Search Results - subject:"Volterra integral equation"

Herdegen, Martin; Kreher, Dörte - In: Finance and stochastics 26 (2022) 4, pp. 899-925

Persistent link: https://www.econbiz.de/10013440256

Surrender and path-dependent guarantees in variable annuities : integral equation solutions and benchmark methods

Martire, Antonio L.; Russo, Emilio; Staino, Alessandro - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 177-220

Persistent link: https://www.econbiz.de/10014321412

Nonparametric analysis of a duration model with stochastic unobserved heterogeneity

Botosaru, Irene - In: Journal of econometrics 217 (2020) 1, pp. 112-139

Persistent link: https://www.econbiz.de/10012482741

A long-time asymptotic solution to the g-renewal equation for underlying distributions with nondecreasing hazard functions

Maximov, Serguei; Cortes-Penagos, Consuelo de J. - In: Mathematical methods of operations research : ZOR 92 (2020) 2, pp. 311-341

Persistent link: https://www.econbiz.de/10012395572

Old problems, classical methods, new solutions

Lipton, Alexander - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10012284595

On the first hitting time density for a reducible diffusion process

Lipton, Alexander; Kaushansky, Vadim - In: Quantitative finance 20 (2020) 5, pp. 723-743

Persistent link: https://www.econbiz.de/10012262616

A comparison principle between rough and non-rough Heston models - with applications to the volatility surface

Keller-Ressel, M.; Majid, Assad - In: Quantitative finance 20 (2020) 6, pp. 919-933

Persistent link: https://www.econbiz.de/10012262636

Moment explosions in the rough Heston model

Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 575-608

Persistent link: https://www.econbiz.de/10012127280

Neumann series on the recursive moments of copula-dependent aggregate discounted claims

Ramli, Siti Norafidah Mohd; Jang, Jiwook - In: Risks 2 (2014) 2, pp. 195-210

Garrido (Scand. Actuar. J. 2001, 2, 98-110), which takes the form of the Volterra integral equation (VIE), we used the method …

Persistent link: https://www.econbiz.de/10010421264

Neumann Series on the Recursive Moments of Copula-Dependent Aggregate Discounted Claims

Ramli, Siti Norafidah Mohd; Jang, Jiwook - In: Risks 2 (2014) 2, pp. 195-210

Léveillé and Garrido (Scand. Actuar. J. <strong>2001</strong>, 2, 98–110), which takes the form of the Volterra integral … equation (VIE), we used the method of successive approximation to derive the Neumann series of the recursive moments. We then …

Persistent link: https://www.econbiz.de/10011030564

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