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Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina - In: Journal of mathematical finance 8 (2018) 2, pp. 283-301
Persistent link: https://www.econbiz.de/10011874735
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Dynamic hedging in illiquid financial markets
Voß, Moritz - 2017
Persistent link: https://www.econbiz.de/10012194375
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Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin; Shevchenko, Pavel V. - In: International journal of financial engineering 2 (2015) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011403137
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Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 57 (2014), pp. 1-12
Persistent link: https://www.econbiz.de/10010402753
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Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
Meskarian, Rudabeh; Xu, Huifu; Fliege, Jörg - In: European journal of operational research : EJOR 216 (2012) 2, pp. 376-385
Persistent link: https://www.econbiz.de/10009387417
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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
Chavanasporn, Walailuck - 2010
We introduce a numerical method to solve stochastic optimal control problems, which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order to solve the resulting dynamic programming equation. We then show how to effectively...
Persistent link: https://www.econbiz.de/10013140127
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A numerical method for solving stochastic optimal control problems with linear control
Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-446
Persistent link: https://www.econbiz.de/10009540913
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A non-stationary model of dividend distribution in a stochastic interest-rate setting
Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10011712413
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497