Bondi, Alessandro; Livieri, Giulia; Pulido, Sergio Affine Volterra processes with jumps. (English) Zbl 07787488 Stochastic Processes Appl. 168, Article ID 104264, 25 p. (2024). MSC: 60H20 60G22 45D05 60G17 PDFBibTeX XMLCite \textit{A. Bondi} et al., Stochastic Processes Appl. 168, Article ID 104264, 25 p. (2024; Zbl 07787488) Full Text: DOI arXiv
Alfonsi, Aurélien; Kebaier, Ahmed Approximation of stochastic Volterra equations with kernels of completely monotone type. (English) Zbl 07782515 Math. Comput. 93, No. 346, 643-677 (2024). MSC: 60H35 60G22 91G60 45D05 PDFBibTeX XMLCite \textit{A. Alfonsi} and \textit{A. Kebaier}, Math. Comput. 93, No. 346, 643--677 (2024; Zbl 07782515) Full Text: DOI arXiv
Prömel, David J.; Scheffels, David On the existence of weak solutions to stochastic Volterra equations. (English) Zbl 07790357 Electron. Commun. Probab. 28, Paper No. 52, 12 p. (2023). MSC: 60H20 45D05 PDFBibTeX XMLCite \textit{D. J. Prömel} and \textit{D. Scheffels}, Electron. Commun. Probab. 28, Paper No. 52, 12 p. (2023; Zbl 07790357) Full Text: DOI arXiv
Prömel, David J.; Scheffels, David Stochastic Volterra equations with Hölder diffusion coefficients. (English) Zbl 07697545 Stochastic Processes Appl. 161, 291-315 (2023). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H20 45D05 PDFBibTeX XMLCite \textit{D. J. Prömel} and \textit{D. Scheffels}, Stochastic Processes Appl. 161, 291--315 (2023; Zbl 07697545) Full Text: DOI arXiv
Miao, Liangliang; Chen, Yanhong; Xiao, Xiao; Hu, Yijun Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures. (English) Zbl 1524.91158 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1365-1381 (2023). MSC: 91G70 45D05 60H05 60J74 PDFBibTeX XMLCite \textit{L. Miao} et al., Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1365--1381 (2023; Zbl 1524.91158) Full Text: DOI
Wang, Mengjie; Dai, Xinjie; Yu, Yanyan; Xiao, Aiguo Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis. (English) Zbl 07671202 Comput. Appl. Math. 42, No. 3, Paper No. 108, 36 p. (2023). MSC: 65C30 60H20 45D05 60H35 PDFBibTeX XMLCite \textit{M. Wang} et al., Comput. Appl. Math. 42, No. 3, Paper No. 108, 36 p. (2023; Zbl 07671202) Full Text: DOI
Richard, Alexandre; Tan, Xiaolu; Yang, Fan On the discrete-time simulation of the rough Heston model. (English) Zbl 1515.65333 SIAM J. Financ. Math. 14, No. 1, 223-249 (2023). MSC: 65R20 45D05 60H35 91G60 PDFBibTeX XMLCite \textit{A. Richard} et al., SIAM J. Financ. Math. 14, No. 1, 223--249 (2023; Zbl 1515.65333) Full Text: DOI arXiv
Pablo, Olivares; Ciro, Diaz A finite elements approach for spread contract valuation via associated two-dimensional PIDE. (English) Zbl 1524.91148 Comput. Appl. Math. 42, No. 1, Paper No. 15, 23 p. (2023). MSC: 91G60 65M60 91G20 45K05 PDFBibTeX XMLCite \textit{O. Pablo} and \textit{D. Ciro}, Comput. Appl. Math. 42, No. 1, Paper No. 15, 23 p. (2023; Zbl 1524.91148) Full Text: DOI
Li, Min Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions. (English) Zbl 1524.65033 Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106796, 16 p. (2023). MSC: 65C30 60H20 45D05 45R05 60H35 65R20 65C05 PDFBibTeX XMLCite \textit{M. Li}, Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106796, 16 p. (2023; Zbl 1524.65033) Full Text: DOI
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin Optimal trade execution for Gaussian signals with power-law resilience. (English) Zbl 1487.91131 Quant. Finance 22, No. 3, 585-596 (2022). MSC: 91G15 45B05 PDFBibTeX XMLCite \textit{M. Forde} et al., Quant. Finance 22, No. 3, 585--596 (2022; Zbl 1487.91131) Full Text: DOI
Matoussi, Anis; Mrad, Mohamed Dynamic utility and related nonlinear SPDEs driven by Lévy noise. (English) Zbl 1484.91459 Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250004, 45 p. (2022). MSC: 91G15 60H15 45K05 91G10 91B16 PDFBibTeX XMLCite \textit{A. Matoussi} and \textit{M. Mrad}, Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250004, 45 p. (2022; Zbl 1484.91459) Full Text: DOI
Bergault, Philippe; Guéant, Olivier Size matters for OTC market makers: general results and dimensionality reduction techniques. (English) Zbl 1522.91238 Math. Finance 31, No. 1, 279-322 (2021). MSC: 91G15 45K05 93E20 PDFBibTeX XMLCite \textit{P. Bergault} and \textit{O. Guéant}, Math. Finance 31, No. 1, 279--322 (2021; Zbl 1522.91238) Full Text: DOI arXiv
Colaneri, Katia; Frey, Rüdiger Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. (English) Zbl 1475.91353 Insur. Math. Econ. 101, 498-507 (2021). MSC: 91G20 60J74 45K05 PDFBibTeX XMLCite \textit{K. Colaneri} and \textit{R. Frey}, Insur. Math. Econ. 101, 498--507 (2021; Zbl 1475.91353) Full Text: DOI arXiv
Benth, Fred Espen; Harang, Fabian A. Infinite dimensional pathwise Volterra processes driven by Gaussian noise – probabilistic properties and applications –. (English) Zbl 1491.60073 Electron. J. Probab. 26, Paper No. 114, 42 p. (2021). MSC: 60H05 60H20 45D05 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{F. A. Harang}, Electron. J. Probab. 26, Paper No. 114, 42 p. (2021; Zbl 1491.60073) Full Text: DOI arXiv
Bosserhoff, Frank; Stadje, Mitja Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (English) Zbl 1479.91306 Insur. Math. Econ. 100, 130-146 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G10 45K05 49L12 PDFBibTeX XMLCite \textit{F. Bosserhoff} and \textit{M. Stadje}, Insur. Math. Econ. 100, 130--146 (2021; Zbl 1479.91306) Full Text: DOI arXiv
Bian, Baojun; Hao, Chaoyang; Xu, Hong-Kun; Yuan, Quan Free boundary and retirement benefits pricing in a jump-diffusion model. (English) Zbl 1519.91207 J. Nonlinear Var. Anal. 5, No. 3, 353-370 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 35R35 60J74 91G80 49J40 45K05 PDFBibTeX XMLCite \textit{B. Bian} et al., J. Nonlinear Var. Anal. 5, No. 3, 353--370 (2021; Zbl 1519.91207) Full Text: DOI
Kim, Kyoung-Kuk; Lim, Dong-Young Static replication of barrier-type options via integral equations. (English) Zbl 1466.91343 Quant. Finance 21, No. 2, 281-294 (2021). MSC: 91G20 60G40 45D05 45E10 PDFBibTeX XMLCite \textit{K.-K. Kim} and \textit{D.-Y. Lim}, Quant. Finance 21, No. 2, 281--294 (2021; Zbl 1466.91343) Full Text: DOI Link
Schied, Alexander; Strehle, Elias On the minimizers of energy forms with completely monotone kernel. (English) Zbl 1461.49033 Appl. Math. Optim. 83, No. 1, 177-205 (2021). MSC: 49K21 49N60 45B05 31C15 26E05 26A51 26A48 91G80 PDFBibTeX XMLCite \textit{A. Schied} and \textit{E. Strehle}, Appl. Math. Optim. 83, No. 1, 177--205 (2021; Zbl 1461.49033) Full Text: DOI arXiv Backlinks: MO
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino Computing credit valuation adjustment solving coupled PIDEs in the Bates model. (English) Zbl 07304207 Comput. Manag. Sci. 17, No. 2, 163-178 (2020). MSC: 90Bxx 11K45 35R09 45K05 65M06 65M75 65Y20 PDFBibTeX XMLCite \textit{L. Goudenège} et al., Comput. Manag. Sci. 17, No. 2, 163--178 (2020; Zbl 07304207) Full Text: DOI arXiv HAL
Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio Affine Volterra processes. (English) Zbl 1441.60052 Ann. Appl. Probab. 29, No. 5, 3155-3200 (2019). MSC: 60H20 45D05 60G22 91G20 PDFBibTeX XMLCite \textit{E. A. Jaber} et al., Ann. Appl. Probab. 29, No. 5, 3155--3200 (2019; Zbl 1441.60052) Full Text: DOI arXiv
Abi Jaber, Eduardo; El Euch, Omar Markovian structure of the Volterra Heston model. (English) Zbl 1458.60078 Stat. Probab. Lett. 149, 63-72 (2019). MSC: 60H20 45D05 91G99 PDFBibTeX XMLCite \textit{E. Abi Jaber} and \textit{O. El Euch}, Stat. Probab. Lett. 149, 63--72 (2019; Zbl 1458.60078) Full Text: DOI arXiv Link
Kelbert, Mark; Moreno-Franco, Harold A. HJB equations with gradient constraint associated with controlled jump-diffusion processes. (English) Zbl 1420.49032 SIAM J. Control Optim. 57, No. 3, 2185-2213 (2019). MSC: 49L99 45K05 93E20 PDFBibTeX XMLCite \textit{M. Kelbert} and \textit{H. A. Moreno-Franco}, SIAM J. Control Optim. 57, No. 3, 2185--2213 (2019; Zbl 1420.49032) Full Text: DOI arXiv
Mudzimbabwe, Walter A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model. (English) Zbl 1419.49033 J. Comput. Appl. Math. 360, 55-61 (2019). MSC: 49L20 49K15 45J05 91B30 PDFBibTeX XMLCite \textit{W. Mudzimbabwe}, J. Comput. Appl. Math. 360, 55--61 (2019; Zbl 1419.49033) Full Text: DOI
Annunziato, Mario; Gottschalk, Hanno Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions. (English) Zbl 1488.93185 Math. Model. Anal. 23, No. 3, 390-413 (2018). MSC: 93E20 49K20 60G51 45K05 PDFBibTeX XMLCite \textit{M. Annunziato} and \textit{H. Gottschalk}, Math. Model. Anal. 23, No. 3, 390--413 (2018; Zbl 1488.93185) Full Text: DOI arXiv
Guardasoni, C. Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes). (English) Zbl 1393.65026 Commun. Appl. Ind. Math. 9, No. 1, Article ID 1413443, 26 p. (2018). MSC: 65M38 91G60 91G20 45D05 PDFBibTeX XMLCite \textit{C. Guardasoni}, Commun. Appl. Ind. Math. 9, No. 1, Article ID 1413443, 26 p. (2018; Zbl 1393.65026) Full Text: DOI
Albani, Vinicius; Ascher, Uri M.; Yang, Xu; Zubelli, Jorge P. Data driven recovery of local volatility surfaces. (English) Zbl 1368.45008 Inverse Probl. Imaging 11, No. 5, 799-823 (2017). MSC: 45Q05 97M30 65R32 PDFBibTeX XMLCite \textit{V. Albani} et al., Inverse Probl. Imaging 11, No. 5, 799--823 (2017; Zbl 1368.45008) Full Text: DOI arXiv
Bayraktar, Erhan; Nadtochiy, Sergey Weak reflection principle for Lévy processes. (English) Zbl 1330.60064 Ann. Appl. Probab. 25, No. 6, 3251-3294 (2015). MSC: 60G51 60J75 60J60 91G20 91G80 45Q05 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{S. Nadtochiy}, Ann. Appl. Probab. 25, No. 6, 3251--3294 (2015; Zbl 1330.60064) Full Text: DOI arXiv Euclid
Fodra, Pietro; Pham, Huyên High frequency trading and asymptotics for small risk aversion in a Markov renewal model. (English) Zbl 1336.60172 SIAM J. Financ. Math. 6, 656-684 (2015). MSC: 60K15 60J75 91G80 93E20 49J55 45J05 PDFBibTeX XMLCite \textit{P. Fodra} and \textit{H. Pham}, SIAM J. Financ. Math. 6, 656--684 (2015; Zbl 1336.60172) Full Text: DOI arXiv
Pagliarani, Stefano; Pascucci, Andrea Local stochastic volatility with jumps: analytical approximations. (English) Zbl 1293.91142 Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350050, 35 p. (2013). Reviewer: Martynas Manstavičius (Vilnius) MSC: 91B70 91G30 60G51 60E10 45K05 91G20 91G60 PDFBibTeX XMLCite \textit{S. Pagliarani} and \textit{A. Pascucci}, Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350050, 35 p. (2013; Zbl 1293.91142) Full Text: DOI
Gatheral, Jim; Schied, Alexander; Slynko, Alla Transient linear price impact and Fredholm integral equations. (English) Zbl 1278.91061 Math. Finance 22, No. 3, 445-474 (2012). MSC: 91B24 91G80 45B05 PDFBibTeX XMLCite \textit{J. Gatheral} et al., Math. Finance 22, No. 3, 445--474 (2012; Zbl 1278.91061) Full Text: DOI