Kharrat, Mohamed Pricing European and American options under fractional model. (English) Zbl 07551020 Palest. J. Math. 11, Spec. Iss. II, 63-73 (2022). MSC: 91Gxx 26A33 34A08 PDF BibTeX XML Cite \textit{M. Kharrat}, Palest. J. Math. 11, 63--73 (2022; Zbl 07551020) Full Text: Link OpenURL
Rizvi, Syed Kumail Abbas; Naqvi, Bushra; Mirza, Nawazish Is Green investment different from grey? Return and volatility spillovers between Green and grey energy ETFs. (English) Zbl 07550846 Ann. Oper. Res. 313, No. 1, 495-524 (2022). MSC: 62P20 91G10 60E15 62H30 62M10 PDF BibTeX XML Cite \textit{S. K. A. Rizvi} et al., Ann. Oper. Res. 313, No. 1, 495--524 (2022; Zbl 07550846) Full Text: DOI OpenURL
Wang, Lu; Ahmad, Ferhana; Luo, Gong-li; Umar, Muhammad; Kirikkaleli, Dervis Portfolio optimization of financial commodities with energy futures. (English) Zbl 07550843 Ann. Oper. Res. 313, No. 1, 401-439 (2022). MSC: 91G10 90C20 90C29 62P05 90B50 PDF BibTeX XML Cite \textit{L. Wang} et al., Ann. Oper. Res. 313, No. 1, 401--439 (2022; Zbl 07550843) Full Text: DOI OpenURL
Behl, Abhishek; Kumari, P. S. Raghu; Makhija, Harnesh; Sharma, Dipasha Exploring the relationship of ESG score and firm value using cross-lagged panel analyses: case of the Indian energy sector. (English) Zbl 07550837 Ann. Oper. Res. 313, No. 1, 231-256 (2022). MSC: 91G50 62P20 91B38 PDF BibTeX XML Cite \textit{A. Behl} et al., Ann. Oper. Res. 313, No. 1, 231--256 (2022; Zbl 07550837) Full Text: DOI OpenURL
Ameur, Hachmi Ben; Ftiti, Zied; Louhichi, Waël Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework. (English) Zbl 07550835 Ann. Oper. Res. 313, No. 1, 171-189 (2022). MSC: 62P05 62M10 91B82 91G10 60E15 PDF BibTeX XML Cite \textit{H. B. Ameur} et al., Ann. Oper. Res. 313, No. 1, 171--189 (2022; Zbl 07550835) Full Text: DOI OpenURL
Huynh, Toan Luu Duc; Shahbaz, Muhammad; Nasir, Muhammad Ali; Ullah, Subhan Financial modelling, risk management of energy instruments and the role of cryptocurrencies. (English) Zbl 07550831 Ann. Oper. Res. 313, No. 1, 47-75 (2022). MSC: 62P05 62P20 62M10 91G70 91G30 PDF BibTeX XML Cite \textit{T. L. D. Huynh} et al., Ann. Oper. Res. 313, No. 1, 47--75 (2022; Zbl 07550831) Full Text: DOI OpenURL
Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of brent crude oil. (English) Zbl 07550830 Ann. Oper. Res. 313, No. 1, 29-46 (2022). MSC: 35Q91 90B90 91G20 91G50 PDF BibTeX XML Cite \textit{J. Chen} et al., Ann. Oper. Res. 313, No. 1, 29--46 (2022; Zbl 07550830) Full Text: DOI OpenURL
Boubaker, Sabri; Liu, Zhenya; Zhan, Yaosong Risk management for crude oil futures: an optimal stopping-timing approach. (English) Zbl 07550829 Ann. Oper. Res. 313, No. 1, 9-27 (2022). MSC: 60G40 91G10 62P05 91B84 PDF BibTeX XML Cite \textit{S. Boubaker} et al., Ann. Oper. Res. 313, No. 1, 9--27 (2022; Zbl 07550829) Full Text: DOI OpenURL
Tamura, Yoshinobu; Yamada, Shigeru Maintenance effort management based on double jump diffusion model for OSS project. (English) Zbl 07550820 Ann. Oper. Res. 312, No. 1, 411-426 (2022). MSC: 68M15 68M11 91G20 60J60 60J75 PDF BibTeX XML Cite \textit{Y. Tamura} and \textit{S. Yamada}, Ann. Oper. Res. 312, No. 1, 411--426 (2022; Zbl 07550820) Full Text: DOI OpenURL
Cerqueti, Roy A new concept of reliability system and applications in finance. (English) Zbl 07550804 Ann. Oper. Res. 312, No. 1, 45-64 (2022). MSC: 90B25 62N05 91G20 60E15 60K10 PDF BibTeX XML Cite \textit{R. Cerqueti}, Ann. Oper. Res. 312, No. 1, 45--64 (2022; Zbl 07550804) Full Text: DOI OpenURL
Qi, Yue Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models. (English) Zbl 07550795 Ann. Oper. Res. 311, No. 2, 1203-1227 (2022). MSC: 91G10 90C29 91B06 91G80 90C20 PDF BibTeX XML Cite \textit{Y. Qi}, Ann. Oper. Res. 311, No. 2, 1203--1227 (2022; Zbl 07550795) Full Text: DOI OpenURL
Nowak, Maciej; Trzaskalik, Tadeusz A trade-off multiobjective dynamic programming procedure and its application to project portfolio selection. (English) Zbl 07550793 Ann. Oper. Res. 311, No. 2, 1155-1181 (2022). MSC: 90C29 90B50 90C39 91G10 90C10 PDF BibTeX XML Cite \textit{M. Nowak} and \textit{T. Trzaskalik}, Ann. Oper. Res. 311, No. 2, 1155--1181 (2022; Zbl 07550793) Full Text: DOI OpenURL
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel Pareto efficient buy and hold investment strategies under order book linked constraints. (English) Zbl 07550783 Ann. Oper. Res. 311, No. 2, 945-965 (2022). MSC: 91G10 90C29 91G20 91B06 PDF BibTeX XML Cite \textit{A. Balbás} et al., Ann. Oper. Res. 311, No. 2, 945--965 (2022; Zbl 07550783) Full Text: DOI OpenURL
Liuzzi, Danilo; Lupi, Veronica; Vié, Aymeric Sustainability, cooperation and mobility of workers within and between European countries: a two-stage goal programming model. (English) Zbl 07550776 Ann. Oper. Res. 311, No. 2, 749-769 (2022). MSC: 90C29 90C70 91G10 90B60 90C05 PDF BibTeX XML Cite \textit{D. Liuzzi} et al., Ann. Oper. Res. 311, No. 2, 749--769 (2022; Zbl 07550776) Full Text: DOI OpenURL
Yang, Yue; Yu, Xiang Optimal entry and consumption under habit formation. (English) Zbl 07549538 Adv. Appl. Probab. 54, No. 2, 433-459 (2022). MSC: 91G10 49L25 93E11 93E20 49L20 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{X. Yu}, Adv. Appl. Probab. 54, No. 2, 433--459 (2022; Zbl 07549538) Full Text: DOI OpenURL
Christensen, Sören; Lindensjö, Kristoffer Moment-constrained optimal dividends: precommitment and consistent planning. (English) Zbl 07549537 Adv. Appl. Probab. 54, No. 2, 404-432 (2022). MSC: 93E20 60J70 91A15 91G80 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{K. Lindensjö}, Adv. Appl. Probab. 54, No. 2, 404--432 (2022; Zbl 07549537) Full Text: DOI OpenURL
Mariani, Maria; Tweneboah, Osei Kofi Modeling high frequency stock market data by using stochastic models. (English) Zbl 07548153 Stochastic Anal. Appl. 40, No. 4, 573-588 (2022). MSC: 91G80 60J70 PDF BibTeX XML Cite \textit{M. Mariani} and \textit{O. K. Tweneboah}, Stochastic Anal. Appl. 40, No. 4, 573--588 (2022; Zbl 07548153) Full Text: DOI OpenURL
Amini, Hamed; Minca, Andreea; Sulem, Agnès A dynamic contagion risk model with recovery features. (English) Zbl 07548073 Math. Oper. Res. 47, No. 2, 1412-1442 (2022). MSC: 91B30 91G50 90B15 90B50 90B10 91B15 60J10 PDF BibTeX XML Cite \textit{H. Amini} et al., Math. Oper. Res. 47, No. 2, 1412--1442 (2022; Zbl 07548073) Full Text: DOI OpenURL
Feinstein, Zachary; Rudloff, Birgit Scalar multivariate risk measures with a single eligible asset. (English) Zbl 07548052 Math. Oper. Res. 47, No. 2, 899-922 (2022). MSC: 91G70 26E25 46A20 91B05 PDF BibTeX XML Cite \textit{Z. Feinstein} and \textit{B. Rudloff}, Math. Oper. Res. 47, No. 2, 899--922 (2022; Zbl 07548052) Full Text: DOI OpenURL
Leoff, Elisabeth; Ruderer, Leonie; Sass, Jörn Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (English) Zbl 07547844 Math. Methods Oper. Res. 95, No. 2, 327-359 (2022). MSC: 91G15 91G10 93E11 PDF BibTeX XML Cite \textit{E. Leoff} et al., Math. Methods Oper. Res. 95, No. 2, 327--359 (2022; Zbl 07547844) Full Text: DOI OpenURL
Shirokikh, Oleg; Pastukhov, Grigory; Semenov, Alexander; Butenko, Sergiy; Veremyev, Alexander; Pasiliao, Eduardo L.; Boginski, Vladimir Networks of causal relationships in the U.S. stock market. (English) Zbl 07547647 Depend. Model. 10, 177-190 (2022). MSC: 91G45 90B10 PDF BibTeX XML Cite \textit{O. Shirokikh} et al., Depend. Model. 10, 177--190 (2022; Zbl 07547647) Full Text: DOI OpenURL
Degano, Iván; Ferrando, Sebastián; González, Alfredo No-arbitrage symmetries. (English) Zbl 07547411 Acta Math. Sci., Ser. B, Engl. Ed. 42, No. 4, 1373-1402 (2022). MSC: 91B24 91G10 26B25 49J35 PDF BibTeX XML Cite \textit{I. Degano} et al., Acta Math. Sci., Ser. B, Engl. Ed. 42, No. 4, 1373--1402 (2022; Zbl 07547411) Full Text: DOI OpenURL
Narsoo, Jeetendre; Sunhaloo, Sameer An object-oriented framework using design patterns for numerical option pricing. (English) Zbl 07546751 Palest. J. Math. 11, No. 1, 326-344 (2022). MSC: 91G20 68N19 PDF BibTeX XML Cite \textit{J. Narsoo} and \textit{S. Sunhaloo}, Palest. J. Math. 11, No. 1, 326--344 (2022; Zbl 07546751) Full Text: Link OpenURL
Jeong, Seungwon; Ahn, Sang Jin; Koo, Hyeng Keun; Ahn, Seryoong Optimal portfolio choice in a binomial-tree and its convergence. (English) Zbl 07546429 East Asian Math. J. 38, No. 3, 277-292 (2022). MSC: 91Gxx PDF BibTeX XML Cite \textit{S. Jeong} et al., East Asian Math. J. 38, No. 3, 277--292 (2022; Zbl 07546429) Full Text: DOI OpenURL
Li, Wenhan; Liu, Lixia; Li, Cuixiang; Lv, Guiwen Quanto option pricing with a jump diffusion process. (English) Zbl 07545854 Commun. Stat., Simulation Comput. 51, No. 5, 2095-2109 (2022). MSC: 91G20 62P05 60H30 PDF BibTeX XML Cite \textit{W. Li} et al., Commun. Stat., Simulation Comput. 51, No. 5, 2095--2109 (2022; Zbl 07545854) Full Text: DOI OpenURL
Al-Aradi, Ali; Correia, Adolfo; Jardim, Gabriel; de Freitas Naiff, Danilo; Saporito, Yuri Extensions of the deep Galerkin method. (English) Zbl 07545331 Appl. Math. Comput. 430, Article ID 127287, 18 p. (2022). MSC: 60Hxx 65Mxx 91Gxx PDF BibTeX XML Cite \textit{A. Al-Aradi} et al., Appl. Math. Comput. 430, Article ID 127287, 18 p. (2022; Zbl 07545331) Full Text: DOI OpenURL
Cho, Junhyun; Kim, Yejin; Lee, Sungchul An accurate and stable numerical method for option hedge parameters. (English) Zbl 07545326 Appl. Math. Comput. 430, Article ID 127276, 11 p. (2022). MSC: 91Gxx 65Mxx 35Qxx PDF BibTeX XML Cite \textit{J. Cho} et al., Appl. Math. Comput. 430, Article ID 127276, 11 p. (2022; Zbl 07545326) Full Text: DOI OpenURL
Ernst, Philip A.; Imerman, Michael B.; Shepp, Larry; Zhou, Quan Fiscal stimulus as an optimal control problem. (English) Zbl 07544414 Stochastic Processes Appl. 150, 1091-1108 (2022). MSC: 91G05 93E20 91B28 60J60 PDF BibTeX XML Cite \textit{P. A. Ernst} et al., Stochastic Processes Appl. 150, 1091--1108 (2022; Zbl 07544414) Full Text: DOI OpenURL
De Gennaro Aquino, Luca; Bernard, Carole Correction to: “Semi-analytical prices for lookback and barrier options under the Heston model”. (English) Zbl 07544270 Decis. Econ. Finance 45, No. 1, 447-449 (2022). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{L. De Gennaro Aquino} and \textit{C. Bernard}, Decis. Econ. Finance 45, No. 1, 447--449 (2022; Zbl 07544270) Full Text: DOI OpenURL
Baumann, Michael Heinrich Beating the market? A mathematical puzzle for market efficiency. (English) Zbl 07544265 Decis. Econ. Finance 45, No. 1, 279-325 (2022). MSC: 91G10 91G99 91B70 PDF BibTeX XML Cite \textit{M. H. Baumann}, Decis. Econ. Finance 45, No. 1, 279--325 (2022; Zbl 07544265) Full Text: DOI OpenURL
Garcin, Matthieu; Grasselli, Martino Long versus short time scales: the rough dilemma and beyond. (English) Zbl 07544264 Decis. Econ. Finance 45, No. 1, 257-278 (2022). MSC: 91G99 91B25 60F10 PDF BibTeX XML Cite \textit{M. Garcin} and \textit{M. Grasselli}, Decis. Econ. Finance 45, No. 1, 257--278 (2022; Zbl 07544264) Full Text: DOI OpenURL
Huang, Fei; Lu, Zuliang; Li, Lin; Wu, Xiankui; Liu, Shang; Yang, Yin Numerical simulation for European and American option of risks in climate change of Three Gorges Reservoir Area. (English) Zbl 07542957 J. Numer. Math. 30, No. 1, 23-42 (2022). MSC: 65M08 65C30 65M22 65M12 65K10 35K55 35A01 35A02 86A08 91B76 91G60 35R35 PDF BibTeX XML Cite \textit{F. Huang} et al., J. Numer. Math. 30, No. 1, 23--42 (2022; Zbl 07542957) Full Text: DOI OpenURL
Xiang, Jiangming; Wang, Xiaoqun Quasi-Monte Carlo simulation for American option sensitivities. (English) Zbl 07542677 J. Comput. Appl. Math. 413, Article ID 114268, 11 p. (2022). MSC: 91G60 65C05 65D30 91G20 60G40 PDF BibTeX XML Cite \textit{J. Xiang} and \textit{X. Wang}, J. Comput. Appl. Math. 413, Article ID 114268, 11 p. (2022; Zbl 07542677) Full Text: DOI OpenURL
Zahm, Olivier; Cui, Tiangang; Law, Kody; Spantini, Alessio; Marzouk, Youssef Certified dimension reduction in nonlinear Bayesian inverse problems. (English) Zbl 07541892 Math. Comput. 91, No. 336, 1789-1835 (2022). MSC: 62C10 91G60 41-02 PDF BibTeX XML Cite \textit{O. Zahm} et al., Math. Comput. 91, No. 336, 1789--1835 (2022; Zbl 07541892) Full Text: DOI OpenURL
Savku, E.; Weber, G.-W. Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market. (English) Zbl 07541033 Ann. Oper. Res. 312, No. 2, 1171-1196 (2022). MSC: 91A15 91G10 93E20 60H10 PDF BibTeX XML Cite \textit{E. Savku} and \textit{G. W. Weber}, Ann. Oper. Res. 312, No. 2, 1171--1196 (2022; Zbl 07541033) Full Text: DOI OpenURL
Kim, Young Shin Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. (English) Zbl 07541021 Ann. Oper. Res. 312, No. 2, 853-881 (2022). MSC: 91Gxx 60Gxx 62Pxx PDF BibTeX XML Cite \textit{Y. S. Kim}, Ann. Oper. Res. 312, No. 2, 853--881 (2022; Zbl 07541021) Full Text: DOI OpenURL
Bazgour, Tarik; Platania, Federico A defaultable bond model with cyclical fluctuations in the spread process. (English) Zbl 07541015 Ann. Oper. Res. 312, No. 2, 647-672 (2022). MSC: 91Gxx 91Bxx 60Hxx PDF BibTeX XML Cite \textit{T. Bazgour} and \textit{F. Platania}, Ann. Oper. Res. 312, No. 2, 647--672 (2022; Zbl 07541015) Full Text: DOI OpenURL
Hu, Xiang; Zhang, Lianzeng Multivariate distributions with time and cross-dependence: aggregation and capital allocation. (English) Zbl 07540875 ASTIN Bull. 52, No. 2, 669-706 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{X. Hu} and \textit{L. Zhang}, ASTIN Bull. 52, No. 2, 669--706 (2022; Zbl 07540875) Full Text: DOI OpenURL
Boonen, Tim J.; Jiang, Wenjun Mean-variance insurance design with counterparty risk and incentive compatibility. (English) Zbl 07540874 ASTIN Bull. 52, No. 2, 645-667 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{T. J. Boonen} and \textit{W. Jiang}, ASTIN Bull. 52, No. 2, 645--667 (2022; Zbl 07540874) Full Text: DOI OpenURL
Liang, Xiaoqing; Young, Virginia R. A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin. (English) Zbl 07540873 ASTIN Bull. 52, No. 2, 619-643 (2022). MSC: 91G05 35B51 65M15 91G05 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, ASTIN Bull. 52, No. 2, 619--643 (2022; Zbl 07540873) Full Text: DOI OpenURL
Olivieri, Annamaria; Thirurajah, Samuel; Ziveyi, Jonathan Target volatility strategies for group self-annuity portfolios. (English) Zbl 07540872 ASTIN Bull. 52, No. 2, 591-617 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Olivieri} et al., ASTIN Bull. 52, No. 2, 591--617 (2022; Zbl 07540872) Full Text: DOI OpenURL
Hieber, Peter; Lucas, Nathalie Modern life-care tontines. (English) Zbl 07540871 ASTIN Bull. 52, No. 2, 563-589 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{P. Hieber} and \textit{N. Lucas}, ASTIN Bull. 52, No. 2, 563--589 (2022; Zbl 07540871) Full Text: DOI OpenURL
Scognamiglio, Salvatore Calibrating the Lee-Carter and the Poisson Lee-Carter models via neural networks. (English) Zbl 07540870 ASTIN Bull. 52, No. 2, 519-561 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{S. Scognamiglio}, ASTIN Bull. 52, No. 2, 519--561 (2022; Zbl 07540870) Full Text: DOI OpenURL
Jarner, Søren F.; Jallbjørn, Snorre The SAINT model: a decade later. (English) Zbl 07540869 ASTIN Bull. 52, No. 2, 483-517 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{S. F. Jarner} and \textit{S. Jallbjørn}, ASTIN Bull. 52, No. 2, 483--517 (2022; Zbl 07540869) Full Text: DOI OpenURL
Maciak, Matúš; Mizera, Ivan; Pešta, Michal Functional profile techniques for claims reserving. (English) Zbl 07540868 ASTIN Bull. 52, No. 2, 449-482 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Maciak} et al., ASTIN Bull. 52, No. 2, 449--482 (2022; Zbl 07540868) Full Text: DOI OpenURL
Bladt, Martin Phase-type distributions for claim severity regression modeling. (English) Zbl 07540867 ASTIN Bull. 52, No. 2, 417-448 (2022). MSC: 62J99 91G05 PDF BibTeX XML Cite \textit{M. Bladt}, ASTIN Bull. 52, No. 2, 417--448 (2022; Zbl 07540867) Full Text: DOI OpenURL
Zhang, Pengcheng; Pitt, David; Wu, Xueyuan A new multivariate zero-inflated hurdle model with applications in automobile insurance. (English) Zbl 07540866 ASTIN Bull. 52, No. 2, 393-416 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{P. Zhang} et al., ASTIN Bull. 52, No. 2, 393--416 (2022; Zbl 07540866) Full Text: DOI OpenURL
Meng, Shengwang; Wang, He; Shi, Yanlin; Gao, Guangyuan Improving automobile insurance claims frequency prediction with telematics car driving data. (English) Zbl 07540865 ASTIN Bull. 52, No. 2, 363-391 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{S. Meng} et al., ASTIN Bull. 52, No. 2, 363--391 (2022; Zbl 07540865) Full Text: DOI OpenURL
Tee, Liivika; Käärik, Meelis Estimating IBNR claim counts using different levels of data aggregation. (English) Zbl 07540823 Commun. Stat., Simulation Comput. 51, No. 6, 3013-3036 (2022). MSC: 62P05 62G07 91G05 PDF BibTeX XML Cite \textit{L. Tee} and \textit{M. Käärik}, Commun. Stat., Simulation Comput. 51, No. 6, 3013--3036 (2022; Zbl 07540823) Full Text: DOI OpenURL
Nakhli, Mohamed Sahbi; Dhaoui, Abderrazak; Chevallier, Julien Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors. (English) Zbl 07540602 Ann. Finance 18, No. 2, 267-283 (2022). MSC: 91Gxx PDF BibTeX XML Cite \textit{M. S. Nakhli} et al., Ann. Finance 18, No. 2, 267--283 (2022; Zbl 07540602) Full Text: DOI OpenURL
Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate. (English) Zbl 07540601 Ann. Finance 18, No. 2, 247-266 (2022). MSC: 91Gxx PDF BibTeX XML Cite \textit{M. Bufalo} et al., Ann. Finance 18, No. 2, 247--266 (2022; Zbl 07540601) Full Text: DOI OpenURL
Escobar-Anel, Marcos; Davison, Matt; Zhu, Yichen Derivatives-based portfolio decisions: an expected utility insight. (English) Zbl 07540600 Ann. Finance 18, No. 2, 217-246 (2022). MSC: 91Gxx PDF BibTeX XML Cite \textit{M. Escobar-Anel} et al., Ann. Finance 18, No. 2, 217--246 (2022; Zbl 07540600) Full Text: DOI OpenURL
Lorig, Matthew; Suaysom, Natchanon Options on bonds: implied volatilities from affine short-rate dynamics. (English) Zbl 07540599 Ann. Finance 18, No. 2, 183-216 (2022). MSC: 91Gxx PDF BibTeX XML Cite \textit{M. Lorig} and \textit{N. Suaysom}, Ann. Finance 18, No. 2, 183--216 (2022; Zbl 07540599) Full Text: DOI OpenURL
de Castro, Luciano; Galvao, Antonio F.; Montes-Rojas, Gabriel; Olmo, Jose Portfolio selection in quantile decision models. (English) Zbl 07540598 Ann. Finance 18, No. 2, 133-181 (2022). MSC: 91Gxx PDF BibTeX XML Cite \textit{L. de Castro} et al., Ann. Finance 18, No. 2, 133--181 (2022; Zbl 07540598) Full Text: DOI OpenURL
Ahmad, Jamaal Multivariate higher order moments in multi-state life insurance. (English) Zbl 07540572 Scand. Actuar. J. 2022, No. 5, 399-420 (2022). MSC: 91B30 60J28 91G99 PDF BibTeX XML Cite \textit{J. Ahmad}, Scand. Actuar. J. 2022, No. 5, 399--420 (2022; Zbl 07540572) Full Text: DOI OpenURL
Lee, Youngrok; Lee, Jaesung The pricing of power quanto options under stochastic volatility. (English) Zbl 07539991 Proc. Jangjeon Math. Soc. 25, No. 1, 75-81 (2022). MSC: 91B25 91G60 65-XX PDF BibTeX XML Cite \textit{Y. Lee} and \textit{J. Lee}, Proc. Jangjeon Math. Soc. 25, No. 1, 75--81 (2022; Zbl 07539991) Full Text: DOI OpenURL
He, Wan-Hua; Wu, Chufang; Gu, Jia-Wen; Ching, Wai-Ki; Wong, Chi-Wing Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility. (English) Zbl 07539003 J. Ind. Manag. Optim. 18, No. 3, 2077-2094 (2022). MSC: 91G20 35R60 35C20 PDF BibTeX XML Cite \textit{W.-H. He} et al., J. Ind. Manag. Optim. 18, No. 3, 2077--2094 (2022; Zbl 07539003) Full Text: DOI OpenURL
Guan, Chonghu; Li, Xun; Zhou, Rui; Zhou, Wenxin Free boundary problem for an optimal investment problem with a borrowing constraint. (English) Zbl 07538995 J. Ind. Manag. Optim. 18, No. 3, 1915-1934 (2022). MSC: 91B70 91G10 35R35 35B65 PDF BibTeX XML Cite \textit{C. Guan} et al., J. Ind. Manag. Optim. 18, No. 3, 1915--1934 (2022; Zbl 07538995) Full Text: DOI OpenURL
Mota, P. R.; Vasconcelos, P. B. Play-hysteresis in the joint dynamics of employment and investment. (English) Zbl 07538972 Math. Comput. Sci. 16, No. 1, Paper No. 5, 13 p. (2022). MSC: 62P20 65C60 91B02 91B40 91G70 PDF BibTeX XML Cite \textit{P. R. Mota} and \textit{P. B. Vasconcelos}, Math. Comput. Sci. 16, No. 1, Paper No. 5, 13 p. (2022; Zbl 07538972) Full Text: DOI OpenURL
Azi, Mourad; Bibi, Mohand Ouamer Optimal control of a dynamical system with intermediate phase constraints and applications in cash management. (English) Zbl 07538861 Numer. Algebra Control Optim. 12, No. 2, 279-291 (2022). MSC: 49N05 91G50 49M05 PDF BibTeX XML Cite \textit{M. Azi} and \textit{M. O. Bibi}, Numer. Algebra Control Optim. 12, No. 2, 279--291 (2022; Zbl 07538861) Full Text: DOI OpenURL
Blomvall, Jörgen; Hagenbjörk, Johan Reducing transaction costs for interest rate risk hedging with stochastic programming. (English) Zbl 07538197 Eur. J. Oper. Res. 302, No. 3, 1282-1293 (2022). MSC: 91G20 91G30 90C15 PDF BibTeX XML Cite \textit{J. Blomvall} and \textit{J. Hagenbjörk}, Eur. J. Oper. Res. 302, No. 3, 1282--1293 (2022; Zbl 07538197) Full Text: DOI OpenURL
Xie, Jiayi; Cui, Zhenyu; Zhang, Zhimin Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps. (English) Zbl 07537600 Appl. Math. Comput. 429, Article ID 127251, 28 p. (2022). MSC: 60Gxx 60Jxx 91Gxx PDF BibTeX XML Cite \textit{J. Xie} et al., Appl. Math. Comput. 429, Article ID 127251, 28 p. (2022; Zbl 07537600) Full Text: DOI OpenURL
Sutthimat, Phiraphat; Mekchay, Khamron; Rujivan, Sanae Closed-form formula for conditional moments of generalized nonlinear drift CEV process. (English) Zbl 07537579 Appl. Math. Comput. 428, Article ID 127213, 17 p. (2022). MSC: 91Gxx 60Jxx 91Bxx PDF BibTeX XML Cite \textit{P. Sutthimat} et al., Appl. Math. Comput. 428, Article ID 127213, 17 p. (2022; Zbl 07537579) Full Text: DOI OpenURL
Bishwal, Jaya P. N. Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates. (English) Zbl 07537026 Monte Carlo Methods Appl. 28, No. 2, 111-124 (2022). MSC: 91G20 62F12 62M09 62P05 65C30 91G30 PDF BibTeX XML Cite \textit{J. P. N. Bishwal}, Monte Carlo Methods Appl. 28, No. 2, 111--124 (2022; Zbl 07537026) Full Text: DOI OpenURL
Akiyama, Naho; Yamada, Toshihiro A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting. (English) Zbl 07537025 Monte Carlo Methods Appl. 28, No. 2, 97-110 (2022). MSC: 60H07 60H35 65C05 65C30 91G60 PDF BibTeX XML Cite \textit{N. Akiyama} and \textit{T. Yamada}, Monte Carlo Methods Appl. 28, No. 2, 97--110 (2022; Zbl 07537025) Full Text: DOI OpenURL
Ge, Yingming; Li, Lingfei; Zhang, Gongqiu A Fourier transform method for solving backward stochastic differential equations. (English) Zbl 07536592 Methodol. Comput. Appl. Probab. 24, No. 1, 385-412 (2022). MSC: 65C30 60H35 65T50 91G20 91G60 PDF BibTeX XML Cite \textit{Y. Ge} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 385--412 (2022; Zbl 07536592) Full Text: DOI OpenURL
Lee, Min-Ku; Kim, See-Woo; Kim, Jeong-Hoon Variance swaps under multiscale stochastic volatility of volatility. (English) Zbl 07536577 Methodol. Comput. Appl. Probab. 24, No. 1, 39-64 (2022). MSC: 91G20 60J60 35Q91 PDF BibTeX XML Cite \textit{M.-K. Lee} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 39--64 (2022; Zbl 07536577) Full Text: DOI OpenURL
Gairat, Alexander; Shcherbakov, Vadim Skew Brownian motion with dry friction: joint density approach. (English) Zbl 07535888 Stat. Probab. Lett. 187, Article ID 109511, 4 p. (2022). MSC: 60J65 60J70 60J60 91G20 PDF BibTeX XML Cite \textit{A. Gairat} and \textit{V. Shcherbakov}, Stat. Probab. Lett. 187, Article ID 109511, 4 p. (2022; Zbl 07535888) Full Text: DOI OpenURL
Pekalp, Mustafa Hilmi Some new bounds for the mean value function of the residual lifetime process. (English) Zbl 07535881 Stat. Probab. Lett. 187, Article ID 109497, 9 p. (2022). MSC: 60K05 91G05 PDF BibTeX XML Cite \textit{M. H. Pekalp}, Stat. Probab. Lett. 187, Article ID 109497, 9 p. (2022; Zbl 07535881) Full Text: DOI OpenURL
Chateauneuf, Alain; Cornet, Bernard Submodular financial markets with frictions. (English) Zbl 07535182 Econ. Theory 73, No. 2-3, 721-744 (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{A. Chateauneuf} and \textit{B. Cornet}, Econ. Theory 73, No. 2--3, 721--744 (2022; Zbl 07535182) Full Text: DOI OpenURL
Amir, Rabah; Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten An evolutionary finance model with short selling and endogenous asset supply. (English) Zbl 07535179 Econ. Theory 73, No. 2-3, 655-677 (2022). MSC: 91G15 91G10 91A15 PDF BibTeX XML Cite \textit{R. Amir} et al., Econ. Theory 73, No. 2--3, 655--677 (2022; Zbl 07535179) Full Text: DOI OpenURL
Feng, Zhigang; Villamil, Anne Funding employer-based insurance: regressive taxation and premium exclusions. (English) Zbl 07535174 Econ. Theory 73, No. 2-3, 509-540 (2022). MSC: 91G05 91B64 PDF BibTeX XML Cite \textit{Z. Feng} and \textit{A. Villamil}, Econ. Theory 73, No. 2--3, 509--540 (2022; Zbl 07535174) Full Text: DOI OpenURL
Bettzüge, Marc Oliver; Hens, Thorsten; Zierhut, Michael Financial intermediation and the welfare theorems in incomplete markets. (English) Zbl 07535172 Econ. Theory 73, No. 2-3, 457-486 (2022). MSC: 91B15 91G15 91B38 PDF BibTeX XML Cite \textit{M. O. Bettzüge} et al., Econ. Theory 73, No. 2--3, 457--486 (2022; Zbl 07535172) Full Text: DOI OpenURL
Bianchi, Milo; Dana, Rose-Anne; Jouini, Elyès Shareholder heterogeneity, asymmetric information, and the equilibrium manager. (English) Zbl 07535165 Econ. Theory 73, No. 4, 1101-1134 (2022). MSC: 91G50 PDF BibTeX XML Cite \textit{M. Bianchi} et al., Econ. Theory 73, No. 4, 1101--1134 (2022; Zbl 07535165) Full Text: DOI OpenURL
Backhoff-Veraguas, Julio; Beissner, Patrick; Horst, Ulrich Robust contracting in general contract spaces. (English) Zbl 07535159 Econ. Theory 73, No. 4, 917-945 (2022). MSC: 91B41 91B03 91G15 PDF BibTeX XML Cite \textit{J. Backhoff-Veraguas} et al., Econ. Theory 73, No. 4, 917--945 (2022; Zbl 07535159) Full Text: DOI OpenURL
Kananthai, Amnuay; Thailert, Ekkarath On some properties of the option price related to the solution of the Black-Scholes equation. (English) Zbl 07534809 Thai J. Math. 20, No. 1, 503-510 (2022). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{A. Kananthai} and \textit{E. Thailert}, Thai J. Math. 20, No. 1, 503--510 (2022; Zbl 07534809) Full Text: Link OpenURL
Thamrongrat, Nopporn; Rujivan, Sanae An iterative approach for obtaining a closed-form expansion for the conditional expectations of the extended Cox-Ingersoll-Ross process. (English) Zbl 07534789 Thai J. Math. 20, No. 1, 211-233 (2022). MSC: 91G30 PDF BibTeX XML Cite \textit{N. Thamrongrat} and \textit{S. Rujivan}, Thai J. Math. 20, No. 1, 211--233 (2022; Zbl 07534789) Full Text: Link OpenURL
Qiu, Ming; Jin, Zhuo; Li, Shuanming Optimal dividend strategies with reinsurance under contagious systemic risk. (English) Zbl 07534663 SIAM J. Control Optim. 60, No. 3, 1269-1293 (2022). MSC: 91G05 91G45 93E20 49L12 PDF BibTeX XML Cite \textit{M. Qiu} et al., SIAM J. Control Optim. 60, No. 3, 1269--1293 (2022; Zbl 07534663) Full Text: DOI OpenURL
Han, Jinhui; Phillip Yam, Sheung Chi A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management. (English) Zbl 07534660 SIAM J. Control Optim. 60, No. 3, 1193-1222 (2022). MSC: 60H10 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{J. Han} and \textit{S. C. Phillip Yam}, SIAM J. Control Optim. 60, No. 3, 1193--1222 (2022; Zbl 07534660) Full Text: DOI OpenURL
Rodrigo, M.; Mamon, R. S. Jumping hedges on the strength of the Mellin transform. (English) Zbl 07534461 Results Appl. Math. 14, Article ID 100262, 28 p. (2022). MSC: 91G20 60J74 44A10 45K05 PDF BibTeX XML Cite \textit{M. Rodrigo} and \textit{R. S. Mamon}, Results Appl. Math. 14, Article ID 100262, 28 p. (2022; Zbl 07534461) Full Text: DOI OpenURL
Ma, Jingtang; Zhou, Zhiqiang Fast Laplace transform methods for the PDE system of parisian and Parasian option pricing. (English) Zbl 07534420 Sci. China, Math. 65, No. 6, 1229-1246 (2022). MSC: 35Q91 35R35 91G20 91G60 91G80 PDF BibTeX XML Cite \textit{J. Ma} and \textit{Z. Zhou}, Sci. China, Math. 65, No. 6, 1229--1246 (2022; Zbl 07534420) Full Text: DOI OpenURL
Wang, Gu Performance fees with stochastic benchmark. (English) Zbl 07533971 SIAM J. Financ. Math. 13, No. 2, 619-652 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{G. Wang}, SIAM J. Financ. Math. 13, No. 2, 619--652 (2022; Zbl 07533971) Full Text: DOI OpenURL
Campbell, Steven; Leonard Wong, Ting-Kam Functional portfolio optimization in stochastic portfolio theory. (English) Zbl 07533970 SIAM J. Financ. Math. 13, No. 2, 576-618 (2022). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{S. Campbell} and \textit{T.-K. Leonard Wong}, SIAM J. Financ. Math. 13, No. 2, 576--618 (2022; Zbl 07533970) Full Text: DOI OpenURL
Neuman, Eyal; Voß, Moritz Optimal signal-adaptive trading with temporary and transient price impact. (English) Zbl 07533969 SIAM J. Financ. Math. 13, No. 2, 551-575 (2022). MSC: 91G10 93E20 60H30 PDF BibTeX XML Cite \textit{E. Neuman} and \textit{M. Voß}, SIAM J. Financ. Math. 13, No. 2, 551--575 (2022; Zbl 07533969) Full Text: DOI OpenURL
Vellekoop, Michel; Gaudenzi, Marcellino Exact solutions and approximations for optimal investment strategies and indifference prices. (English) Zbl 07533967 SIAM J. Financ. Math. 13, No. 2, 491-520 (2022). MSC: 91G20 90C39 PDF BibTeX XML Cite \textit{M. Vellekoop} and \textit{M. Gaudenzi}, SIAM J. Financ. Math. 13, No. 2, 491--520 (2022; Zbl 07533967) Full Text: DOI OpenURL
Fujii, Masaaki; Takahashi, Akihiko Strong convergence to the mean field limit of a finite agent equilibrium. (English) Zbl 07533966 SIAM J. Financ. Math. 13, No. 2, 459-490 (2022). MSC: 91G30 91A16 91B69 PDF BibTeX XML Cite \textit{M. Fujii} and \textit{A. Takahashi}, SIAM J. Financ. Math. 13, No. 2, 459--490 (2022; Zbl 07533966) Full Text: DOI OpenURL
Chevalier, Etienne; Pulido, Sergio; Zúñiga, Elizabeth American options in the Volterra Heston model. (English) Zbl 07533965 SIAM J. Financ. Math. 13, No. 2, 426-458 (2022). MSC: 91G20 60G40 44A10 PDF BibTeX XML Cite \textit{E. Chevalier} et al., SIAM J. Financ. Math. 13, No. 2, 426--458 (2022; Zbl 07533965) Full Text: DOI OpenURL
Blanchard, Romain; Carassus, Laurence Short communication: super-replication prices with multiple priors in discrete time. (English) Zbl 07533964 SIAM J. Financ. Math. 13, No. 2, SC53-SC65 (2022). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{R. Blanchard} and \textit{L. Carassus}, SIAM J. Financ. Math. 13, No. 2, SC53-SC65 (2022; Zbl 07533964) Full Text: DOI OpenURL
Elizalde, Mauricio; Escudero, Carlos Short communication: chances for the honest in honest versus insider trading. (English) Zbl 07533963 SIAM J. Financ. Math. 13, No. 2, SC39-SC52 (2022). MSC: 91G15 91G10 60H30 PDF BibTeX XML Cite \textit{M. Elizalde} and \textit{C. Escudero}, SIAM J. Financ. Math. 13, No. 2, SC39-SC52 (2022; Zbl 07533963) Full Text: DOI OpenURL
Mesgarani, Hamid; Ahanj, Sara; Esmaeelzade, Aghdam Yones Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option. (English) Zbl 07533916 J. Math. Model. 10, No. 1, 1-10 (2022). MSC: 41A50 91G80 34K37 97N50 PDF BibTeX XML Cite \textit{H. Mesgarani} et al., J. Math. Model. 10, No. 1, 1--10 (2022; Zbl 07533916) Full Text: DOI OpenURL
Gapeev, Pavel V.; Li, Libo Optimal stopping problems for maxima and minima in models with asymmetric information. (English) Zbl 07533902 Stochastics 94, No. 4, 602-628 (2022). MSC: 60G40 91G20 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{L. Li}, Stochastics 94, No. 4, 602--628 (2022; Zbl 07533902) Full Text: DOI OpenURL
Hu, Shenglong; Wang, Qun A globally convergent method for solving a quartic generalized Markowitz portfolio problem. (English) Zbl 07533851 Appl. Numer. Math. 179, 255-272 (2022). MSC: 91Gxx 65K05 PDF BibTeX XML Cite \textit{S. Hu} and \textit{Q. Wang}, Appl. Numer. Math. 179, 255--272 (2022; Zbl 07533851) Full Text: DOI OpenURL
Zhu, Shunqing; Dong, Yinghui; Wu, Sang Optimal investment of DC pension plan with two VaR constraints. (English) Zbl 07533632 Commun. Stat., Theory Methods 51, No. 6, 1745-1764 (2022). MSC: 91B16 91G10 62-XX PDF BibTeX XML Cite \textit{S. Zhu} et al., Commun. Stat., Theory Methods 51, No. 6, 1745--1764 (2022; Zbl 07533632) Full Text: DOI OpenURL
Zakrad, Az-eddine; Nasroallah, Abdelaziz Perfect simulation of steady-state Markov chain on mixed state space. (English) Zbl 07533622 Commun. Stat., Theory Methods 51, No. 6, 1569-1587 (2022). MSC: 60J10 91G60 62-XX PDF BibTeX XML Cite \textit{A.-e. Zakrad} and \textit{A. Nasroallah}, Commun. Stat., Theory Methods 51, No. 6, 1569--1587 (2022; Zbl 07533622) Full Text: DOI OpenURL
Peng, Xingchun Expected utility maximization for an insurer with investment and risk control under inside information. (English) Zbl 07533592 Commun. Stat., Theory Methods 51, No. 4, 1029-1053 (2022). MSC: 97M30 91G80 93E20 60H30 62-XX PDF BibTeX XML Cite \textit{X. Peng}, Commun. Stat., Theory Methods 51, No. 4, 1029--1053 (2022; Zbl 07533592) Full Text: DOI OpenURL
Escobar-Anel, Marcos; Ferrando, Sebastian; Gschnaidtner, Christoph; Rubtsov, Alexey International portfolio choice under multi-factor stochastic volatility. (English) Zbl 07532634 Quant. Finance 22, No. 6, 1193-1216 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Escobar-Anel} et al., Quant. Finance 22, No. 6, 1193--1216 (2022; Zbl 07532634) Full Text: DOI OpenURL
Felpel, M.; Kienitz, J.; McWalter, T. A. Effective Markovian projection: application to CMS spread options and mid-curve swaptions. (English) Zbl 07532633 Quant. Finance 22, No. 6, 1169-1192 (2022). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{M. Felpel} et al., Quant. Finance 22, No. 6, 1169--1192 (2022; Zbl 07532633) Full Text: DOI OpenURL
Leroy, Stephen F.; Singhania, Rish Size and power in tests of return predictability. (English) Zbl 07532632 Quant. Finance 22, No. 6, 1153-1167 (2022). MSC: 91G15 62P05 PDF BibTeX XML Cite \textit{S. F. Leroy} and \textit{R. Singhania}, Quant. Finance 22, No. 6, 1153--1167 (2022; Zbl 07532632) Full Text: DOI OpenURL
Kim, Hongjoong; Jun, Sookyung; Moon, Kyoung-Sook Stock market prediction based on adaptive training algorithm in machine learning. (English) Zbl 07532631 Quant. Finance 22, No. 6, 1133-1152 (2022). MSC: 91G15 68T05 PDF BibTeX XML Cite \textit{H. Kim} et al., Quant. Finance 22, No. 6, 1133--1152 (2022; Zbl 07532631) Full Text: DOI OpenURL
Uddin, Ajim; Tao, Xinyuan; Chou, Chia-Ching; Yu, Dantong Are missing values important for earnings forecasts? A machine learning perspective. (English) Zbl 07532630 Quant. Finance 22, No. 6, 1113-1132 (2022). MSC: 91G50 68T05 PDF BibTeX XML Cite \textit{A. Uddin} et al., Quant. Finance 22, No. 6, 1113--1132 (2022; Zbl 07532630) Full Text: DOI OpenURL