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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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Pricing and hedging of variable annuities with state-dependent fees
Delong, Łukasz - In: Insurance / Mathematics & economics 58 (2014), pp. 24-33
Persistent link: https://www.econbiz.de/10010437640
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The existence and uniqueness of fuzzy solutions for hyperbolic partial differential equations
Long, Hoang Viet; Nguyen, Thi Kim Son; Nguyen, Thi My Ha; … - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 435-462
Persistent link: https://www.econbiz.de/10010438992
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Alternating direction implicit finite difference schaemes for the Heston-Hull-White partial differential equation
Haentjens, Tinne; Hout, Karel J. in 't - In: The journal of computational finance 16 (2012/13) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10009631861
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A probabilistic solution to high-dimensional continuous-time macro and finance models
Ji, Huang - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014331249
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014331906
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
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Pricing American option using a modified fractional black-scholes model under multi-state regime switching
Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21
Persistent link: https://www.econbiz.de/10014497295