calibration. Freiburg im Breisgau: Univ. Freiburg, Fakultät für Mathematik und Physik (Diss.) (2019; Zbl 1423.60002)
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Choulli, T.; Ma, J.

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).
MSC:  91G10 91G99 91B16 60G44 60H30
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\textit{T. Choulli} and \textit{J. Ma}, Theory Probab. Appl. 61, No. 1, 57--93 (2017; Zbl 1358.91090); translation from Teor. Veroyatn. Primen. 61, No. 1, 69--113 (2016)
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Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis

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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\textit{K. Glau} et al., Springer Proc. Math. Stat. 189, 423--452 (2016; Zbl 1367.91182)
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Abdelghani, M. N.; Melnikov, A. V.

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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\textit{M. N. Abdelghani} and \textit{A. V. Melnikov}, in: 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; Zbl 1414.91359)
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Koroliuk, Volodymyr S.; Limnios, Nikolaos; Samoilenko, Igor V.

Lévy and Poisson approximations of switched stochastic systems by a semimartingale approach. (Approximations de Lévy et de Poisson des systèmes stochastiques modulés, via une approche basée sur les semi-martingales.) (English. Abridged French version) Zbl 1339.60028

C. R., Math., Acad. Sci. Paris 354, No. 7, 723-728 (2016).
MSC:  60F17 60F05 60G51 60G55 60J55 60J75 60G48 60G44
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\textit{V. S. Koroliuk} et al., C. R., Math., Acad. Sci. Paris 354, No. 7, 723--728 (2016; Zbl 1339.60028)
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Domínguez-Molina, J. Armando; Rocha-Arteaga, Alfonso

Stochastic integral and covariation representations for rectangular Lévy process ensembles. (English) Zbl 1498.60170

Mena, Ramsés H. (ed.) et al., XI symposium on probability and stochastic processes. CIMAT, Guanajuato, Mexico, November 18–22, 2013. Cham: Birkhäuser/Springer. Prog. Probab. 69, 119-139 (2015).
MSC:  60G51 60H05 60E07
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\textit{J. A. Domínguez-Molina} and \textit{A. Rocha-Arteaga}, Prog. Probab. 69, 119--139 (2015; Zbl 1498.60170)
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Cohen, Samuel N.; Elliott, Robert J.

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).
Reviewer: Jordan M. Stoyanov (Ljubljana)
MSC:  60-01 60H05 60H10 60G07 60G42 60G44 60G40 60G48 60G57 93E11 93E20
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\textit{S. N. Cohen} and \textit{R. J. Elliott}, Stochastic calculus and applications. 2nd revised and expanded edition. New York, NY: Birkhäuser/Springer (2015; Zbl 1338.60001)
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