Bérczi, Kristóf; Kakimura, Naonori; Kobayashi, Yusuke Market pricing for matroid rank valuations. (English) Zbl 1478.91080 SIAM J. Discrete Math. 35, No. 4, 2662-2678 (2021). MSC: 91B15 91B24 91B52 PDF BibTeX XML Cite \textit{K. Bérczi} et al., SIAM J. Discrete Math. 35, No. 4, 2662--2678 (2021; Zbl 1478.91080) Full Text: DOI arXiv 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
Li, Peng; Lu, Xiaoping; Zhu, Song-Ping Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation. (English) Zbl 1447.91177 Comput. Math. Appl. 79, No. 12, 3394-3409 (2020). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{P. Li} et al., Comput. Math. Appl. 79, No. 12, 3394--3409 (2020; Zbl 1447.91177) Full Text: DOI OpenURL
Markakis, Evangelos; Telelis, Orestis Item bidding for combinatorial public projects. (English) Zbl 1371.91071 Theor. Comput. Sci. 678, 40-55 (2017). MSC: 91B26 PDF BibTeX XML Cite \textit{E. Markakis} and \textit{O. Telelis}, Theor. Comput. Sci. 678, 40--55 (2017; Zbl 1371.91071) Full Text: DOI 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
Zhu, Dan The pricing for the catastrophe option and chooser option under stock price fluctuation. (Chinese. English summary) Zbl 1374.91132 J. Nat. Sci. Hunan Norm. Univ. 39, No. 5, 83-88 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{D. Zhu}, J. Nat. Sci. Hunan Norm. Univ. 39, No. 5, 83--88 (2016; Zbl 1374.91132) Full Text: DOI OpenURL
Wen, Ya; Kiesel, Rüdiger 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 PDF BibTeX XML Cite \textit{Y. Wen} and \textit{R. Kiesel}, Springer Proc. Math. Stat. 138, 341--360 (2016; Zbl 1335.91089) Full Text: DOI 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
Markakis, Evangelos; Telelis, Orestis Uniform price auctions: equilibria and efficiency. (English) Zbl 1327.91036 Theory Comput. Syst. 57, No. 3, 549-575 (2015). MSC: 91B26 91A80 PDF BibTeX XML Cite \textit{E. Markakis} and \textit{O. Telelis}, Theory Comput. Syst. 57, No. 3, 549--575 (2015; Zbl 1327.91036) 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
Talponen, Jarno; Viitasaari, Lauri Note on multidimensional Breeden-Litzenberger representation for state price densities. (English) Zbl 1287.91147 Math. Financ. Econ. 8, No. 2, 153-157 (2014). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Talponen} and \textit{L. Viitasaari}, Math. Financ. Econ. 8, No. 2, 153--157 (2014; Zbl 1287.91147) Full Text: DOI arXiv OpenURL
Fontana, Claudio; Runggaldier, Wolfgang J. Diffusion-based models for financial markets without martingale measures. (English) Zbl 1306.91125 Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 45-81 (2013). MSC: 91G10 60G44 60J70 60H30 PDF BibTeX XML Cite \textit{C. Fontana} and \textit{W. J. Runggaldier}, in: Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer. 45--81 (2013; Zbl 1306.91125) Full Text: DOI arXiv OpenURL
Carmona, René; Coulon, Michael; Schwarz, Daniel Electricity price modeling and asset valuation: a multi-fuel structural approach. (English) Zbl 1269.91037 Math. Financ. Econ. 7, No. 2, 167-202 (2013). MSC: 91B24 91B25 91B84 91B54 PDF BibTeX XML Cite \textit{R. Carmona} et al., Math. Financ. Econ. 7, No. 2, 167--202 (2013; Zbl 1269.91037) Full Text: DOI arXiv Link OpenURL
Madan, Dilip B. A two price theory of financial equilibrium with risk management implications. (English) Zbl 1298.91205 Ann. Finance 8, No. 4, 489-505 (2012). MSC: 91G99 91B24 91B52 PDF BibTeX XML Cite \textit{D. B. Madan}, Ann. Finance 8, No. 4, 489--505 (2012; Zbl 1298.91205) 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
Felix, Bastian Joachim; Weber, Christoph Gas storage valuation applying numerically constructed recombining trees. (English) Zbl 1237.91100 Eur. J. Oper. Res. 216, No. 1, 178-187 (2012). MSC: 91B24 91G50 90C90 PDF BibTeX XML Cite \textit{B. J. Felix} and \textit{C. Weber}, Eur. J. Oper. Res. 216, No. 1, 178--187 (2012; Zbl 1237.91100) 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
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
Li, Juan; Gu, Yan Ling Valuation of futures options with initial margin requirements and daily price limit. (English) Zbl 1200.91291 Acta Math. Sin., Engl. Ser. 26, No. 3, 579-586 (2010). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60H10 PDF BibTeX XML Cite \textit{J. Li} and \textit{Y. L. Gu}, Acta Math. Sin., Engl. Ser. 26, No. 3, 579--586 (2010; Zbl 1200.91291) Full Text: DOI OpenURL
Jennergren, L. Peter Continuing value in firm valuation by the discounted cash flow model. (English) Zbl 1163.91451 Eur. J. Oper. Res. 185, No. 3, 1548-1563 (2008). MSC: 91B38 91B24 91B84 PDF BibTeX XML Cite \textit{L. P. Jennergren}, Eur. J. Oper. Res. 185, No. 3, 1548--1563 (2008; Zbl 1163.91451) Full Text: DOI OpenURL
Nielsen, Lars Tyge Dividends in the theory of derivative securities pricing. (English) Zbl 1127.91031 Econ. Theory 31, No. 3, 447-471 (2007). Reviewer: Qin Lu (Easton) MSC: 91B28 60H05 60H30 91B24 PDF BibTeX XML Cite \textit{L. T. Nielsen}, Econ. Theory 31, No. 3, 447--471 (2007; Zbl 1127.91031) Full Text: DOI OpenURL
Fischer, Tom A law of large numbers approach to valuation in life insurance. (English) Zbl 1273.91188 Insur. Math. Econ. 40, No. 1, 35-57 (2007). MSC: 91B24 91B30 91G10 PDF BibTeX XML Cite \textit{T. Fischer}, Insur. Math. Econ. 40, No. 1, 35--57 (2007; Zbl 1273.91188) Full Text: DOI OpenURL
Schrager, David F. Affine stochastic mortality. (English) Zbl 1103.60063 Insur. Math. Econ. 38, No. 1, 81-97 (2006). Reviewer: Alexandr B. Vasil’ev (Odessa) MSC: 60H30 60H10 91G20 PDF BibTeX XML Cite \textit{D. F. Schrager}, Insur. Math. Econ. 38, No. 1, 81--97 (2006; Zbl 1103.60063) Full Text: DOI Link OpenURL
Florescu, Ionuţ; Viens, Frederi A binomial tree approach to stochastic volatility driven model of the stock price. (English) Zbl 1150.91338 An. Univ. Craiova, Ser. Mat. Inf. 32, 126-142 (2005). Reviewer: Krzysztof Piasecki (Poznan) MSC: 91B24 60G35 65C05 PDF BibTeX XML Cite \textit{I. Florescu} and \textit{F. Viens}, An. Univ. Craiova, Ser. Mat. Inf. 32, 126--142 (2005; Zbl 1150.91338) OpenURL
Bergenthum, Jan Comparison of semimartingales and Lévy processes with applications to financial mathematics. (English) Zbl 1116.60007 Freiburg i. Br.: Universität Freiburg, Fakultät für Mathematik und Physik. iii, 118 p. (2005). Reviewer: Ludger Rüschendorf (Freiburg i. Br.) MSC: 60E15 60G48 60G51 91B28 60J75 PDF BibTeX XML Cite \textit{J. Bergenthum}, Comparison of semimartingales and Lévy processes with applications to financial mathematics. Freiburg i. Br.: Universität Freiburg, Fakultät für Mathematik und Physik (2005; Zbl 1116.60007) Full Text: Link OpenURL
Banzhaf, H. Spencer Green price indices. (English) Zbl 1112.91351 J. Environ. Econ. Manage. 49, No. 2, 262-280 (2005). MSC: 91B82 91B76 91B18 PDF BibTeX XML Cite \textit{H. S. Banzhaf}, J. Environ. Econ. Manage. 49, No. 2, 262--280 (2005; Zbl 1112.91351) Full Text: DOI OpenURL
Yoshida, Yuji A discrete-time model of American put option in an uncertain environment. (English) Zbl 1112.91328 Eur. J. Oper. Res. 151, No. 1, 153-166 (2003). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{Y. Yoshida}, Eur. J. Oper. Res. 151, No. 1, 153--166 (2003; Zbl 1112.91328) Full Text: DOI OpenURL
Yoshida, Yuji The valuation of European options in uncertain environment. (English) Zbl 1011.91045 Eur. J. Oper. Res. 145, No. 1, 221-229 (2003). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Yoshida}, Eur. J. Oper. Res. 145, No. 1, 221--229 (2003; Zbl 1011.91045) Full Text: DOI OpenURL
Chung, Hay Y.; Kim, Jeong-Bon Multi-period lead relations between price-to-book ratios and accounting rates-of-returns: Korean evidence. (English) Zbl 1072.91557 Asia-Pac. Financ. Mark. 9, No. 1, 61-82 (2002). MSC: 91B24 91B28 PDF BibTeX XML Cite \textit{H. Y. Chung} and \textit{J.-B. Kim}, Asia-Pac. Financ. Mark. 9, No. 1, 61--82 (2002; Zbl 1072.91557) Full Text: DOI OpenURL
Los, Cornelis A. Computational finance. A scientific perspective. (English) Zbl 0960.91002 Singapore: World Scientific. 336 p. (2001). Reviewer: Martin Schweizer (Berlin) MSC: 91-02 91B28 91-08 62-07 91B30 91B24 91B16 97C50 97D20 PDF BibTeX XML Cite \textit{C. A. Los}, Computational finance. A scientific perspective. Singapore: World Scientific (2001; Zbl 0960.91002) OpenURL
Mao, Erwan; Song, Fengming Approximate arbitrage, measure of equilibrium price and valuation of one-period financial markets with countable infinite states. (Chinese. English summary) Zbl 1038.91530 J. Qufu Norm. Univ., Nat. Sci. 26, No. 4, 1-4 (2000). MSC: 91B28 91B50 PDF BibTeX XML Cite \textit{E. Mao} and \textit{F. Song}, J. Qufu Norm. Univ., Nat. Sci. 26, No. 4, 1--4 (2000; Zbl 1038.91530) OpenURL
Bellamy, N.; Jeanblanc, M. Incompleteness of markets driven by a mixed diffusion. (English) Zbl 0951.91028 Finance Stoch. 4, No. 2, 209-222 (2000). Reviewer: A.V.Swishchuk (Kyïv) MSC: 91B28 60J75 62P05 91B24 60J60 PDF BibTeX XML Cite \textit{N. Bellamy} and \textit{M. Jeanblanc}, Finance Stoch. 4, No. 2, 209--222 (2000; Zbl 0951.91028) Full Text: DOI OpenURL
Fournié, E.; Lasry, J. M.; Touzi, N. Monte Carlo methods for stochastic volatility models. (English) Zbl 0898.90034 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 146-164 (1997). MSC: 91B24 91B28 PDF BibTeX XML Cite \textit{E. Fournié} et al., in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 146--164 (1997; Zbl 0898.90034) OpenURL
Nielsen, Soren S. Importance sampling in lattice pricing models. (English) Zbl 0881.90015 Barr, Richard S. (ed.) et al., Interfaces in computer science and operations research. Advances in metaheuristics, optimization, and stochastic modeling technologies. 5th INFORMS computer science technical section conference in Dallas, TX, USA, January 8-10, 1996. Dordrecht: Kluwer Academic Publishers. Oper. Res./Comput. Sci. Interfaces Ser. 7, 281-296 (1997). MSC: 91B28 91B24 65C99 90C90 PDF BibTeX XML Cite \textit{S. S. Nielsen}, in: Interfaces in computer science and operations research. Advances in metaheuristics, optimization, and stochastic modeling technologies. 5th INFORMS computer science technical section conference in Dallas, TX, USA, January 8-10, 1996. Dordrecht: Kluwer Academic Publishers. 281--296 (1997; Zbl 0881.90015) OpenURL
Dewynne, J. N.; Wilmott, P. A note on American options with varying exercise price. (English) Zbl 0843.90014 J. Aust. Math. Soc., Ser. B 37, No. 1, 45-57 (1995). MSC: 91B24 91B62 60H10 PDF BibTeX XML Cite \textit{J. N. Dewynne} and \textit{P. Wilmott}, J. Aust. Math. Soc., Ser. B 37, No. 1, 45--57 (1995; Zbl 0843.90014) Full Text: DOI OpenURL
Eberlein, Ernst; Keller, Ulrich Hyperbolic distributions in finance. (English) Zbl 0836.62107 Bernoulli 1, No. 3, 281-299 (1995). MSC: 62P20 91B28 60J65 PDF BibTeX XML Cite \textit{E. Eberlein} and \textit{U. Keller}, Bernoulli 1, No. 3, 281--299 (1995; Zbl 0836.62107) Full Text: DOI OpenURL
Ekvall, Niklas Experiences in the pricing of trivariate contingent claims with finite difference methods on a massively parallel computer. (English) Zbl 0814.90005 Comput. Econ. 7, No. 2, 63-72 (1994). MSC: 91B24 65Y05 PDF BibTeX XML Cite \textit{N. Ekvall}, Comput. Econ. 7, No. 2, 63--72 (1994; Zbl 0814.90005) Full Text: DOI OpenURL
Sethi, S. P.; Derzko, N. A.; Lehoczky, J. P. A stochastic extension of the Miller-Modigliani framework. (English) Zbl 0900.90106 Math. Finance 1, No. 4, 57-76 (1991); erratum ibid. 6, No. 4, 407-408 (1998). MSC: 91B24 91B28 PDF BibTeX XML Cite \textit{S. P. Sethi} et al., Math. Finance 1, No. 4, 57--76 (1991; Zbl 0900.90106) Full Text: DOI OpenURL
Dermody, Jaime Cuevas; Rockafellar, R. Tyrrell Cash stream valuation in the face of transaction costs and taxes. (English) Zbl 0900.90110 Math. Finance 1, No. 1, 31-54 (1991). MSC: 91B24 91B64 PDF BibTeX XML Cite \textit{J. C. Dermody} and \textit{R. T. Rockafellar}, Math. Finance 1, No. 1, 31--54 (1991; Zbl 0900.90110) Full Text: DOI OpenURL
Sethi, S. P.; Derzko, N. A.; Lehoczky, J. General solution of the stochastic price-dividend integral equation: A theory of financial valuation. (English) Zbl 0575.90008 SIAM J. Math. Anal. 15, 1100-1113 (1984). Reviewer: S.Berninghaus MSC: 91B28 91B24 PDF BibTeX XML Cite \textit{S. P. Sethi} et al., SIAM J. Math. Anal. 15, 1100--1113 (1984; Zbl 0575.90008) Full Text: DOI OpenURL