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A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
Alia, Ishak; Chighoub, Farid; Sohail, Ayesha - In: Insurance / Mathematics & economics 68 (2016), pp. 212-223
Persistent link: https://www.econbiz.de/10011493837
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10011544985
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Optimal investment under relative performance concerns
Espinosa, Gilles.Eduard; Touzi, Nizar - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 221-257
Persistent link: https://www.econbiz.de/10011350661
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An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space
Yoshikawa, Kazuhiro - In: Asia-Pacific financial markets 22 (2015) 2, pp. 185-207
Persistent link: https://www.econbiz.de/10011377529
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Solution of stochastic non-homogeneous linear first-order difference equations
Kadry, Seifedine; El Hami, Abdelkhalak - In: Journal of mathematical finance 4 (2014) 4, pp. 245-248
Persistent link: https://www.econbiz.de/10011312422
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Probabilistic forecasts of wind power generation by stochastic differential equation models
Kloppenborg Møller, Jan; Zugno, Marco; Madsen, Henrik - In: Journal of forecasting 35 (2016) 3, pp. 189-205
Persistent link: https://www.econbiz.de/10011580264
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Exponential utility maximization for an insurer with time-inconsistent preferences
Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104
Persistent link: https://www.econbiz.de/10011597189
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Short-term probabilistic forecasting of wind speed using stochastic differential equations
Iversen, Emil B.; Morales, Juan M.; Møller, Jan K.; … - In: International journal of forecasting 32 (2016) 3, pp. 981-990
Persistent link: https://www.econbiz.de/10011621968
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A target zone model where the fundamentals follow a geometric Brownian motion
Cupidon, Jean René; Hyppolite, Judex - In: Journal of mathematical finance 6 (2016) 5, pp. 866-886
Persistent link: https://www.econbiz.de/10011657698