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This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities (VIs), with a focus on applications in management science and finance. It aims to bridge the gap between the abstract mathematical treatments of the subject and simplistic,...

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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection

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On the inverse problem of Dupire's education with nonlocal boundary and integral conditions

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Modellunsicherheit, verbesserte Fréchet-Hoeffding Schranken und Anwendungen in der Finanzmathematik

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On singular control for Lévy processes

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A review of new developments in finance with deep learning : deep hedging and deep calibration

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Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

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Modular pricing of options : an application of Fourier analysis

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Stochastic processes : from physics to finance

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