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Consumption optimization for recursive utility in a jump-diffusion model

Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310

Persistent link: https://www.econbiz.de/10011642633

Regime classification and stock loan valuation

Cai, Ning; Zhang, Wei - In: Operations research 68 (2020) 4, pp. 965-983

Persistent link: https://www.econbiz.de/10012288340

A primal-dual lifting scheme for two-stage robust optimization

Georghiou, Angelos; Tsoukalas, Angelos; Wiesemann, Wolfram - In: Operations research 68 (2020) 2, pp. 572-590

Persistent link: https://www.econbiz.de/10012213388

Prediction of stock price movement using continuous time models

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191

Persistent link: https://www.econbiz.de/10011398992

Stochastic market modeling with Gaussian Quadratures : do rotations of Stroud's octahedron matter?

Artavia, Marco; Grethe, Harald; Zimmermann, Georg - In: Economic modelling 45 (2015), pp. 155-168

Persistent link: https://www.econbiz.de/10011334132

A low-bias simulation scheme for the Sabr Stochastic Volatility model

Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10009624504

Stochastic household forecasts by coherent random shares predictions

Keilman, Nico; Duin, Coen van - 2014 - This version 14 April 2014

We compute a stochastic household forecast for the Netherlands by the random share method. Time series of shares of persons in nine household positions, broken down by sex and five-year age group for the years 1996-2010 are modelled by means of the Hyndman-Booth-Yasmeen product-ratio variant of...

Persistent link: https://www.econbiz.de/10010354141

Mean-variance portfolio selection in presence of infrequently traded stocks

Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449

Persistent link: https://www.econbiz.de/10010356733

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614