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Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning; Zhang, Yumo - In: Insurance / Mathematics & economics 113 (2023), pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
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Modelling the industrial production of electric and gas utilities through the CIR3 model
Ceci, Claudia; Bufalo, Michele; Orlando, Giuseppe - In: Mathematics and financial economics 18 (2024) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10015045564
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Stochastische Integration : eine Einführung in die Finanzmathematik
Hoffmann, Michael - 2016 - 1. Auflage
Persistent link: https://www.econbiz.de/10011478507
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Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
Atar, Rami; Budhiraja, Amarjit; Ramanan, Kavita - In: Probability theory and related fields 142 (2008) 1/2, pp. 249-283
Persistent link: https://www.econbiz.de/10003730928
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Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael - In: Handbook of financial time series, (pp. 531-553). 2009
Persistent link: https://www.econbiz.de/10003834179
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009
Persistent link: https://www.econbiz.de/10008662364
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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Second-order stochastic differential equation model as an alternative for the ALT and CALT models
Oud, J. H. L. - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 2, pp. 203-215
Persistent link: https://www.econbiz.de/10003980453
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Distributional deviations in random number generation in finance
Chavez, Sergio; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857127