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~person:"Guo, Junyi"
~person:"Li, Danping"
~person:"Liu, Yong-Jun"
~person:"Mataramvura, Sure"
~person:"Sun, Zhongyang"
~subject:"Mixed fractional Brownian motion"
~subject:"Option pricing theory"
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Search: subject:"stochastic differential equation"
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Mixed fractional Brownian motion
Option pricing theory
Optionspreistheorie
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Stochastic process
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5
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3
Mathematical analysis
3
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3
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Backward stochastic differential equation
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Stochastic Differential Equation
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affine diffusion
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backward stochastic differential equation
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efficient strategy and efficient frontier
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Guo, Junyi
Li, Danping
Liu, Yong-Jun
Mataramvura, Sure
Sun, Zhongyang
Hess, Markus
7
Giribone, Pier Giuseppe
4
Bottasso, Anna
3
Fusaro, Michelangelo
3
Kohlmann, Michael
3
Tissone, Alessio
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2
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2
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2
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2
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2
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1
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1
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1
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Computational economics
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Mathematical methods of operations research
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Scandinavian actuarial journal
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Pricing European option under fuzzy mixed fractional Brownian motion model with jumps
Zhang, Wei-guo
;
Li, Zhe
;
Liu, Yong-Jun
;
Zhang, Yue
- In:
Computational economics
58
(
2021
)
2
,
pp. 483-515
Persistent link: https://www.econbiz.de/10012615049
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2
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
Saved in:
3
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
4
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Saved in:
5
Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah
;
Ackora-Prah, Joseph
; …
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 633-656
Persistent link: https://www.econbiz.de/10011752419
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