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A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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A Stackelberg reinsurance-investment game underα-maxminmean-variance criterion and stochastic volatility
Guana, Guohui; Liang, Zongxia; Song, Yilun - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 28-63
Persistent link: https://www.econbiz.de/10014519918
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778099
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021
Persistent link: https://www.econbiz.de/10013347384
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
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Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
Zhang, Yumo - 2022
This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of stochastic inflation and stochastic volatility. The objective of the two managers is to maximize the expected utility of their relative terminal...
Persistent link: https://www.econbiz.de/10014237372
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Potential games in volatile environments
Staudigl, Mathias - In: Games and economic behavior 72 (2011) 1, pp. 271-287
Persistent link: https://www.econbiz.de/10009243211
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Institutional dynamics under revenue volatility and revenue-dependent lobbying power : a stochastic differential game approach
Boucekkine, Raouf; Prieur, Fabien; Zou, Benteng - 2015
Persistent link: https://www.econbiz.de/10011411226
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467