Diffouo, Pauline Ngugnie; Devolder, Pierre Solvency measurement of life annuity products. (English) Zbl 1484.91381 Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250003, 26 p. (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{P. N. Diffouo} and \textit{P. Devolder}, Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250003, 26 p. (2022; Zbl 1484.91381) Full Text: DOI
Kim, Sung Ik; Kim, Young Shin Factor copula model for portfolio credit risk. (English) Zbl 1475.91383 Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150021, 25 p. (2021). Reviewer: Stefan Tappe (Freiburg) MSC: 91G40 91G10 91G20 62P05 62H05 PDFBibTeX XMLCite \textit{S. I. Kim} and \textit{Y. S. Kim}, Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150021, 25 p. (2021; Zbl 1475.91383) Full Text: DOI
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI
Levendorskiĭ, Sergei Ultra-fast pricing barrier options and CDSs. (English) Zbl 1396.91749 Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750033, 27 p. (2017). MSC: 91G20 60G51 44A10 47A68 PDFBibTeX XMLCite \textit{S. Levendorskiĭ}, Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750033, 27 p. (2017; Zbl 1396.91749) Full Text: DOI
Kato, Takashi Theoretical sensitivity analysis for quantitative operational risk management. (English) Zbl 1396.91813 Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750032, 23 p. (2017). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{T. Kato}, Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750032, 23 p. (2017; Zbl 1396.91813) Full Text: DOI arXiv
Blanchet-Scalliet, Christophette; Chevalier, Etienne; Kharroubi, Idris; Lim, Thomas Max-min optimization problem for variable annuities pricing. (English) Zbl 1369.91079 Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550053, 35 p. (2015). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91B30 91G20 60H30 PDFBibTeX XMLCite \textit{C. Blanchet-Scalliet} et al., Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550053, 35 p. (2015; Zbl 1369.91079) Full Text: DOI
Surya, Budhi Arta; Yamazaki, Kazutoshi Optimal capital structure with scale effects under spectrally negative Lévy models. (English) Zbl 1302.91190 Int. J. Theor. Appl. Finance 17, No. 2, Article ID 1450013, 31 p. (2014). MSC: 91G50 91G40 60G40 60G51 PDFBibTeX XMLCite \textit{B. A. Surya} and \textit{K. Yamazaki}, Int. J. Theor. Appl. Finance 17, No. 2, Article ID 1450013, 31 p. (2014; Zbl 1302.91190) Full Text: DOI arXiv
Beveridge, Christopher; Joshi, Mark The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM. (English) Zbl 1292.91172 Int. J. Theor. Appl. Finance 17, No. 1, Article ID 1450001, 47 p. (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{C. Beveridge} and \textit{M. Joshi}, Int. J. Theor. Appl. Finance 17, No. 1, Article ID 1450001, 47 p. (2014; Zbl 1292.91172) Full Text: DOI
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina; Sewell, Granville Numerical schemes for option pricing in regime-switching jump diffusion models. (English) Zbl 1290.91180 Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350046, 25 p. (2013). MSC: 91G60 91G20 60J75 65M70 45K05 PDFBibTeX XMLCite \textit{I. Florescu} et al., Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350046, 25 p. (2013; Zbl 1290.91180) Full Text: DOI
Brigo, Damiano; Buescu, Cristin; Morini, Massimo Counterparty risk pricing: impact of closeout and first-to-default times. (English) Zbl 1262.91140 Int. J. Theor. Appl. Finance 15, No. 6, Article ID 1250039, 23 p. (2012). MSC: 91G40 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 15, No. 6, Article ID 1250039, 23 p. (2012; Zbl 1262.91140) Full Text: DOI
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. (English) Zbl 1282.91116 Int. J. Theor. Appl. Finance 14, No. 5, 669-708 (2011). MSC: 91B25 91G20 91G70 60G42 62P05 PDFBibTeX XMLCite \textit{A. Badescu} et al., Int. J. Theor. Appl. Finance 14, No. 5, 669--708 (2011; Zbl 1282.91116) Full Text: DOI
Joshi, Mark; Yang, Chao Fast and accurate pricing and hedging of long-dated CMS spread options. (English) Zbl 1233.91280 Int. J. Theor. Appl. Finance 13, No. 6, 839-865 (2010). MSC: 91G20 91G60 91G70 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{C. Yang}, Int. J. Theor. Appl. Finance 13, No. 6, 839--865 (2010; Zbl 1233.91280) Full Text: DOI
Melnikov, Alexander; Romanyuk, Yuliya Efficient hedging and pricing of equity-linked life insurance contracts on several risky assets. (English) Zbl 1151.91578 Int. J. Theor. Appl. Finance 11, No. 3, 295-323 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{Y. Romanyuk}, Int. J. Theor. Appl. Finance 11, No. 3, 295--323 (2008; Zbl 1151.91578) Full Text: DOI
Elouerkhaoui, Youssef Pricing and hedging in a dynamic credit model. (English) Zbl 1291.91223 Int. J. Theor. Appl. Finance 10, No. 4, 703-731 (2007). MSC: 91G40 91G10 91G20 60H10 60H30 PDFBibTeX XMLCite \textit{Y. Elouerkhaoui}, Int. J. Theor. Appl. Finance 10, No. 4, 703--731 (2007; Zbl 1291.91223) Full Text: DOI
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names. (English) Zbl 1291.91243 Int. J. Theor. Appl. Finance 10, No. 4, 607-631 (2007). MSC: 91G70 91G40 62P05 62N05 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 10, No. 4, 607--631 (2007; Zbl 1291.91243) Full Text: DOI
Harel, Arie; Harpaz, Giora Fair actuarial values for deductible insurance policies in the presence of parameter uncertainty. (English) Zbl 1137.91495 Int. J. Theor. Appl. Finance 10, No. 2, 389-397 (2007). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Harel} and \textit{G. Harpaz}, Int. J. Theor. Appl. Finance 10, No. 2, 389--397 (2007; Zbl 1137.91495) Full Text: DOI
Chu, Chi Chiu; Kwok, Yue Kuen Valuation of guaranteed annuity options in affine term structure models. (English) Zbl 1137.91490 Int. J. Theor. Appl. Finance 10, No. 2, 363-387 (2007). MSC: 91B30 65C30 PDFBibTeX XMLCite \textit{C. C. Chu} and \textit{Y. K. Kwok}, Int. J. Theor. Appl. Finance 10, No. 2, 363--387 (2007; Zbl 1137.91490) Full Text: DOI
Chu, Chi Chiu; Kwok, Yue Kuen Pricing participating policies with rate guarantees. (English) Zbl 1184.91110 Int. J. Theor. Appl. Finance 9, No. 4, 517-532 (2006). MSC: 91B30 91G20 91B25 PDFBibTeX XMLCite \textit{C. C. Chu} and \textit{Y. K. Kwok}, Int. J. Theor. Appl. Finance 9, No. 4, 517--532 (2006; Zbl 1184.91110) Full Text: DOI