Rettieva, Anna Cooperation maintenance in dynamic discrete-time multicriteria games with application to bioresource management problem. (English) Zbl 07797202 J. Comput. Appl. Math. 441, Article ID 115699, 13 p. (2024). MSC: 91A25 91A50 91A12 PDFBibTeX XMLCite \textit{A. Rettieva}, J. Comput. Appl. Math. 441, Article ID 115699, 13 p. (2024; Zbl 07797202) Full Text: DOI
Chen, Xinyue; Chen, Peimin; He, Yong; Wang, Xiaoyang The optimal investment problem with inflation and liquidity risk. (English) Zbl 1527.91147 J. Comput. Appl. Math. 438, Article ID 115580, 19 p. (2024). MSC: 91G10 91B39 93E20 PDFBibTeX XMLCite \textit{X. Chen} et al., J. Comput. Appl. Math. 438, Article ID 115580, 19 p. (2024; Zbl 1527.91147) Full Text: DOI
Wang, Dan; Li, Jicheng Relaxation modulus-based matrix splitting iteration method for vertical linear complementarity problem. (English) Zbl 1522.65098 J. Comput. Appl. Math. 437, Article ID 115430, 21 p. (2024). MSC: 65K05 65K15 65F10 90C33 PDFBibTeX XMLCite \textit{D. Wang} and \textit{J. Li}, J. Comput. Appl. Math. 437, Article ID 115430, 21 p. (2024; Zbl 1522.65098) Full Text: DOI
Lin, Wei; Shen, Kangli; Zhang, Jin E. Further exploration into the valid regions of Gram-Charlier densities. (English) Zbl 07732727 J. Comput. Appl. Math. 429, Article ID 115231, 23 p. (2023). MSC: 62E20 90C22 PDFBibTeX XMLCite \textit{W. Lin} et al., J. Comput. Appl. Math. 429, Article ID 115231, 23 p. (2023; Zbl 07732727) Full Text: DOI
Wu, Weiping; Zhou, Ke; Li, Zhicheng; Tang, Zhenpeng Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time. (English) Zbl 1518.91252 J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023). MSC: 91G10 91G30 93E20 35Q91 PDFBibTeX XMLCite \textit{W. Wu} et al., J. Comput. Appl. Math. 427, Article ID 115103, 19 p. (2023; Zbl 1518.91252) Full Text: DOI
Shen, Peiping; Wu, Dianxiao; Wang, Yafei An efficient spatial branch-and-bound algorithm using an adaptive branching rule for linear multiplicative programming. (English) Zbl 1512.90223 J. Comput. Appl. Math. 426, Article ID 115100, 15 p. (2023). MSC: 90C30 90C33 90C57 PDFBibTeX XMLCite \textit{P. Shen} et al., J. Comput. Appl. Math. 426, Article ID 115100, 15 p. (2023; Zbl 1512.90223) Full Text: DOI
Zhong, Wei; Cui, Zhenyu; Zhang, Zhimin Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk. (English) Zbl 1510.91173 J. Comput. Appl. Math. 422, Article ID 114914, 26 p. (2023). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G05 60G40 PDFBibTeX XMLCite \textit{W. Zhong} et al., J. Comput. Appl. Math. 422, Article ID 114914, 26 p. (2023; Zbl 1510.91173) Full Text: DOI
Jiao, Hongwei; Wang, Wenjie; Shang, Youlin Outer space branch-reduction-bound algorithm for solving generalized affine multiplicative problems. (English) Zbl 1502.90136 J. Comput. Appl. Math. 419, Article ID 114784, 16 p. (2023). MSC: 90C26 90C57 PDFBibTeX XMLCite \textit{H. Jiao} et al., J. Comput. Appl. Math. 419, Article ID 114784, 16 p. (2023; Zbl 1502.90136) Full Text: DOI
Hainaut, Donatien Pricing of spread and exchange options in a rough jump-diffusion market. (English) Zbl 1500.91135 J. Comput. Appl. Math. 419, Article ID 114752, 24 p. (2023). MSC: 91G20 26A33 PDFBibTeX XMLCite \textit{D. Hainaut}, J. Comput. Appl. Math. 419, Article ID 114752, 24 p. (2023; Zbl 1500.91135) Full Text: DOI
Ai, Meiqiao; Zhang, Zhimin; Zhong, Wei Valuation of a DB underpin hybrid pension under a regime-switching Lévy model. (English) Zbl 1500.91108 J. Comput. Appl. Math. 419, Article ID 114736, 16 p. (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{M. Ai} et al., J. Comput. Appl. Math. 419, Article ID 114736, 16 p. (2023; Zbl 1500.91108) Full Text: DOI
Rujivan, Sanae Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case. (English) Zbl 1500.91140 J. Comput. Appl. Math. 418, Article ID 114672, 31 p. (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{S. Rujivan}, J. Comput. Appl. Math. 418, Article ID 114672, 31 p. (2023; Zbl 1500.91140) Full Text: DOI
Hanbali, Hamza; Linders, Daniël Monotone tail functions: definitions, properties, and application to risk-reducing strategies. (English) Zbl 1495.91025 J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022). MSC: 91B05 91G05 62P05 PDFBibTeX XMLCite \textit{H. Hanbali} and \textit{D. Linders}, J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022; Zbl 1495.91025) Full Text: DOI
Xiang, Jiangming; Wang, Xiaoqun Quasi-Monte Carlo simulation for American option sensitivities. (English) Zbl 1489.91310 J. Comput. Appl. Math. 413, Article ID 114268, 11 p. (2022). MSC: 91G60 65C05 65D30 91G20 60G40 PDFBibTeX XMLCite \textit{J. Xiang} and \textit{X. Wang}, J. Comput. Appl. Math. 413, Article ID 114268, 11 p. (2022; Zbl 1489.91310) Full Text: DOI
Ai, Meiqiao; Zhang, Zhimin Pricing some life-contingent lookback options under regime-switching Lévy models. (English) Zbl 1483.91226 J. Comput. Appl. Math. 407, Article ID 114082, 19 p. (2022). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{M. Ai} and \textit{Z. Zhang}, J. Comput. Appl. Math. 407, Article ID 114082, 19 p. (2022; Zbl 1483.91226) Full Text: DOI
Wang, Chunfeng; Deng, Yaping; Shen, Peiping A novel convex relaxation-strategy-based algorithm for solving linear multiplicative problems. (English) Zbl 1485.90099 J. Comput. Appl. Math. 407, Article ID 114080, 11 p. (2022). MSC: 90C26 90C59 PDFBibTeX XMLCite \textit{C. Wang} et al., J. Comput. Appl. Math. 407, Article ID 114080, 11 p. (2022; Zbl 1485.90099) Full Text: DOI
Lin, Wei; Zhang, Jin E. The valid regions of Gram-Charlier densities with high-order cumulants. (English) Zbl 1493.62065 J. Comput. Appl. Math. 407, Article ID 113945, 28 p. (2022). MSC: 62E17 PDFBibTeX XMLCite \textit{W. Lin} and \textit{J. E. Zhang}, J. Comput. Appl. Math. 407, Article ID 113945, 28 p. (2022; Zbl 1493.62065) Full Text: DOI
Kim, Jerim; Kim, Bara; Kim, Jeongsim; Lee, Sungji Computation of powered option prices under a general model for underlying asset dynamics. (English) Zbl 1483.91233 J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022). MSC: 91G20 44A10 60H30 PDFBibTeX XMLCite \textit{J. Kim} et al., J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022; Zbl 1483.91233) Full Text: DOI
Tubikanec, Irene; Tamborrino, Massimiliano; Lansky, Petr; Buckwar, Evelyn Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion. (English) Zbl 1490.60209 J. Comput. Appl. Math. 406, Article ID 113951, 29 p. (2022). MSC: 60H35 60H10 65C20 65C30 PDFBibTeX XMLCite \textit{I. Tubikanec} et al., J. Comput. Appl. Math. 406, Article ID 113951, 29 p. (2022; Zbl 1490.60209) Full Text: DOI arXiv
Barigou, Karim; Delong, Łukasz Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (English) Zbl 1479.91304 J. Comput. Appl. Math. 404, Article ID 113922, 18 p. (2022). MSC: 91G05 91G10 60H30 35Q91 PDFBibTeX XMLCite \textit{K. Barigou} and \textit{Ł. Delong}, J. Comput. Appl. Math. 404, Article ID 113922, 18 p. (2022; Zbl 1479.91304) Full Text: DOI arXiv
Xie, Jiayi; Zhang, Zhimin Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation. (English) Zbl 1476.91038 J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B05 65D15 60G51 60K10 PDFBibTeX XMLCite \textit{J. Xie} and \textit{Z. Zhang}, J. Comput. Appl. Math. 399, Article ID 113703, 22 p. (2022; Zbl 1476.91038) Full Text: DOI
Yan, Dong; Lu, Xiaoping Utility-indifference pricing of European options with proportional transaction costs. (English) Zbl 1466.91372 J. Comput. Appl. Math. 397, Article ID 113639, 12 p. (2021). MSC: 91G60 65M06 91G20 91G10 91B16 PDFBibTeX XMLCite \textit{D. Yan} and \textit{X. Lu}, J. Comput. Appl. Math. 397, Article ID 113639, 12 p. (2021; Zbl 1466.91372) Full Text: DOI
Yeung, David W. K.; Petrosyan, Leon A. Generalized dynamic games with durable strategies under uncertain planning horizon. (English) Zbl 1466.91035 J. Comput. Appl. Math. 395, Article ID 113595, 23 p. (2021). MSC: 91A25 91A10 91A11 91A12 PDFBibTeX XMLCite \textit{D. W. K. Yeung} and \textit{L. A. Petrosyan}, J. Comput. Appl. Math. 395, Article ID 113595, 23 p. (2021; Zbl 1466.91035) Full Text: DOI
Kim, Donghyun; Yoon, Ji-Hun; Park, Chang-Rae Pricing external barrier options under a stochastic volatility model. (English) Zbl 1466.91342 J. Comput. Appl. Math. 394, Article ID 113555, 16 p. (2021). MSC: 91G20 44A10 PDFBibTeX XMLCite \textit{D. Kim} et al., J. Comput. Appl. Math. 394, Article ID 113555, 16 p. (2021; Zbl 1466.91342) Full Text: DOI
de Frutos, Javier; Gatón, Víctor A pseudospectral method for option pricing with transaction costs under exponential utility. (English) Zbl 1467.91211 J. Comput. Appl. Math. 394, Article ID 113541, 18 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M70 91G20 PDFBibTeX XMLCite \textit{J. de Frutos} and \textit{V. Gatón}, J. Comput. Appl. Math. 394, Article ID 113541, 18 p. (2021; Zbl 1467.91211) Full Text: DOI arXiv
Jeon, Junkee; Kwak, Minsuk Pricing variable annuity with surrender guarantee. (English) Zbl 1471.91463 J. Comput. Appl. Math. 393, Article ID 113508, 20 p. (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 60G40 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{M. Kwak}, J. Comput. Appl. Math. 393, Article ID 113508, 20 p. (2021; Zbl 1471.91463) Full Text: DOI
Kang, Jian-hao; Wang, Ming-hui; Huang, Nan-jing Equilibrium strategy for mean-variance-utility portfolio selection under Heston’s SV model. (English) Zbl 1461.91276 J. Comput. Appl. Math. 392, Article ID 113490, 19 p. (2021). MSC: 91G10 91A80 91G30 PDFBibTeX XMLCite \textit{J.-h. Kang} et al., J. Comput. Appl. Math. 392, Article ID 113490, 19 p. (2021; Zbl 1461.91276) Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Hamdi, Abdelouahed Calibration of the double Heston model and an analytical formula in pricing American put option. (English) Zbl 1461.91320 J. Comput. Appl. Math. 392, Article ID 113422, 11 p. (2021). MSC: 91G20 60G40 68W50 PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., J. Comput. Appl. Math. 392, Article ID 113422, 11 p. (2021; Zbl 1461.91320) Full Text: DOI
Wang, Peiqi; Rong, Ximin; Zhao, Hui; Wang, Suxin Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk. (English) Zbl 1459.91164 J. Comput. Appl. Math. 391, Article ID 113382, 17 p. (2021). MSC: 91G05 91G20 49J15 PDFBibTeX XMLCite \textit{P. Wang} et al., J. Comput. Appl. Math. 391, Article ID 113382, 17 p. (2021; Zbl 1459.91164) Full Text: DOI
Li, Danping; Li, Bin; Shen, Yang A dynamic pricing game for general insurance market. (English) Zbl 1457.91332 J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021). MSC: 91G05 91A25 91A80 PDFBibTeX XMLCite \textit{D. Li} et al., J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021; Zbl 1457.91332) Full Text: DOI
Chen, An; Nguyen, Thai; Sørensen, Nils Indifference pricing under SAHARA utility. (English) Zbl 1454.91173 J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021). MSC: 91G05 91G15 91B16 90C39 91G60 PDFBibTeX XMLCite \textit{A. Chen} et al., J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021; Zbl 1454.91173) Full Text: DOI
Gyulov, Tihomir B.; Koleva, Miglena N.; Vulkov, Lubin G. Fitted finite volume method for indifference pricing in an exponential utility regime-switching model. (English) Zbl 1460.91296 J. Comput. Appl. Math. 387, Article ID 112493, 17 p. (2021). MSC: 91G60 65C30 65M08 91G20 PDFBibTeX XMLCite \textit{T. B. Gyulov} et al., J. Comput. Appl. Math. 387, Article ID 112493, 17 p. (2021; Zbl 1460.91296) Full Text: DOI
Kulikova, Maria V.; Tsyganova, J. V.; Kulikov, G. Yu. SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation. (English) Zbl 1458.93250 J. Comput. Appl. Math. 387, Article ID 112487, 13 p. (2021). MSC: 93E11 93C35 PDFBibTeX XMLCite \textit{M. V. Kulikova} et al., J. Comput. Appl. Math. 387, Article ID 112487, 13 p. (2021; Zbl 1458.93250) Full Text: DOI
Lin, Sha; He, Xin-Jiang A new integral equation approach for pricing American-style barrier options with rebates. (English) Zbl 1448.91298 J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021). MSC: 91G20 60G40 35Q91 PDFBibTeX XMLCite \textit{S. Lin} and \textit{X.-J. He}, J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021; Zbl 1448.91298) Full Text: DOI
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Reinsurance-investment game between two mean-variance insurers under model uncertainty. (English) Zbl 1447.91152 J. Comput. Appl. Math. 382, Article ID 113095, 26 p. (2021). MSC: 91G05 91A15 91A80 PDFBibTeX XMLCite \textit{N. Wang} et al., J. Comput. Appl. Math. 382, Article ID 113095, 26 p. (2021; Zbl 1447.91152) Full Text: DOI
Sheng, Chunguang; Zhang, Degang; Wang, Guangyu; Huang, Yingli Research on risk mechanism of China’s carbon financial market development from the perspective of ecological civilization. (English) Zbl 1447.91171 J. Comput. Appl. Math. 381, Article ID 112990, 10 p. (2021). MSC: 91G15 91B76 62P05 PDFBibTeX XMLCite \textit{C. Sheng} et al., J. Comput. Appl. Math. 381, Article ID 112990, 10 p. (2021; Zbl 1447.91171) Full Text: DOI
Cuomo, S.; Piccialli, F.; Sica, F. RBF methods in a stochastic volatility framework for Greeks computation. (English) Zbl 1443.91326 J. Comput. Appl. Math. 380, Article ID 112987, 7 p. (2020). MSC: 91G60 65M99 91G20 PDFBibTeX XMLCite \textit{S. Cuomo} et al., J. Comput. Appl. Math. 380, Article ID 112987, 7 p. (2020; Zbl 1443.91326) Full Text: DOI
Chang, Jinhua; Sun, Lin; Zhang, Bo; Peng, Jin Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory. (English) Zbl 1437.91404 J. Comput. Appl. Math. 377, Article ID 112892, 16 p. (2020). MSC: 91G10 PDFBibTeX XMLCite \textit{J. Chang} et al., J. Comput. Appl. Math. 377, Article ID 112892, 16 p. (2020; Zbl 1437.91404) Full Text: DOI
Mehrdoust, Farshid; Najafi, Ali Reza A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds. (English) Zbl 1435.91189 J. Comput. Appl. Math. 375, Article ID 112796, 14 p. (2020). MSC: 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{F. Mehrdoust} and \textit{A. R. Najafi}, J. Comput. Appl. Math. 375, Article ID 112796, 14 p. (2020; Zbl 1435.91189) Full Text: DOI
Moghadam, Mostafa Abdolahi; Ebrahimi, Seyed Babak; Rahmani, Donya A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation. (English) Zbl 1435.91172 J. Comput. Appl. Math. 374, Article ID 112742, 20 p. (2020). MSC: 91G10 90C11 90C30 PDFBibTeX XMLCite \textit{M. A. Moghadam} et al., J. Comput. Appl. Math. 374, Article ID 112742, 20 p. (2020; Zbl 1435.91172) Full Text: DOI
Chen, Churong; Bohner, Martin; Jia, Baoguo Caputo fractional continuous cobweb models. (English) Zbl 1436.34044 J. Comput. Appl. Math. 374, Article ID 112734, 9 p. (2020). MSC: 34C60 91B55 34A08 34D20 33E12 PDFBibTeX XMLCite \textit{C. Chen} et al., J. Comput. Appl. Math. 374, Article ID 112734, 9 p. (2020; Zbl 1436.34044) Full Text: DOI
Wu, Cheng-Feng; Huang, Shian-Chang; Chang, Tsangyao; Chiou, Chei-Chang; Hsueh, Hsin-Pei The nexus of financial development and economic growth across major Asian economies: evidence from bootstrap ARDL testing and machine learning approach. (English) Zbl 1432.91080 J. Comput. Appl. Math. 372, Article ID 112660, 14 p. (2020). MSC: 91B62 91B82 91G99 62P20 PDFBibTeX XMLCite \textit{C.-F. Wu} et al., J. Comput. Appl. Math. 372, Article ID 112660, 14 p. (2020; Zbl 1432.91080) Full Text: DOI
Li, Rong; Pantelous, Athanasios A.; Yang, Lin Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework. (English) Zbl 1432.91100 J. Comput. Appl. Math. 368, Article ID 112592, 18 p. (2020). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 91G05 93E15 93D09 93C10 93B52 PDFBibTeX XMLCite \textit{R. Li} et al., J. Comput. Appl. Math. 368, Article ID 112592, 18 p. (2020; Zbl 1432.91100) Full Text: DOI
Zhang, Ling; Li, Danping; Lai, Yongzeng Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility. (English) Zbl 1442.91082 J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{L. Zhang} et al., J. Comput. Appl. Math. 368, Article ID 112536, 21 p. (2020; Zbl 1442.91082) Full Text: DOI
Peng, Yufang; Chen, Weidong; Wei, Pengbang; Yu, Guanyi Spillover effect and Granger causality investigation between China’s stock market and international oil market: a dynamic multiscale approach. (English) Zbl 1426.91318 J. Comput. Appl. Math. 367, Article ID 112460, 13 p. (2020). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{Y. Peng} et al., J. Comput. Appl. Math. 367, Article ID 112460, 13 p. (2020; Zbl 1426.91318) Full Text: DOI
Yoshioka, Hidekazu; Tsujimura, Motoh Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations. (English) Zbl 1429.93421 J. Comput. Appl. Math. 366, Article ID 112399, 28 p. (2020). Reviewer: Heinrich Hering (Rockenberg) MSC: 93E20 92D40 93C27 93C20 93E03 PDFBibTeX XMLCite \textit{H. Yoshioka} and \textit{M. Tsujimura}, J. Comput. Appl. Math. 366, Article ID 112399, 28 p. (2020; Zbl 1429.93421) Full Text: DOI
Zhang, Zhimin; Yong, Yaodi; Yu, Wenguang Valuing equity-linked death benefits in general exponential Lévy models. (English) Zbl 1430.91079 J. Comput. Appl. Math. 365, Article ID 112377, 18 p. (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 60G51 91G60 PDFBibTeX XMLCite \textit{Z. Zhang} et al., J. Comput. Appl. Math. 365, Article ID 112377, 18 p. (2020; Zbl 1430.91079) Full Text: DOI
Jeon, Junkee; Choi, Sun-Yong; Yoon, Ji-Hun Analytic valuation of European continuous-installment barrier options. (English) Zbl 1422.91704 J. Comput. Appl. Math. 363, 392-412 (2020). MSC: 91G20 44A20 60G40 PDFBibTeX XMLCite \textit{J. Jeon} et al., J. Comput. Appl. Math. 363, 392--412 (2020; Zbl 1422.91704) Full Text: DOI
Dadashi, Hassan Optimal investment strategy post retirement without ruin possibility: a numerical algorithm. (English) Zbl 1422.91762 J. Comput. Appl. Math. 363, 325-336 (2020). MSC: 91G60 65N06 91G10 60H35 60J70 93E20 PDFBibTeX XMLCite \textit{H. Dadashi}, J. Comput. Appl. Math. 363, 325--336 (2020; Zbl 1422.91762) Full Text: DOI
Ahmadi, Z.; Hosseini, S. Mohammad; Bastani, A. Foroush A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes. (English) Zbl 1422.91676 J. Comput. Appl. Math. 363, 156-170 (2020). MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 363, 156--170 (2020; Zbl 1422.91676) Full Text: DOI
Goel, Anubha; Sharma, Amita; Mehra, Aparna Robust optimization of mixed CVaR STARR ratio using copulas. (English) Zbl 1407.62384 J. Comput. Appl. Math. 347, 62-83 (2019). MSC: 62P05 62M10 91G10 91G70 62H05 PDFBibTeX XMLCite \textit{A. Goel} et al., J. Comput. Appl. Math. 347, 62--83 (2019; Zbl 1407.62384) Full Text: DOI
Mollapourasl, Reza; Fereshtian, Ali; Li, Hengguang; Lu, Xun RBF-PU method for pricing options under the jump-diffusion model with local volatility. (English) Zbl 1457.65148 J. Comput. Appl. Math. 337, 98-118 (2018). MSC: 65M70 65D12 65F50 35R09 45K05 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{R. Mollapourasl} et al., J. Comput. Appl. Math. 337, 98--118 (2018; Zbl 1457.65148) Full Text: DOI
Ma, Qinghua; Yi, Fahuai; Guan, Chonghu A consumption-investment problem with constraints on minimum and maximum consumption rates. (English) Zbl 1395.91416 J. Comput. Appl. Math. 338, 185-198 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{Q. Ma} et al., J. Comput. Appl. Math. 338, 185--198 (2018; Zbl 1395.91416) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping A closed-form pricing formula for European options under the Heston model with stochastic interest rate. (English) Zbl 1408.91215 J. Comput. Appl. Math. 335, 323-333 (2018). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S.-P. Zhu}, J. Comput. Appl. Math. 335, 323--333 (2018; Zbl 1408.91215) Full Text: DOI Link
Soler, David; Sanz, María T.; Caselles, Antonio; Micó, Joan C. A stochastic dynamic model to evaluate the influence of economy and well-being on unemployment control. (English) Zbl 1415.91226 J. Comput. Appl. Math. 330, 1063-1080 (2018). MSC: 91B82 91B70 91B40 60H30 PDFBibTeX XMLCite \textit{D. Soler} et al., J. Comput. Appl. Math. 330, 1063--1080 (2018; Zbl 1415.91226) Full Text: DOI
Nkeki, Charles I. Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies. (English) Zbl 1415.91160 J. Comput. Appl. Math. 330, 228-252 (2018). MSC: 91B30 91G10 60J75 90C39 PDFBibTeX XMLCite \textit{C. I. Nkeki}, J. Comput. Appl. Math. 330, 228--252 (2018; Zbl 1415.91160) Full Text: DOI
Sobhani, Amirhossein; Milev, Mariyan A numerical method for pricing discrete double barrier option by Legendre multiwavelet. (English) Zbl 1378.91125 J. Comput. Appl. Math. 328, 355-364 (2018). MSC: 91G60 65M70 65T60 91G20 PDFBibTeX XMLCite \textit{A. Sobhani} and \textit{M. Milev}, J. Comput. Appl. Math. 328, 355--364 (2018; Zbl 1378.91125) Full Text: DOI arXiv
Kazemi, Seyed-Mohammad-Mahdi; Dehghan, Mehdi; Foroush Bastani, Ali On a new family of radial basis functions: mathematical analysis and applications to option pricing. (English) Zbl 1372.65283 J. Comput. Appl. Math. 328, 75-100 (2018). MSC: 65M70 91G60 91G20 PDFBibTeX XMLCite \textit{S.-M.-M. Kazemi} et al., J. Comput. Appl. Math. 328, 75--100 (2018; Zbl 1372.65283) Full Text: DOI
Rathie, P. N.; de S. M. Ozelim, L. C. Exact and approximate expressions for the reliability of stable Lévy random variables with applications to stock market modelling. (English) Zbl 1364.60026 J. Comput. Appl. Math. 321, 314-322 (2017); corrigendum ibid. 343, 771-773 (2018). MSC: 60E07 91G99 62N05 33C60 65R10 PDFBibTeX XMLCite \textit{P. N. Rathie} and \textit{L. C. de S. M. Ozelim}, J. Comput. Appl. Math. 321, 314--322 (2017; Zbl 1364.60026) Full Text: DOI
de Frutos, Javier; Gatón, Víctor A spectral method for an optimal investment problem with transaction costs under potential utility. (English) Zbl 1360.91157 J. Comput. Appl. Math. 319, 262-276 (2017). MSC: 91G60 65M70 91G10 93E20 PDFBibTeX XMLCite \textit{J. de Frutos} and \textit{V. Gatón}, J. Comput. Appl. Math. 319, 262--276 (2017; Zbl 1360.91157) Full Text: DOI arXiv
Le, Nhat-Tan; Dang, Duy-Minh; Khanh, Tran-Vu A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates. (English) Zbl 1386.91164 J. Comput. Appl. Math. 317, 652-671 (2017). MSC: 91G60 65M70 91G20 60G40 PDFBibTeX XMLCite \textit{N.-T. Le} et al., J. Comput. Appl. Math. 317, 652--671 (2017; Zbl 1386.91164) Full Text: DOI Link
Pan, Jian; Xiao, Qingxian Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework. (English) Zbl 1382.91087 J. Comput. Appl. Math. 317, 371-387 (2017). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{J. Pan} and \textit{Q. Xiao}, J. Comput. Appl. Math. 317, 371--387 (2017; Zbl 1382.91087) Full Text: DOI
Zolfaghari, Mehdi; Sahabi, Bahram Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach. (English) Zbl 1415.91325 J. Comput. Appl. Math. 317, 274-289 (2017). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{M. Zolfaghari} and \textit{B. Sahabi}, J. Comput. Appl. Math. 317, 274--289 (2017; Zbl 1415.91325) Full Text: DOI
Dilloo, Mehzabeen Jumanah; Tangman, Désiré Yannick A superconvergent partial differential equation approach to price variance swaps under regime switching models. (English) Zbl 1356.91097 J. Comput. Appl. Math. 318, 316-334 (2017). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{M. J. Dilloo} and \textit{D. Y. Tangman}, J. Comput. Appl. Math. 318, 316--334 (2017; Zbl 1356.91097) Full Text: DOI
Zhang, Qingye; Gao, Yan Portfolio selection based on a benchmark process with dynamic value-at-risk constraints. (English) Zbl 1410.91436 J. Comput. Appl. Math. 313, 440-447 (2017). MSC: 91G10 90C39 91G70 PDFBibTeX XMLCite \textit{Q. Zhang} and \textit{Y. Gao}, J. Comput. Appl. Math. 313, 440--447 (2017; Zbl 1410.91436) Full Text: DOI
Wang, Xiandong; He, Jianmin A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework. (English) Zbl 1337.91114 J. Comput. Appl. Math. 306, 248-264 (2016). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{X. Wang} and \textit{J. He}, J. Comput. Appl. Math. 306, 248--264 (2016; Zbl 1337.91114) Full Text: DOI
Nikooeinejad, Z.; Delavarkhalafi, A.; Heydari, M. A numerical solution of open-loop Nash equilibrium in nonlinear differential games based on Chebyshev pseudospectral method. (English) Zbl 1335.49051 J. Comput. Appl. Math. 300, 369-384 (2016). MSC: 49M30 49N70 49K15 91A23 PDFBibTeX XMLCite \textit{Z. Nikooeinejad} et al., J. Comput. Appl. Math. 300, 369--384 (2016; Zbl 1335.49051) Full Text: DOI
Liu, Sanyang; Zhao, Yingfeng An efficient algorithm for globally solving generalized linear multiplicative programming. (English) Zbl 1342.90148 J. Comput. Appl. Math. 296, 840-847 (2016). MSC: 90C26 PDFBibTeX XMLCite \textit{S. Liu} and \textit{Y. Zhao}, J. Comput. Appl. Math. 296, 840--847 (2016; Zbl 1342.90148) Full Text: DOI
Li, Lingfei; Qu, Xianjun; Zhang, Gongqiu An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance. (English) Zbl 1334.60065 J. Comput. Appl. Math. 294, 225-250 (2016). MSC: 60G40 60J60 60J75 91G80 49L20 90C39 65K05 PDFBibTeX XMLCite \textit{L. Li} et al., J. Comput. Appl. Math. 294, 225--250 (2016; Zbl 1334.60065) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem. (English) Zbl 1338.91154 J. Comput. Appl. Math. 293, 112-127 (2016). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, J. Comput. Appl. Math. 293, 112--127 (2016; Zbl 1338.91154) Full Text: DOI arXiv
Álvarez, Francisco; Rey, José-Manuel; Sanchis, Raúl G. Consumer’s response to price distribution and \(\sigma\)-overload under time allocation. (English) Zbl 1320.91101 J. Comput. Appl. Math. 291, 242-256 (2016). MSC: 91B42 91B15 91B24 PDFBibTeX XMLCite \textit{F. Álvarez} et al., J. Comput. Appl. Math. 291, 242--256 (2016; Zbl 1320.91101) Full Text: DOI
Chiu, Mei Choi; Wong, Hoi Ying Dynamic cointegrated pairs trading: mean-variance time-consistent strategies. (English) Zbl 1319.91139 J. Comput. Appl. Math. 290, 516-534 (2015). MSC: 91G10 90C90 PDFBibTeX XMLCite \textit{M. C. Chiu} and \textit{H. Y. Wong}, J. Comput. Appl. Math. 290, 516--534 (2015; Zbl 1319.91139) Full Text: DOI
Xing, Yu; Yang, Xiaoping Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility. (English) Zbl 1307.91182 J. Comput. Appl. Math. 280, 231-247 (2015). MSC: 91G20 91G60 60J75 PDFBibTeX XMLCite \textit{Y. Xing} and \textit{X. Yang}, J. Comput. Appl. Math. 280, 231--247 (2015; Zbl 1307.91182) Full Text: DOI
Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella Computing survival probabilities based on stochastic differential models. (English) Zbl 1310.65008 J. Comput. Appl. Math. 277, 127-137 (2015). MSC: 65C30 60H30 91B30 92D25 PDFBibTeX XMLCite \textit{A. Andreoli} et al., J. Comput. Appl. Math. 277, 127--137 (2015; Zbl 1310.65008) Full Text: DOI
Temoçin, Büşra Zeynep; Weber, Gerhard-Wilhelm Optimal control of stochastic hybrid system with jumps: a numerical approximation. (English) Zbl 1320.93093 J. Comput. Appl. Math. 259 B, 443-451 (2014). MSC: 93E20 60J75 65C30 49M30 PDFBibTeX XMLCite \textit{B. Z. Temoçin} and \textit{G.-W. Weber}, J. Comput. Appl. Math. 259, Part B, 443--451 (2014; Zbl 1320.93093) Full Text: DOI
Rees, Patrick; Selcuk-Kestel, A. Sevtap Analysis of portfolio diversification between REIT assets. (English) Zbl 1314.91200 J. Comput. Appl. Math. 259 B, 425-433 (2014). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{P. Rees} and \textit{A. S. Selcuk-Kestel}, J. Comput. Appl. Math. 259, Part B, 425--433 (2014; Zbl 1314.91200) Full Text: DOI
Fontana, Claudio; Montes, Juan Miguel A. A unified approach to pricing and risk management of equity and credit risk. (English) Zbl 1314.91227 J. Comput. Appl. Math. 259 B, 350-361 (2014). MSC: 91G40 60H30 91G20 91G60 PDFBibTeX XMLCite \textit{C. Fontana} and \textit{J. M. A. Montes}, J. Comput. Appl. Math. 259, Part B, 350--361 (2014; Zbl 1314.91227) Full Text: DOI arXiv
Göncü, Ahmet; Ökten, Giray Efficient simulation of a multi-factor stochastic volatility model. (English) Zbl 1314.91237 J. Comput. Appl. Math. 259 B, 329-335 (2014). MSC: 91G60 65C05 91B70 PDFBibTeX XMLCite \textit{A. Göncü} and \textit{G. Ökten}, J. Comput. Appl. Math. 259, Part B, 329--335 (2014; Zbl 1314.91237) Full Text: DOI
Ortiz-Gracia, Luis; Masdemont, Josep J. Peaks and jumps reconstruction with \(B\)-splines scaling functions. (English) Zbl 1296.42020 J. Comput. Appl. Math. 272, 258-272 (2014). MSC: 42C40 PDFBibTeX XMLCite \textit{L. Ortiz-Gracia} and \textit{J. J. Masdemont}, J. Comput. Appl. Math. 272, 258--272 (2014; Zbl 1296.42020) Full Text: DOI arXiv
Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun Efficient and high accuracy pricing of barrier options under the CEV diffusion. (English) Zbl 1291.91238 J. Comput. Appl. Math. 259, Part A, 182-193 (2014). MSC: 91G60 91G20 65M06 62P05 PDFBibTeX XMLCite \textit{N. Thakoor} et al., J. Comput. Appl. Math. 259, Part A, 182--193 (2014; Zbl 1291.91238) Full Text: DOI
Kizilok Kara, Emel; Gebizlioglu, Omer L. Measurement of bivariate risks by the north-south quantile points approach. (English) Zbl 1291.91117 J. Comput. Appl. Math. 255, 208-215 (2014). MSC: 91B30 62H05 91G10 91G70 PDFBibTeX XMLCite \textit{E. Kizilok Kara} and \textit{O. L. Gebizlioglu}, J. Comput. Appl. Math. 255, 208--215 (2014; Zbl 1291.91117) Full Text: DOI
Chiu, Mei Choi; Wong, Hoi Ying Mean-variance portfolio selection with correlation risk. (English) Zbl 1291.91190 J. Comput. Appl. Math. 263, 432-444 (2014). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{M. C. Chiu} and \textit{H. Y. Wong}, J. Comput. Appl. Math. 263, 432--444 (2014; Zbl 1291.91190) Full Text: DOI
Hu, Wenbin; Li, Shenghong The forward-path method for pricing multi-asset American-style options under general diffusion processes. (English) Zbl 1299.91168 J. Comput. Appl. Math. 263, 25-31 (2014). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{W. Hu} and \textit{S. Li}, J. Comput. Appl. Math. 263, 25--31 (2014; Zbl 1299.91168) Full Text: DOI
Liu, R. H.; Zhao, J. L. A lattice method for option pricing with two underlying assets in the regime-switching model. (English) Zbl 1285.91143 J. Comput. Appl. Math. 250, 96-106 (2013). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{R. H. Liu} and \textit{J. L. Zhao}, J. Comput. Appl. Math. 250, 96--106 (2013; Zbl 1285.91143) Full Text: DOI
Xu, Daobao; Chen, Zhiping; Yang, Li Scenario tree generation approaches using K-means and LP moment matching methods. (English) Zbl 1245.05106 J. Comput. Appl. Math. 236, No. 17, 4561-4579 (2012). MSC: 05C70 90C05 PDFBibTeX XMLCite \textit{D. Xu} et al., J. Comput. Appl. Math. 236, No. 17, 4561--4579 (2012; Zbl 1245.05106) Full Text: DOI
Ling, Ai-Fan; Xu, Cheng-Xian Robust portfolio selection involving options under a “marginal+joint” ellipsoidal uncertainty set. (English) Zbl 1239.91152 J. Comput. Appl. Math. 236, No. 14, 3373-3393 (2012). MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{A.-F. Ling} and \textit{C.-X. Xu}, J. Comput. Appl. Math. 236, No. 14, 3373--3393 (2012; Zbl 1239.91152) Full Text: DOI
Bao, Jianhai; Böttcher, Björn; Mao, Xuerong; Yuan, Chenggui Convergence rate of numerical solutions to SFDEs with jumps. (English) Zbl 1236.65005 J. Comput. Appl. Math. 236, No. 2, 119-131 (2011). Reviewer: Grigori N. Milstein (Yekaterinburg) MSC: 65C30 65L20 60H35 34K50 34K28 34F05 60H10 60J65 PDFBibTeX XMLCite \textit{J. Bao} et al., J. Comput. Appl. Math. 236, No. 2, 119--131 (2011; Zbl 1236.65005) Full Text: DOI arXiv
Zhang, Qi-Min; Pang, Wan-Kai; Leung, Ping-Kei Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps. (English) Zbl 1229.65030 J. Comput. Appl. Math. 235, No. 12, 3369-3377 (2011). Reviewer: Kevin Burrage (Brisbane) MSC: 65C30 60H10 60H05 60H35 PDFBibTeX XMLCite \textit{Q.-M. Zhang} et al., J. Comput. Appl. Math. 235, No. 12, 3369--3377 (2011; Zbl 1229.65030) Full Text: DOI
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. (English) Zbl 1211.91228 J. Comput. Appl. Math. 235, No. 10, 3245-3256 (2011). MSC: 91G10 PDFBibTeX XMLCite \textit{K. Van Weert} et al., J. Comput. Appl. Math. 235, No. 10, 3245--3256 (2011; Zbl 1211.91228) Full Text: DOI
Hieber, Peter; Scherer, Matthias Efficiently pricing barrier options in a Markov-switching framework. (English) Zbl 1231.91473 J. Comput. Appl. Math. 235, No. 3, 679-685 (2010). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{P. Hieber} and \textit{M. Scherer}, J. Comput. Appl. Math. 235, No. 3, 679--685 (2010; Zbl 1231.91473) Full Text: DOI
Mitra, Sovan; Date, Paresh Regime switching volatility calibration by the Baum-Welch method. (English) Zbl 1193.91176 J. Comput. Appl. Math. 234, No. 12, 3243-3260 (2010). MSC: 91G70 62M20 62P05 PDFBibTeX XMLCite \textit{S. Mitra} and \textit{P. Date}, J. Comput. Appl. Math. 234, No. 12, 3243--3260 (2010; Zbl 1193.91176) Full Text: DOI arXiv
Frontczak, Robert; Schöbel, Rainer On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options. (English) Zbl 1192.91176 J. Comput. Appl. Math. 234, No. 5, 1559-1571 (2010). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{R. Frontczak} and \textit{R. Schöbel}, J. Comput. Appl. Math. 234, No. 5, 1559--1571 (2010; Zbl 1192.91176) Full Text: DOI
Milev, Mariyan; Tagliani, Aldo Numerical valuation of discrete double barrier options. (English) Zbl 1182.91204 J. Comput. Appl. Math. 233, No. 10, 2468-2480 (2010). MSC: 91G60 91G20 65D30 PDFBibTeX XMLCite \textit{M. Milev} and \textit{A. Tagliani}, J. Comput. Appl. Math. 233, No. 10, 2468--2480 (2010; Zbl 1182.91204) Full Text: DOI
Beraldi, Patrizia; de Simone, Francesco; Violi, Antonio Generating scenario trees: a parallel integrated simulation-optimization approach. (English) Zbl 1180.90343 J. Comput. Appl. Math. 233, No. 9, 2322-2331 (2010). MSC: 90C35 68W10 PDFBibTeX XMLCite \textit{P. Beraldi} et al., J. Comput. Appl. Math. 233, No. 9, 2322--2331 (2010; Zbl 1180.90343) Full Text: DOI
Merat, Kaveh; Salarieh, Hassan; Alasty, Aria Implementation of dynamic programming for chaos control in discrete systems. (English) Zbl 1173.65048 J. Comput. Appl. Math. 233, No. 2, 531-544 (2009). MSC: 65K10 93D15 49L20 PDFBibTeX XMLCite \textit{K. Merat} et al., J. Comput. Appl. Math. 233, No. 2, 531--544 (2009; Zbl 1173.65048) Full Text: DOI
Bernard, Carole; Chen, An On the regulator-insurer interaction in a structural model. (English) Zbl 1179.91100 J. Comput. Appl. Math. 233, No. 1, 3-15 (2009). MSC: 91B30 PDFBibTeX XMLCite \textit{C. Bernard} and \textit{A. Chen}, J. Comput. Appl. Math. 233, No. 1, 3--15 (2009; Zbl 1179.91100) Full Text: DOI
Zhou, Xue-Gang; Wu, Kun A method of acceleration for a class of multiplicative programming problems with exponent. (English) Zbl 1159.65067 J. Comput. Appl. Math. 223, No. 2, 975-982 (2009). Reviewer: Stefan Mititelu (Bucureşti) MSC: 65K05 90C30 PDFBibTeX XMLCite \textit{X.-G. Zhou} and \textit{K. Wu}, J. Comput. Appl. Math. 223, No. 2, 975--982 (2009; Zbl 1159.65067) Full Text: DOI
Lo, Keng-Hsin; Wang, Kehluh; Hsu, Ming-Feng Pricing American Asian options with higher moments in the underlying distribution. (English) Zbl 1152.91534 J. Comput. Appl. Math. 223, No. 1, 304-313 (2009). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{K.-H. Lo} et al., J. Comput. Appl. Math. 223, No. 1, 304--313 (2009; Zbl 1152.91534) Full Text: DOI
Khaliq, Abdul Q. M.; Voss, David A.; Kazmi, Kamran Adaptive \(\theta \)-methods for pricing American options. (English) Zbl 1151.91521 J. Comput. Appl. Math. 222, No. 1, 210-227 (2008). MSC: 91B28 65L05 PDFBibTeX XMLCite \textit{A. Q. M. Khaliq} et al., J. Comput. Appl. Math. 222, No. 1, 210--227 (2008; Zbl 1151.91521) Full Text: DOI
Berridge, S. J.; Schumacher, J. M. An irregular grid approach for pricing high-dimensional American options. (English) Zbl 1153.91465 J. Comput. Appl. Math. 222, No. 1, 94-111 (2008). MSC: 91B28 35R35 60G40 65D15 90C33 91B24 PDFBibTeX XMLCite \textit{S. J. Berridge} and \textit{J. M. Schumacher}, J. Comput. Appl. Math. 222, No. 1, 94--111 (2008; Zbl 1153.91465) Full Text: DOI
Li, Jinglu; Clemons, C. B.; Young, G. W.; Zhu, J. Solutions of two-factor models with variable interest rates. (English) Zbl 1152.91530 J. Comput. Appl. Math. 222, No. 1, 30-41 (2008). MSC: 91G60 91G20 35K99 35Q91 65M06 PDFBibTeX XMLCite \textit{J. Li} et al., J. Comput. Appl. Math. 222, No. 1, 30--41 (2008; Zbl 1152.91530) Full Text: DOI