Bandi, Federico M.; Pirino, Davide; Renò, Roberto Systematic staleness. (English) Zbl 07803923 J. Econom. 238, No. 1, Article ID 105522, 38 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. M. Bandi} et al., J. Econom. 238, No. 1, Article ID 105522, 38 p. (2024; Zbl 07803923) Full Text: DOI
Karimi, Nader; Salavati, Erfan; Assa, Hirbod; Adibi, Hojatollah A stochastic optimal stopping model for storable commodity prices. (English) Zbl 1525.60050 Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024). MSC: 60G40 91G05 91B24 62P20 PDFBibTeX XMLCite \textit{N. Karimi} et al., Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024; Zbl 1525.60050) Full Text: DOI
Ahmad, Jamaal; Bladt, Mogens Phase-type representations of stochastic interest rates with applications to life insurance. (English) Zbl 07807623 Eur. Actuar. J. 13, No. 2, 571-606 (2023). MSC: 91G05 91G30 62M05 PDFBibTeX XMLCite \textit{J. Ahmad} and \textit{M. Bladt}, Eur. Actuar. J. 13, No. 2, 571--606 (2023; Zbl 07807623) Full Text: DOI arXiv OA License
Okhrin, Ostap; Rockinger, Michael; Schmid, Manuel Distributional properties of continuous time processes: from CIR to bates. (English) Zbl 07765565 AStA, Adv. Stat. Anal. 107, No. 3, 397-419 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{O. Okhrin} et al., AStA, Adv. Stat. Anal. 107, No. 3, 397--419 (2023; Zbl 07765565) Full Text: DOI OA License
Pasiouras, Alexandros M.; Burnetas, Apostolos N.; Yannacopoulos, Athanasios N. Bayesian inversion techniques for stochastic partial differential equations. (English) Zbl 07759645 J. Ind. Manag. Optim. 19, No. 12, 8558-8589 (2023). MSC: 60H35 60H15 91G30 62C10 60H50 65J22 91G60 PDFBibTeX XMLCite \textit{A. M. Pasiouras} et al., J. Ind. Manag. Optim. 19, No. 12, 8558--8589 (2023; Zbl 07759645) Full Text: DOI
Jiang, Le; Xu, Chenglong A new options pricing method: semi-stochastic kernel regression method with constraints. (English) Zbl 07727808 Int. J. Comput. Math. 100, No. 8, 1809-1820 (2023). MSC: 65C05 60H35 65C20 62P05 PDFBibTeX XMLCite \textit{L. Jiang} and \textit{C. Xu}, Int. J. Comput. Math. 100, No. 8, 1809--1820 (2023; Zbl 07727808) Full Text: DOI
Buonaguidi, Bruno Finite horizon sequential detection with exponential penalty for the delay. (English) Zbl 1515.60108 J. Optim. Theory Appl. 198, No. 1, 224-238 (2023). MSC: 60G40 62L10 60J65 62C10 60H30 PDFBibTeX XMLCite \textit{B. Buonaguidi}, J. Optim. Theory Appl. 198, No. 1, 224--238 (2023; Zbl 1515.60108) Full Text: DOI
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian volatility learning under microstructure noise. (English) Zbl 1516.62084 Jpn. J. Stat. Data Sci. 6, No. 1, 551-571 (2023). MSC: 62P05 62G20 62M05 62-08 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., Jpn. J. Stat. Data Sci. 6, No. 1, 551--571 (2023; Zbl 1516.62084) Full Text: DOI arXiv
Barczy, Mátyás; Dudás, Ádám; Gáll, József On approximations of value at risk and expected shortfall involving kurtosis. (English) Zbl 07713653 Commun. Stat., Simulation Comput. 52, No. 3, 770-794 (2023). MSC: 91G70 60E05 62E17 PDFBibTeX XMLCite \textit{M. Barczy} et al., Commun. Stat., Simulation Comput. 52, No. 3, 770--794 (2023; Zbl 07713653) Full Text: DOI arXiv
Shan, Yuanchuang; Yi, Haoran; Zhang, Xuekang; Shu, Huisheng Option pricing under a Markov-modulated Merton jump-diffusion dividend. (English) Zbl 07706291 Commun. Stat., Theory Methods 52, No. 5, 1490-1506 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Shan} et al., Commun. Stat., Theory Methods 52, No. 5, 1490--1506 (2023; Zbl 07706291) Full Text: DOI
Yin, Kai; Mondal, Anirban Bayesian uncertainty quantification of local volatility model. (English) Zbl 07705117 Sankhyā, Ser. B 85, No. 1, Suppl., S290-S324 (2023). MSC: 62F15 91B28 60G15 65C05 65D25 PDFBibTeX XMLCite \textit{K. Yin} and \textit{A. Mondal}, Sankhyā, Ser. B 85, No. 1, S290--S324 (2023; Zbl 07705117) Full Text: DOI arXiv
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, Steven ETF basket-adjusted covariance estimation. (English) Zbl 07704487 J. Econom. 235, No. 2, 1144-1171 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Boudt} et al., J. Econom. 235, No. 2, 1144--1171 (2023; Zbl 07704487) Full Text: DOI
Abbaspour, Manijeh; Vajargah, Kianoush Fathi; Azhdari, Parvin An efficient algorithm for pricing reinsurance contract under the regime-switching model. (English) Zbl 07704408 Math. Comput. Simul. 211, 278-300 (2023). MSC: 91-XX 62-XX PDFBibTeX XMLCite \textit{M. Abbaspour} et al., Math. Comput. Simul. 211, 278--300 (2023; Zbl 07704408) Full Text: DOI
Ma, Yong; Chen, Li; Lyu, Jianping Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility. (English) Zbl 07702493 Commun. Stat., Theory Methods 52, No. 7, 2043-2056 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Ma} et al., Commun. Stat., Theory Methods 52, No. 7, 2043--2056 (2023; Zbl 07702493) Full Text: DOI
Kim, Sunggon; Yu, Jisu Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk. (English) Zbl 1519.91277 Ann. Oper. Res. 322, No. 2, 819-849 (2023). MSC: 91G40 91G10 91G60 65C05 62P05 PDFBibTeX XMLCite \textit{S. Kim} and \textit{J. Yu}, Ann. Oper. Res. 322, No. 2, 819--849 (2023; Zbl 1519.91277) Full Text: DOI
Fuhrmann, Sven; Kupper, Michael; Nendel, Max Wasserstein perturbations of Markovian transition semigroups. (English) Zbl 1516.60045 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 904-932 (2023). MSC: 60J35 47H20 60G65 62G35 90C31 PDFBibTeX XMLCite \textit{S. Fuhrmann} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 2, 904--932 (2023; Zbl 1516.60045) Full Text: DOI arXiv
De Castro, Luciano; Costa, Bruno N.; Galvao, Antonio F.; Zubelli, Jorge P. Conditional quantiles: an operator-theoretical approach. (English) Zbl 07691586 Bernoulli 29, No. 3, 2392-2416 (2023). MSC: 62-XX 47-XX PDFBibTeX XMLCite \textit{L. De Castro} et al., Bernoulli 29, No. 3, 2392--2416 (2023; Zbl 07691586) Full Text: DOI Link
Glover, Kristoffer With or without replacement? Sampling uncertainty in Shepp’s urn scheme. (English) Zbl 1516.60025 J. Appl. Probab. 60, No. 2, 661-675 (2023). MSC: 60G40 91G20 60J65 62L15 PDFBibTeX XMLCite \textit{K. Glover}, J. Appl. Probab. 60, No. 2, 661--675 (2023; Zbl 1516.60025) Full Text: DOI arXiv
Sanford, Anthony State price density estimation with an application to the recovery theorem. (English) Zbl 07681762 Stud. Nonlinear Dyn. Econom. 27, No. 1, 97-115 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Sanford}, Stud. Nonlinear Dyn. Econom. 27, No. 1, 97--115 (2023; Zbl 07681762) Full Text: DOI
Gkillas, Konstantinos; Gupta, Rangan; Vortelinos, Dimitrios I. Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (English) Zbl 07681758 Stud. Nonlinear Dyn. Econom. 27, No. 1, 25-47 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Gkillas} et al., Stud. Nonlinear Dyn. Econom. 27, No. 1, 25--47 (2023; Zbl 07681758) Full Text: DOI
Lindwall, Gustav; Gerlee, Philip Fast and precise inference on diffusivity in interacting particle systems. (English) Zbl 1511.92017 J. Math. Biol. 86, No. 5, Paper No. 64, 19 p. (2023). MSC: 92C32 92C37 60H10 60J70 62F15 PDFBibTeX XMLCite \textit{G. Lindwall} and \textit{P. Gerlee}, J. Math. Biol. 86, No. 5, Paper No. 64, 19 p. (2023; Zbl 1511.92017) Full Text: DOI
Mercier, Sophie; Sangüesa, Carmen A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process. (English) Zbl 1503.60055 Metrika 86, No. 1, 91-129 (2023). MSC: 60G51 60G55 62H05 PDFBibTeX XMLCite \textit{S. Mercier} and \textit{C. Sangüesa}, Metrika 86, No. 1, 91--129 (2023; Zbl 1503.60055) Full Text: DOI
Metel, Michael R.; Takeda, Akiko Perturbed iterate SGD for Lipschitz continuous loss functions. (English) Zbl 07612884 J. Optim. Theory Appl. 195, No. 2, 504-547 (2022). MSC: 62L20 68Q25 90C15 90C26 PDFBibTeX XMLCite \textit{M. R. Metel} and \textit{A. Takeda}, J. Optim. Theory Appl. 195, No. 2, 504--547 (2022; Zbl 07612884) Full Text: DOI arXiv
Bianchi, Michele Leonardo Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (English) Zbl 1497.91315 Commun. Stat., Simulation Comput. 51, No. 7, 3685-3713 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{M. L. Bianchi}, Commun. Stat., Simulation Comput. 51, No. 7, 3685--3713 (2022; Zbl 1497.91315) Full Text: DOI arXiv
Cheng, Ming; Konstantinides, Dimitrios G.; Wang, Dingcheng Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims. (English) Zbl 1510.91142 Appl. Math. Comput. 434, Article ID 127436, 18 p. (2022). MSC: 91G05 60K10 62P05 PDFBibTeX XMLCite \textit{M. Cheng} et al., Appl. Math. Comput. 434, Article ID 127436, 18 p. (2022; Zbl 1510.91142) Full Text: DOI
Zhou, Congjin; Wang, Guojing; Liu, Liang; Guo, Jie Valuation of mortgage pass-through securities with partial prepayment risk. (English) Zbl 07565481 Commun. Stat., Theory Methods 51, No. 15, 5124-5145 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Zhou} et al., Commun. Stat., Theory Methods 51, No. 15, 5124--5145 (2022; Zbl 07565481) Full Text: DOI
Madan, Dilip B.; Wang, King Stationary increments reverting to a tempered fractional Lévy process (TFLP). (English) Zbl 07562216 Quant. Finance 22, No. 7, 1391-1404 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Quant. Finance 22, No. 7, 1391--1404 (2022; Zbl 07562216) Full Text: DOI
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 PDFBibTeX XMLCite \textit{W. Li} et al., Commun. Stat., Simulation Comput. 51, No. 5, 2095--2109 (2022; Zbl 07545854) Full Text: DOI
Surya, Budhi Arta Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path. (English) Zbl 1521.62103 J. Multivariate Anal. 191, Article ID 105021, 17 p. (2022). MSC: 62H30 60J20 60J27 62H05 PDFBibTeX XMLCite \textit{B. A. Surya}, J. Multivariate Anal. 191, Article ID 105021, 17 p. (2022; Zbl 1521.62103) Full Text: DOI
Bishwal, Jaya P. N. Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates. (English) Zbl 1492.91392 Monte Carlo Methods Appl. 28, No. 2, 111-124 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{J. P. N. Bishwal}, Monte Carlo Methods Appl. 28, No. 2, 111--124 (2022; Zbl 1492.91392) Full Text: DOI
Gao, Rui; Li, Yaqiong; Bai, Yanfei Numerical pricing of exchange option with stock liquidity under Bayesian statistical method. (English) Zbl 07535593 Commun. Stat., Theory Methods 51, No. 10, 3312-3333 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{R. Gao} et al., Commun. Stat., Theory Methods 51, No. 10, 3312--3333 (2022; Zbl 07535593) Full Text: DOI
Venter, Pierre J.; Maré, Eben Pricing collateralised options in the presence of counterparty credit risk: an extension of the Heston-Nandi model. (English) Zbl 1499.62393 S. Afr. Stat. J. 56, No. 1, 37-51 (2022). MSC: 62P05 91G20 91G40 PDFBibTeX XMLCite \textit{P. J. Venter} and \textit{E. Maré}, S. Afr. Stat. J. 56, No. 1, 37--51 (2022; Zbl 1499.62393) Full Text: DOI
Barigou, Karim; Bignozzi, Valeria; Tsanakas, Andreas Insurance valuation: A two-step generalised regression approach. (English) Zbl 1484.91371 ASTIN Bull. 52, No. 1, 211-245 (2022). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{K. Barigou} et al., ASTIN Bull. 52, No. 1, 211--245 (2022; Zbl 1484.91371) Full Text: DOI arXiv Link
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf Copula-based Black-Litterman portfolio optimization. (English) Zbl 1490.91193 Eur. J. Oper. Res. 297, No. 3, 1055-1070 (2022). MSC: 91G10 62P05 62H05 91G70 PDFBibTeX XMLCite \textit{M. Sahamkhadam} et al., Eur. J. Oper. Res. 297, No. 3, 1055--1070 (2022; Zbl 1490.91193) Full Text: DOI
Verdier, Hippolyte; Duval, Maxime; Laurent, François; Cassé, Alhassan; Vestergaard, Christian L.; Masson, Jean-Baptiste Learning physical properties of anomalous random walks using graph neural networks. (English) Zbl 1519.82048 J. Phys. A, Math. Theor. 54, No. 23, Article ID 234001, 23 p. (2021). MSC: 82B41 68T07 60G50 60K50 62M09 PDFBibTeX XMLCite \textit{H. Verdier} et al., J. Phys. A, Math. Theor. 54, No. 23, Article ID 234001, 23 p. (2021; Zbl 1519.82048) Full Text: DOI arXiv
Cordoni, Francesco; Di Persio, Luca Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate. (English) Zbl 1499.91168 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 47-57 (2021). MSC: 91G60 60H15 62H30 91G30 PDFBibTeX XMLCite \textit{F. Cordoni} and \textit{L. Di Persio}, Springer Proc. Math. Stat. 378, 47--57 (2021; Zbl 1499.91168) Full Text: DOI
Liu, Yue; Yang, Aijun; Lin, Jinguan; Yao, Jingjing A new method of valuing American options based on Brownian models. (English) Zbl 07532173 Commun. Stat., Theory Methods 50, No. 20, 4809-4821 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Liu} et al., Commun. Stat., Theory Methods 50, No. 20, 4809--4821 (2021; Zbl 07532173) Full Text: DOI
Guo, Jie; Qian, Xiaosong; Wang, Guojing Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model. (English) Zbl 07530957 Commun. Stat., Theory Methods 50, No. 9, 2117-2135 (2021). MSC: 60J27 91G20 91G40 91B30 62-XX PDFBibTeX XMLCite \textit{J. Guo} et al., Commun. Stat., Theory Methods 50, No. 9, 2117--2135 (2021; Zbl 07530957) Full Text: DOI
Pakes, Anthony G. Structural properties of generalised Planck distributions. (English) Zbl 1486.60028 J. Stat. Distrib. Appl. 8, Paper No. 12, 33 p. (2021). MSC: 60E05 62E10 60E07 60J60 92D10 PDFBibTeX XMLCite \textit{A. G. Pakes}, J. Stat. Distrib. Appl. 8, Paper No. 12, 33 p. (2021; Zbl 1486.60028) Full Text: DOI
Duarte-López, Ariel; Pérez-Casany, Marta; Valero, Jordi Randomly stopped extreme Zipf extensions. (English) Zbl 1479.60026 Extremes 24, No. 4, 915-948 (2021). MSC: 60E05 62E99 PDFBibTeX XMLCite \textit{A. Duarte-López} et al., Extremes 24, No. 4, 915--948 (2021; Zbl 1479.60026) Full Text: DOI
Wang, Junyang; Cockayne, Jon; Chkrebtii, Oksana; Sullivan, T. J.; Oates, Chris. J. Bayesian numerical methods for nonlinear partial differential equations. (English) Zbl 1475.62064 Stat. Comput. 31, No. 5, Paper No. 55, 20 p. (2021). MSC: 62-08 PDFBibTeX XMLCite \textit{J. Wang} et al., Stat. Comput. 31, No. 5, Paper No. 55, 20 p. (2021; Zbl 1475.62064) Full Text: DOI arXiv
Albanese, Claudio; Crépey, Stéphane; Hoskinson, Rodney; Saadeddine, Bouazza XVA analysis from the balance sheet. (English) Zbl 1479.91387 Quant. Finance 21, No. 1, 99-123 (2021). MSC: 91G20 91G10 62G08 68T07 PDFBibTeX XMLCite \textit{C. Albanese} et al., Quant. Finance 21, No. 1, 99--123 (2021; Zbl 1479.91387) Full Text: DOI arXiv
Madan, Dilip B.; Wang, King Correlated squared returns. (English) Zbl 1477.62300 Probab. Uncertain. Quant. Risk 6, No. 2, 139-158 (2021). MSC: 62P05 62M10 62H20 91B84 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Probab. Uncertain. Quant. Risk 6, No. 2, 139--158 (2021; Zbl 1477.62300) Full Text: DOI
Benedetti, Davide; Biffis, Enrico; Chatzimichalakis, Fotis; Fedele, Luciano Lilloy; Simm, Ian Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy. (English) Zbl 1476.91139 Ann. Oper. Res. 299, No. 1-2, 847-871 (2021). MSC: 91G10 91B76 62P05 PDFBibTeX XMLCite \textit{D. Benedetti} et al., Ann. Oper. Res. 299, No. 1--2, 847--871 (2021; Zbl 1476.91139) Full Text: DOI
Cretarola, Alessandra; Figà-Talamanca, Gianna Detecting bubbles in bitcoin price dynamics via market exuberance. (English) Zbl 1476.91198 Ann. Oper. Res. 299, No. 1-2, 459-479 (2021). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{A. Cretarola} and \textit{G. Figà-Talamanca}, Ann. Oper. Res. 299, No. 1--2, 459--479 (2021; Zbl 1476.91198) Full Text: DOI
Elliott, Robert J.; Madan, Dilip B.; Wang, King Filtering response directions. (English) Zbl 1476.91182 SIAM J. Financ. Math. 12, No. 3, 1285-1306 (2021). MSC: 91G20 62P05 62M20 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., SIAM J. Financ. Math. 12, No. 3, 1285--1306 (2021; Zbl 1476.91182) Full Text: DOI
Sun, Zhongyang Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon. (English) Zbl 1476.62230 Appl. Math. Optim. 84, Suppl. 1, S319-S353 (2021). MSC: 62P05 62M07 60J65 93E20 PDFBibTeX XMLCite \textit{Z. Sun}, Appl. Math. Optim. 84, S319--S353 (2021; Zbl 1476.62230) Full Text: DOI
Zhu, Xujia; Sudret, Bruno Emulation of stochastic simulators using generalized lambda models. (English) Zbl 1473.62063 SIAM/ASA J. Uncertain. Quantif. 9, 1345-1380 (2021). MSC: 62E17 62F99 68Q10 68T37 PDFBibTeX XMLCite \textit{X. Zhu} and \textit{B. Sudret}, SIAM/ASA J. Uncertain. Quantif. 9, 1345--1380 (2021; Zbl 1473.62063) Full Text: DOI arXiv
Freimann, Arne Pricing longevity-linked securities in the presence of mortality trend changes. (English) Zbl 1475.91298 ASTIN Bull. 51, No. 2, 411-447 (2021). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G05 91G30 62P10 PDFBibTeX XMLCite \textit{A. Freimann}, ASTIN Bull. 51, No. 2, 411--447 (2021; Zbl 1475.91298) Full Text: DOI
Valjarević, D.; Petrović, Lj. Causality between stopped filtrations and some applications. (English) Zbl 1469.60130 J. Contemp. Math. Anal., Armen. Acad. Sci. 56, No. 3, 134-142 (2021) and Izv. Nats. Akad. Nauk Armen., Mat. 56, No. 3, 79-91 (2021). MSC: 60G44 60H07 60H10 62P20 PDFBibTeX XMLCite \textit{D. Valjarević} and \textit{Lj. Petrović}, J. Contemp. Math. Anal., Armen. Acad. Sci. 56, No. 3, 134--142 (2021; Zbl 1469.60130) Full Text: DOI
He, Jian; Khedher, Asma; Spreij, Peter A Kalman particle filter for online parameter estimation with applications to affine models. (English) Zbl 1471.62476 Stat. Inference Stoch. Process. 24, No. 2, 353-403 (2021). MSC: 62M20 62P05 65C35 93E11 PDFBibTeX XMLCite \textit{J. He} et al., Stat. Inference Stoch. Process. 24, No. 2, 353--403 (2021; Zbl 1471.62476) Full Text: DOI arXiv
Birrell, Jeremiah; Katsoulakis, Markos A.; Rey-Bellet, Luc Quantification of model uncertainty on path-space via goal-oriented relative entropy. (English) Zbl 1472.62042 ESAIM, Math. Model. Numer. Anal. 55, No. 1, 131-169 (2021). MSC: 62F35 62B10 60G40 60J60 60K20 93E20 91G20 94A17 PDFBibTeX XMLCite \textit{J. Birrell} et al., ESAIM, Math. Model. Numer. Anal. 55, No. 1, 131--169 (2021; Zbl 1472.62042) Full Text: DOI arXiv
Holmes, Mark; Kojadinovic, Ivan Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic. (English) Zbl 1471.62341 Electron. J. Stat. 15, No. 1, 2288-2335 (2021). MSC: 62G10 62L12 PDFBibTeX XMLCite \textit{M. Holmes} and \textit{I. Kojadinovic}, Electron. J. Stat. 15, No. 1, 2288--2335 (2021; Zbl 1471.62341) Full Text: DOI arXiv
Kojadinovic, Ivan; Verdier, Ghislain Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions. (English) Zbl 1471.62467 Electron. J. Stat. 15, No. 1, 773-829 (2021). MSC: 62M10 62L12 62H15 62G09 62G10 62E20 62P05 PDFBibTeX XMLCite \textit{I. Kojadinovic} and \textit{G. Verdier}, Electron. J. Stat. 15, No. 1, 773--829 (2021; Zbl 1471.62467) Full Text: DOI arXiv
Kharin, Yuriy; Voloshko, Valeriy Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies. (English) Zbl 1470.62131 J. Multivariate Anal. 185, Article ID 104777, 17 p. (2021). MSC: 62M10 62M05 62H12 62-08 62F10 62F12 62F35 PDFBibTeX XMLCite \textit{Y. Kharin} and \textit{V. Voloshko}, J. Multivariate Anal. 185, Article ID 104777, 17 p. (2021; Zbl 1470.62131) Full Text: DOI
Nadarajah, Saralees; Kwong, Hok Shing; Tank, Fatih Compound sum distributions with dependence. (English) Zbl 1471.62260 Statistics 55, No. 2, 409-425 (2021). Reviewer: Fraser Daly (Edinburgh) MSC: 62E15 60E05 62P20 PDFBibTeX XMLCite \textit{S. Nadarajah} et al., Statistics 55, No. 2, 409--425 (2021; Zbl 1471.62260) Full Text: DOI
Jiang, Ting-ting; Qian, Xiao-song; Yuan, George Xian-zhi Counterparty risk valuation on credit-linked notes under a Markov chain framework. (English) Zbl 1474.91230 Appl. Math., Ser. B (Engl. Ed.) 36, No. 1, 31-50 (2021). MSC: 91G40 62P05 PDFBibTeX XMLCite \textit{T.-t. Jiang} et al., Appl. Math., Ser. B (Engl. Ed.) 36, No. 1, 31--50 (2021; Zbl 1474.91230) Full Text: DOI
Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S. CVA and vulnerable options in stochastic volatility models. (English) Zbl 1467.62163 Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150010, 34 p. (2021). MSC: 62P05 62H20 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{E. Alòs} et al., Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150010, 34 p. (2021; Zbl 1467.62163) Full Text: DOI arXiv
Garcin, Matthieu; Goulet, Clément Non-parametric news impact curve: a variational approach. (English) Zbl 1497.91290 Soft Comput. 24, No. 18, 13797-13812 (2020). MSC: 91G15 62P05 PDFBibTeX XMLCite \textit{M. Garcin} and \textit{C. Goulet}, Soft Comput. 24, No. 18, 13797--13812 (2020; Zbl 1497.91290) Full Text: DOI Link
Tahmasebi, Maryam; Yari, Gholam Hossein Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process. (English) Zbl 1490.60116 Stochastics 92, No. 4, 595-612 (2020). MSC: 60G51 60G57 62B10 PDFBibTeX XMLCite \textit{M. Tahmasebi} and \textit{G. H. Yari}, Stochastics 92, No. 4, 595--612 (2020; Zbl 1490.60116) Full Text: DOI
Boiquaye, Perpetual Andam On pricing American put option on a fixed term: a Monte Carlo approach. (English) Zbl 07500173 Adv. Data Sci. Adapt. Anal. 12, No. 3-4, Article ID 2050010, 11 p. (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{P. A. Boiquaye}, Adv. Data Sci. Adapt. Anal. 12, No. 3--4, Article ID 2050010, 11 p. (2020; Zbl 07500173) Full Text: DOI
Hassani, Hossein; Yeganegi, Mohammad Reza; Cuñado, Juncal; Gupta, Rangan Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data. (English) Zbl 1521.62355 J. Appl. Stat. 47, No. 6, 1128-1143 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{H. Hassani} et al., J. Appl. Stat. 47, No. 6, 1128--1143 (2020; Zbl 1521.62355) Full Text: DOI
Melnykova, Anna Parametric inference for hypoelliptic ergodic diffusions with full observations. (English) Zbl 1465.62047 Stat. Inference Stoch. Process. 23, No. 3, 595-635 (2020). MSC: 62F03 62M05 60J60 62P10 PDFBibTeX XMLCite \textit{A. Melnykova}, Stat. Inference Stoch. Process. 23, No. 3, 595--635 (2020; Zbl 1465.62047) Full Text: DOI arXiv HAL
Jiménez-Gamero, M. Dolores; Lee, Sangyeol; Meintanis, Simos G. Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. (English) Zbl 1458.62201 Test 29, No. 3, 682-703 (2020). MSC: 62M10 62G10 62G20 62P05 PDFBibTeX XMLCite \textit{M. D. Jiménez-Gamero} et al., Test 29, No. 3, 682--703 (2020; Zbl 1458.62201) Full Text: DOI
Gushchin, A. A.; Leshchenko, S. S. Testing hypotheses for measures with different masses: four optimization problems. (English) Zbl 1456.62028 Theory Probab. Math. Stat. 101, 109-117 (2020) and Teor. Jmovirn. Mat. Stat. 101, 98-105 (2019). MSC: 62F03 62G10 PDFBibTeX XMLCite \textit{A. A. Gushchin} and \textit{S. S. Leshchenko}, Theory Probab. Math. Stat. 101, 109--117 (2020; Zbl 1456.62028) Full Text: DOI
Kalaycı, Betül; Özmen, Ayşe; Weber, Gerhard-Wilhelm Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS. (English) Zbl 1455.91237 Ann. Oper. Res. 295, No. 1, 183-206 (2020). MSC: 91G10 62P05 62H10 60H10 PDFBibTeX XMLCite \textit{B. Kalaycı} et al., Ann. Oper. Res. 295, No. 1, 183--206 (2020; Zbl 1455.91237) Full Text: DOI
Maciak, Matúš; Pešta, Michal; Vitali, Sebastiano Implied volatility surface estimation via quantile regularization. (English) Zbl 1455.62204 Maciak, Matúš (ed.) et al., Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16–19, 2019. Cham: Springer. Springer Proc. Math. Stat. 329, 73-87 (2020). MSC: 62P05 62D20 62G08 62J07 PDFBibTeX XMLCite \textit{M. Maciak} et al., Springer Proc. Math. Stat. 329, 73--87 (2020; Zbl 1455.62204) Full Text: DOI
Frahm, Gabriel Statistical properties of estimators for the log-optimal portfolio. (English) Zbl 1454.91219 Math. Methods Oper. Res. 92, No. 1, 1-32 (2020). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{G. Frahm}, Math. Methods Oper. Res. 92, No. 1, 1--32 (2020; Zbl 1454.91219) Full Text: DOI
Perelló, Josep; Montero, Miquel; Masoliver, Jaume; Farmer, J. Doyne; Geanakoplos, John Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation. (English) Zbl 1456.91124 J. Stat. Mech. Theory Exp. 2020, No. 4, Article ID 043210, 21 p. (2020). MSC: 91G30 62P05 91B76 PDFBibTeX XMLCite \textit{J. Perelló} et al., J. Stat. Mech. Theory Exp. 2020, No. 4, Article ID 043210, 21 p. (2020; Zbl 1456.91124) Full Text: DOI arXiv
Albano, G.; Giorno, V.; Román-Román, P.; Román-Román, S.; Serrano-Pérez, J. J.; Torres-Ruiz, F. Inference on an heteroscedastic Gompertz tumor growth model. (English) Zbl 1453.92127 Math. Biosci. 328, Article ID 108428, 13 p. (2020). MSC: 92C50 62P10 PDFBibTeX XMLCite \textit{G. Albano} et al., Math. Biosci. 328, Article ID 108428, 13 p. (2020; Zbl 1453.92127) Full Text: DOI
Sala, Carlo; Barone-Adesi, Giovanni Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set. (English) Zbl 1445.91064 Stochastic Anal. Appl. 38, No. 4, 686-707 (2020). MSC: 91G20 60G44 62P05 PDFBibTeX XMLCite \textit{C. Sala} and \textit{G. Barone-Adesi}, Stochastic Anal. Appl. 38, No. 4, 686--707 (2020; Zbl 1445.91064) Full Text: DOI
Devineau, Laurent; Arrouy, Pierre-Edouard; Bonnefoy, Paul; Boumezoued, Alexandre Fast calibration of the libor market model with stochastic volatility and displaced diffusion. (English) Zbl 1449.60125 J. Ind. Manag. Optim. 16, No. 4, 1699-1729 (2020). MSC: 60J70 62P05 91G20 91G60 PDFBibTeX XMLCite \textit{L. Devineau} et al., J. Ind. Manag. Optim. 16, No. 4, 1699--1729 (2020; Zbl 1449.60125) Full Text: DOI arXiv
Shoude, Huang; Guo, Xunxiang A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate. (English) Zbl 1459.91205 Discrete Dyn. Nat. Soc. 2020, Article ID 8531959, 8 p. (2020). MSC: 91G20 91G60 62P05 PDFBibTeX XMLCite \textit{H. Shoude} and \textit{X. Guo}, Discrete Dyn. Nat. Soc. 2020, Article ID 8531959, 8 p. (2020; Zbl 1459.91205) Full Text: DOI
Ortiz-Gracia, Luis Expected shortfall computation with multiple control variates. (English) Zbl 1433.91195 Appl. Math. Comput. 373, Article ID 125018, 16 p. (2020). MSC: 91G60 62P05 65C05 91G10 91G70 PDFBibTeX XMLCite \textit{L. Ortiz-Gracia}, Appl. Math. Comput. 373, Article ID 125018, 16 p. (2020; Zbl 1433.91195) Full Text: DOI
Ackerer, Damien; Filipović, Damir Linear credit risk models. (English) Zbl 1445.91066 Finance Stoch. 24, No. 1, 169-214 (2020). Reviewer: John O’Hara (Colchester) MSC: 91G40 91G20 91G60 62P05 62N02 PDFBibTeX XMLCite \textit{D. Ackerer} and \textit{D. Filipović}, Finance Stoch. 24, No. 1, 169--214 (2020; Zbl 1445.91066) Full Text: DOI arXiv
Hsu, Yu-Sheng; Wu, Cheng-Hsun Extended Black and Scholes model under bankruptcy risk. (English) Zbl 1427.91275 J. Math. Anal. Appl. 482, No. 2, Article ID 123564, 22 p. (2020). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{Y.-S. Hsu} and \textit{C.-H. Wu}, J. Math. Anal. Appl. 482, No. 2, Article ID 123564, 22 p. (2020; Zbl 1427.91275) Full Text: DOI
Duarte-López, Ariel; Pérez-Casany, Marta; Valero, Jordi The Zipf-Poisson-stopped-sum distribution with an application for modeling the degree sequence of social networks. (English) Zbl 1510.62110 Comput. Stat. Data Anal. 143, Article ID 106838, 16 p. (2020). MSC: 62E10 60E05 91D30 PDFBibTeX XMLCite \textit{A. Duarte-López} et al., Comput. Stat. Data Anal. 143, Article ID 106838, 16 p. (2020; Zbl 1510.62110) Full Text: DOI
Gao, Rui; Li, Yaqiong; Lin, Lisha Bayesian statistical inference for European options with stock liquidity. (English) Zbl 1514.62205 Physica A 518, 312-322 (2019). MSC: 62P05 62F15 91G60 PDFBibTeX XMLCite \textit{R. Gao} et al., Physica A 518, 312--322 (2019; Zbl 1514.62205) Full Text: DOI
Zhou, Qing; Li, Xiaonan Vulnerable options pricing under uncertain volatility model. (English) Zbl 1499.91153 J. Inequal. Appl. 2019, Paper No. 315, 16 p. (2019). MSC: 91G20 91G60 60H30 62P05 93E20 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{X. Li}, J. Inequal. Appl. 2019, Paper No. 315, 16 p. (2019; Zbl 1499.91153) Full Text: DOI
Chen, Cathy W. S.; Than-Thi, Hong; So, Mike K. P. On hysteretic vector autoregressive model with applications. (English) Zbl 07193720 J. Stat. Comput. Simulation 89, No. 2, 191-210 (2019). MSC: 62F15 37M10 62P20 PDFBibTeX XMLCite \textit{C. W. S. Chen} et al., J. Stat. Comput. Simulation 89, No. 2, 191--210 (2019; Zbl 07193720) Full Text: DOI
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes The robust superreplication problem: a dynamic approach. (English) Zbl 1435.91182 SIAM J. Financ. Math. 10, No. 4, 907-941 (2019); erratum ibid. 13, No. 2, 653-655 (2022). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G15 62P05 60B05 PDFBibTeX XMLCite \textit{L. Carassus} et al., SIAM J. Financ. Math. 10, No. 4, 907--941 (2019; Zbl 1435.91182) Full Text: DOI arXiv Link
Stupfler, Gilles On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails. (English) Zbl 1434.62039 Extremes 22, No. 4, 749-769 (2019). MSC: 62G05 62G20 62G30 62G32 60F05 PDFBibTeX XMLCite \textit{G. Stupfler}, Extremes 22, No. 4, 749--769 (2019; Zbl 1434.62039) Full Text: DOI
Nichil, Geoffrey; Vallois, Pierre Solvency need resulting from reserving risk in a ORSA context. (English) Zbl 1452.91278 Methodol. Comput. Appl. Probab. 21, No. 2, 567-592 (2019). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Nichil} and \textit{P. Vallois}, Methodol. Comput. Appl. Probab. 21, No. 2, 567--592 (2019; Zbl 1452.91278) Full Text: DOI
Paolella, Marc S.; Polak, Paweł; Walker, Patrick S. Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (English) Zbl 1456.62254 J. Econom. 213, No. 2, 493-515 (2019). MSC: 62P05 62M10 91G70 PDFBibTeX XMLCite \textit{M. S. Paolella} et al., J. Econom. 213, No. 2, 493--515 (2019; Zbl 1456.62254) Full Text: DOI
Fergusson, K. Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure. (English) Zbl 1426.91216 Scand. Actuar. J. 2019, No. 10, 867-902 (2019). MSC: 91G05 62P05 91G20 91G30 PDFBibTeX XMLCite \textit{K. Fergusson}, Scand. Actuar. J. 2019, No. 10, 867--902 (2019; Zbl 1426.91216) Full Text: DOI Link
Jevtić, Petar; Regis, Luca A continuous-time stochastic model for the mortality surface of multiple populations. (English) Zbl 1425.91226 Insur. Math. Econ. 88, 181-195 (2019). MSC: 91B30 62P05 91D20 93E11 PDFBibTeX XMLCite \textit{P. Jevtić} and \textit{L. Regis}, Insur. Math. Econ. 88, 181--195 (2019; Zbl 1425.91226) Full Text: DOI Link
Duong, Quang Dien Application of Bayesian penalized spline regression for internal modeling in life insurance. (English) Zbl 1422.91342 Eur. Actuar. J. 9, No. 1, 67-107 (2019). MSC: 91B30 62P05 62G08 PDFBibTeX XMLCite \textit{Q. D. Duong}, Eur. Actuar. J. 9, No. 1, 67--107 (2019; Zbl 1422.91342) Full Text: DOI
Mykland, Per Aslak Combining statistical intervals and market prices: the worst case state price distribution. (English) Zbl 1452.91311 J. Econom. 212, No. 1, 272-285 (2019). MSC: 91G20 60H30 62P05 91G70 PDFBibTeX XMLCite \textit{P. A. Mykland}, J. Econom. 212, No. 1, 272--285 (2019; Zbl 1452.91311) Full Text: DOI
Tian, Ding-shi; Cai, Zong-wu; Fang, Ying Econometric modeling of risk measures: a selective review of the recent literature. (English) Zbl 1438.62159 Appl. Math., Ser. B (Engl. Ed.) 34, No. 2, 205-228 (2019). MSC: 62M10 62-02 62G08 91B84 91B05 PDFBibTeX XMLCite \textit{D.-s. Tian} et al., Appl. Math., Ser. B (Engl. Ed.) 34, No. 2, 205--228 (2019; Zbl 1438.62159) Full Text: DOI Link
Bénézet, Cyril; Bonnefoy, Jérémie; Chassagneux, Jean-François; Deng, Shuoqing; Garcia Trillos, Camilo; Lenôtre, Lionel A sparse grid approach to balance sheet risk measurement. (English) Zbl 1417.91548 ESAIM, Proc. Surv. 65, 236-265 (2019). MSC: 91G60 65D05 91B30 62P05 PDFBibTeX XMLCite \textit{C. Bénézet} et al., ESAIM, Proc. Surv. 65, 236--265 (2019; Zbl 1417.91548) Full Text: DOI arXiv
Cousin, A.; Janon, A.; Maume-Deschamps, V.; Niang, I. On the consistency of Sobol indices with respect to stochastic ordering of model parameters. (English) Zbl 1421.62053 ESAIM, Probab. Stat. 23, 387-408 (2019). MSC: 62G30 62J10 PDFBibTeX XMLCite \textit{A. Cousin} et al., ESAIM, Probab. Stat. 23, 387--408 (2019; Zbl 1421.62053) Full Text: DOI arXiv
Lejay, Antoine; Pigato, Paolo A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (English) Zbl 1411.91645 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{P. Pigato}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019; Zbl 1411.91645) Full Text: DOI arXiv
Bongiorno, Enea G.; Goia, Aldo; Vieu, Philippe Modeling functional data: a test procedure. (English) Zbl 1417.65029 Comput. Stat. 34, No. 2, 451-468 (2019). MSC: 62-08 62P05 PDFBibTeX XMLCite \textit{E. G. Bongiorno} et al., Comput. Stat. 34, No. 2, 451--468 (2019; Zbl 1417.65029) Full Text: DOI
Bolyog, Beáta; Pap, Gyula On conditional least squares estimation for affine diffusions based on continuous time observations. (English) Zbl 1428.60113 Stat. Inference Stoch. Process. 22, No. 1, 41-75 (2019). MSC: 60J60 62F12 PDFBibTeX XMLCite \textit{B. Bolyog} and \textit{G. Pap}, Stat. Inference Stoch. Process. 22, No. 1, 41--75 (2019; Zbl 1428.60113) Full Text: DOI arXiv
Benth, Fred Espen; Rohde, Victor On non-negative modeling with CARMA processes. (English) Zbl 1435.62315 J. Math. Anal. Appl. 476, No. 1, 196-214 (2019). Reviewer: Oscar Bustos (Córdoba) with Patricia Kisbye MSC: 62M10 91B70 60G51 62P05 60H10 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{V. Rohde}, J. Math. Anal. Appl. 476, No. 1, 196--214 (2019; Zbl 1435.62315) Full Text: DOI Link
Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David It only takes a few moments to hedge options. (English) Zbl 1411.91539 J. Econ. Dyn. Control 100, 251-269 (2019). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{A. Barletta} et al., J. Econ. Dyn. Control 100, 251--269 (2019; Zbl 1411.91539) Full Text: DOI Link
Chen, Ying; Niu, Linlin; Chen, Ray-Bing; He, Qiang Sparse-group independent component analysis with application to yield curves prediction. (English) Zbl 1507.62032 Comput. Stat. Data Anal. 133, 76-89 (2019). MSC: 62-08 62P05 PDFBibTeX XMLCite \textit{Y. Chen} et al., Comput. Stat. Data Anal. 133, 76--89 (2019; Zbl 1507.62032) Full Text: DOI
Choe, Geon Ho; Jang, Hyun Jin; Na, Young Hoon Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes. (English) Zbl 1420.91453 Stat. Probab. Lett. 148, 43-53 (2019). MSC: 91G20 60J70 62P05 PDFBibTeX XMLCite \textit{G. H. Choe} et al., Stat. Probab. Lett. 148, 43--53 (2019; Zbl 1420.91453) Full Text: DOI
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas Reverse sensitivity testing: what does it take to break the model? (English) Zbl 1406.91203 Eur. J. Oper. Res. 274, No. 2, 654-670 (2019). MSC: 91B30 91G70 62P05 PDFBibTeX XMLCite \textit{S. M. Pesenti} et al., Eur. J. Oper. Res. 274, No. 2, 654--670 (2019; Zbl 1406.91203) Full Text: DOI Link
Palczewski, Andrzej; Palczewski, Jan Black-Litterman model for continuous distributions. (English) Zbl 1403.91322 Eur. J. Oper. Res. 273, No. 2, 708-720 (2019). MSC: 91G10 62P05 91G70 PDFBibTeX XMLCite \textit{A. Palczewski} and \textit{J. Palczewski}, Eur. J. Oper. Res. 273, No. 2, 708--720 (2019; Zbl 1403.91322) Full Text: DOI Link