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Optimal execution of a VWAP order : a stochastic control approach

Frei, Christoph; Westray, Nicholas - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 612-639

Persistent link: https://www.econbiz.de/10011350559

Sensitivity analysis for averaged asset price dynamics with gamma processes

Kawai, Reiichiro; Takeuchi, Atsushi - 2010

The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform...

Persistent link: https://www.econbiz.de/10009474943

Modeling mortality and pricing life annuities with Lévy processes

Ahmadi, Seyed Saeed; Gaillardetz, Patrice - In: Insurance / Mathematics & economics 64 (2015), pp. 337-350

Persistent link: https://www.econbiz.de/10011398092

Liquidity management of foreign exchange reserves in continuous time

Zhang, Dewei; Wang, Yiqi; Wang, Jingjing; Xu, Weidong - In: Economic modelling 31 (2013), pp. 138-142

Persistent link: https://www.econbiz.de/10009725686

On-line change detection and condition-based maintenance for systems with unknown deterioration parameters

Fouladirad, Mitra; Grall, Antoine - In: IMA journal of management mathematics 25 (2014) 2, pp. 139-158

Persistent link: https://www.econbiz.de/10010347407

How heterogeneity influences condition-based maintenance for gamma degradation process

Zhang, Linmiao; Lei, Yong; Houcai Shen - In: International journal of production research 54 (2016) 19/20, pp. 5829-5841

Persistent link: https://www.econbiz.de/10011543442

A structural approach to default modelling with pure jump processes

Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78

Persistent link: https://www.econbiz.de/10012625981

Condition-based maintenance for a system subject to multiple degradation processes with stochastic arrival intensity

Bautista, Lucía; Castro, Inma T.; Landesa, Luis - In: European journal of operational research : EJOR 302 (2022) 2, pp. 560-574

Persistent link: https://www.econbiz.de/10013270123

Condition-based inspection policies for boiler heat exchangers

Truong-Ba, Huy; Cholette, Michael E.; Borghesani, Pietro; … - In: European journal of operational research : EJOR 291 (2021) 1, pp. 232-243

Persistent link: https://www.econbiz.de/10012495295

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10012500958