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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Arai, Takuji; Imai, Yuto - In: Applied mathematical finance 25 (2018) 3/4, pp. 247-267
Persistent link: https://www.econbiz.de/10012128947
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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Modeling international trade data with the Tweedie distribution for anti-fraud and policy support
Barabesi, Lucio; Cerasa, Andrea; Perrotta, Domenico; … - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1031-1043
Persistent link: https://www.econbiz.de/10011412508
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Modelling distributed decision-making in Command and Control using stochastic network synchronisation
Kalloniatis, Alexander C.; McLennan-Smith, Timothy A.; … - In: European journal of operational research : EJOR 284 (2020) 2, pp. 588-603
Persistent link: https://www.econbiz.de/10012238763
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A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization
Mba, Jules Clement; Mwambi, Sutene - In: Financial markets and portfolio management 34 (2020) 2, pp. 199-214
Persistent link: https://www.econbiz.de/10012289624
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Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
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Optimality of multi-refraction control strategies in the dual model
Czarna, Irmina; Pérez, José-Luis; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 83 (2018), pp. 148-160
Persistent link: https://www.econbiz.de/10011944122
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Linking dividends and capital injections : a probabilistic approach
Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Scandinavian actuarial journal (2018) 1, pp. 76-83
Persistent link: https://www.econbiz.de/10011880818
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Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
Baños, David; Bølviken, Erik; Duedahl, Sindre; … - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 44-83
Persistent link: https://www.econbiz.de/10012195019
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A note on the optimal dividends paid in a foreign currency
Eisenberg, Julia; Krühner, Paul - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 1, pp. 67-73
Persistent link: https://www.econbiz.de/10011730243