Rhuggenaath, Jason; Refaei Afshar, Reza; Akcay, Alp; Zhang, Yingqian; Kaymak, Uzay; Çolak, Fatih; Tanyerli, Muratcan Maximizing revenue for publishers using header bidding and ad exchange auctions. (English) Zbl 07331261 Oper. Res. Lett. 49, No. 2, 250-256 (2021). MSC: 90 PDF BibTeX XML Cite \textit{J. Rhuggenaath} et al., Oper. Res. Lett. 49, No. 2, 250--256 (2021; Zbl 07331261) Full Text: DOI
Deng, Jun; Zou, Bin Quadratic hedging for sequential claims with random weights in discrete time. (English) Zbl 07331256 Oper. Res. Lett. 49, No. 2, 218-225 (2021). MSC: 90 PDF BibTeX XML Cite \textit{J. Deng} and \textit{B. Zou}, Oper. Res. Lett. 49, No. 2, 218--225 (2021; Zbl 07331256) Full Text: DOI
Chamberlain, Jonathan; Starobinski, David Strategic revenue management of preemptive versus non-preemptive queues. (English) Zbl 07331249 Oper. Res. Lett. 49, No. 2, 184-187 (2021). MSC: 90 PDF BibTeX XML Cite \textit{J. Chamberlain} and \textit{D. Starobinski}, Oper. Res. Lett. 49, No. 2, 184--187 (2021; Zbl 07331249) Full Text: DOI
Hasman, Augusto Does the financial market compensate investors for operational losses? (English) Zbl 07331235 Oper. Res. Lett. 49, No. 1, 101-105 (2021). MSC: 90 PDF BibTeX XML Cite \textit{A. Hasman}, Oper. Res. Lett. 49, No. 1, 101--105 (2021; Zbl 07331235) Full Text: DOI
Smirnov, S. N. A guaranteed deterministic approach to superhedging: no arbitrage properties of the market. (English. Russian original) Zbl 07329688 Autom. Remote Control 82, No. 1, 172-187 (2021); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68-95 (2019). MSC: 91G20 91A80 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Autom. Remote Control 82, No. 1, 172--187 (2021; Zbl 07329688); translation from Mat. Teor. Igr Prilozh. 11, No. 2, 68--95 (2019) Full Text: DOI
Camba-Mendez, Gonzalo; Mongelli, Francesco Paolo Risk aversion and bank loan pricing. (English) Zbl 07328768 Econ. Lett. 200, Article ID 109723, 4 p. (2021). MSC: 91G40 PDF BibTeX XML Cite \textit{G. Camba-Mendez} and \textit{F. P. Mongelli}, Econ. Lett. 200, Article ID 109723, 4 p. (2021; Zbl 07328768) Full Text: DOI
Zhang, Chaojun; Wang, Xiaoqun; He, Zhijian Efficient importance sampling in quasi-Monte Carlo methods for computational finance. (English) Zbl 07328662 SIAM J. Sci. Comput. 43, No. 1, B1-B29 (2021). MSC: 65C05 65D30 91G20 91G60 PDF BibTeX XML Cite \textit{C. Zhang} et al., SIAM J. Sci. Comput. 43, No. 1, B1--B29 (2021; Zbl 07328662) Full Text: DOI
Feldman, Moran; Svensson, Ola; Zenklusen, Rico Online contention resolution schemes with applications to Bayesian selection problems. (English) Zbl 07327267 SIAM J. Comput. 50, No. 2, 255-300 (2021). MSC: 68W27 68R05 68W40 PDF BibTeX XML Cite \textit{M. Feldman} et al., SIAM J. Comput. 50, No. 2, 255--300 (2021; Zbl 07327267) Full Text: DOI
Gospodinov, Nikolay; Maasoumi, Esfandiar Generalized aggregation of misspecified models: with an application to asset pricing. (English) Zbl 07327203 J. Econom. 222, No. 1, 451-467 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{N. Gospodinov} and \textit{E. Maasoumi}, J. Econom. 222, No. 1, 451--467 (2021; Zbl 07327203) Full Text: DOI
Gu, Shihao; Kelly, Bryan; Xiu, Dacheng Autoencoder asset pricing models. (English) Zbl 07327202 J. Econom. 222, No. 1, 429-450 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{S. Gu} et al., J. Econom. 222, No. 1, 429--450 (2021; Zbl 07327202) Full Text: DOI
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu Closed-form implied volatility surfaces for stochastic volatility models with jumps. (English) Zbl 07327199 J. Econom. 222, No. 1, 364-392 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} et al., J. Econom. 222, No. 1, 364--392 (2021; Zbl 07327199) Full Text: DOI
Mostovoy, Jonathan; Domínguez, Tomás; Seco, Luis On arbitrage-free pricing in numeraire-free markets: with applications to forex and cryptocurrency. (English) Zbl 07326589 Zheng, Zhiyong (ed.), Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 – July 2, 2019. Singapore: Springer (ISBN 978-981-15-8372-8/hbk; 978-981-15-8373-5/ebook). Financial Mathematics and Fintech, 21-33 (2021). MSC: 91G99 91B64 PDF BibTeX XML Cite \textit{J. Mostovoy} et al., in: Proceedings of the first international forum on financial mathematics and financial technology, Suzhou, China, June 29 -- July 2, 2019. Singapore: Springer. 21--33 (2021; Zbl 07326589) Full Text: DOI
Bahl, Raj Kumari; Sabanis, Sotirios Model-independent price bounds for catastrophic mortality bonds. (English) Zbl 07324199 Insur. Math. Econ. 96, 276-291 (2021). MSC: 91G05 91G20 60G44 PDF BibTeX XML Cite \textit{R. K. Bahl} and \textit{S. Sabanis}, Insur. Math. Econ. 96, 276--291 (2021; Zbl 07324199) Full Text: DOI
Devriendt, Sander; Antonio, Katrien; Reynkens, Tom; Verbelen, Roel Sparse regression with multi-type regularized feature modeling. (English) Zbl 07324197 Insur. Math. Econ. 96, 248-261 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{S. Devriendt} et al., Insur. Math. Econ. 96, 248--261 (2021; Zbl 07324197) Full Text: DOI
Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 07324196 Insur. Math. Econ. 96, 232-247 (2021). MSC: 91G05 91G20 60J70 PDF BibTeX XML Cite \textit{R. Brignone} et al., Insur. Math. Econ. 96, 232--247 (2021; Zbl 07324196) Full Text: DOI
Bravo, Jorge M.; Nunes, João Pedro Vidal Pricing longevity derivatives via Fourier transforms. (English) Zbl 07324185 Insur. Math. Econ. 96, 81-97 (2021). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{J. M. Bravo} and \textit{J. P. V. Nunes}, Insur. Math. Econ. 96, 81--97 (2021; Zbl 07324185) Full Text: DOI
Zaevski, Tsvetelin S. A new approach for pricing discounted American options. (English) Zbl 07323685 Commun. Nonlinear Sci. Numer. Simul. 97, Article ID 105752, 19 p. (2021). MSC: 35Q91 35R35 60G44 91G20 PDF BibTeX XML Cite \textit{T. S. Zaevski}, Commun. Nonlinear Sci. Numer. Simul. 97, Article ID 105752, 19 p. (2021; Zbl 07323685) Full Text: DOI
Obłój, Jan; Wiesel, Johannes Robust estimation of superhedging prices. (English) Zbl 07319875 Ann. Stat. 49, No. 1, 508-530 (2021). MSC: 91G20 62P05 62G20 62G35 PDF BibTeX XML Cite \textit{J. Obłój} and \textit{J. Wiesel}, Ann. Stat. 49, No. 1, 508--530 (2021; Zbl 07319875) Full Text: DOI Euclid
Herrenbrueck, Lucas Why a pandemic recession boosts asset prices. (English) Zbl 07319640 J. Math. Econ. 93, Article ID 102491, 10 p. (2021). MSC: 91G30 PDF BibTeX XML Cite \textit{L. Herrenbrueck}, J. Math. Econ. 93, Article ID 102491, 10 p. (2021; Zbl 07319640) Full Text: DOI
Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph A numerical scheme for the quantile hedging problem. (English) Zbl 07319376 SIAM J. Financ. Math. 12, No. 1, 110-157 (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{C. Bénézet} et al., SIAM J. Financ. Math. 12, No. 1, 110--157 (2021; Zbl 07319376) Full Text: DOI
Ning, Ning; Wu, Jing Well-posedness and stability analysis of two classes of generalized stochastic volatility models. (English) Zbl 07319375 SIAM J. Financ. Math. 12, No. 1, 79-109 (2021). MSC: 91G20 60G20 PDF BibTeX XML Cite \textit{N. Ning} and \textit{J. Wu}, SIAM J. Financ. Math. 12, No. 1, 79--109 (2021; Zbl 07319375) Full Text: DOI
Zhou, Zhou Utility maximization when shorting American options. (English) Zbl 07319374 SIAM J. Financ. Math. 12, No. 1, 47-78 (2021). MSC: 91G20 60G40 91B16 PDF BibTeX XML Cite \textit{Z. Zhou}, SIAM J. Financ. Math. 12, No. 1, 47--78 (2021; Zbl 07319374) 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 07319204 J. Comput. Appl. Math. 391, Article ID 113382, 18 p. (2021). MSC: 91G05 91G20 49J15 PDF BibTeX XML Cite \textit{P. Wang} et al., J. Comput. Appl. Math. 391, Article ID 113382, 18 p. (2021; Zbl 07319204) Full Text: DOI
Krzyżanowski, Grzegorz; Magdziarz, Marcin A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model. (English) Zbl 07319169 Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDF BibTeX XML Cite \textit{G. Krzyżanowski} and \textit{M. Magdziarz}, Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021; Zbl 07319169) Full Text: DOI
Noorani, Idin; Mehrdoust, Farshid; Nasroallah, Abdelaziz A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. (English) Zbl 07318206 Math. Comput. Simul. 181, 1-15 (2021). MSC: 91G 90C PDF BibTeX XML Cite \textit{I. Noorani} et al., Math. Comput. Simul. 181, 1--15 (2021; Zbl 07318206) Full Text: DOI
Liang, Gechun; Yang, Zhou Analysis of the optimal exercise boundary of American put options with delivery lags. (English) Zbl 07317501 J. Math. Anal. Appl. 497, No. 2, Article ID 124916, 22 p. (2021). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{G. Liang} and \textit{Z. Yang}, J. Math. Anal. Appl. 497, No. 2, Article ID 124916, 22 p. (2021; Zbl 07317501) Full Text: DOI
Fallah, Somayeh; Mehrdoust, Farshid CEV model equipped with the long-memory. (English) Zbl 07309617 J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021; Zbl 07309617) Full Text: DOI
Li, Danping; Li, Bin; Shen, Yang A dynamic pricing game for general insurance market. (English) Zbl 07309608 J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021). MSC: 91G05 91A25 91A80 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021; Zbl 07309608) Full Text: DOI
Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Safdari, Mohammad Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints. (English) Zbl 07308684 J. Differ. Equations 279, 76-135 (2021). MSC: 35R35 35D40 35J87 35B65 49N60 91G20 93E20 PDF BibTeX XML Cite \textit{M. Safdari}, J. Differ. Equations 279, 76--135 (2021; Zbl 07308684) Full Text: DOI
Onishi, Rikuto; Otsu, Taisuke Sample sensitivity for two-step and continuous updating GMM estimators. (English) Zbl 1453.91101 Econ. Lett. 198, Article ID 109685, 5 p. (2021). MSC: 91G30 35Q91 62P05 PDF BibTeX XML Cite \textit{R. Onishi} and \textit{T. Otsu}, Econ. Lett. 198, Article ID 109685, 5 p. (2021; Zbl 1453.91101) Full Text: DOI
Liñares-Zegarra, José M.; Willesson, Magnus The effects of negative interest rates on cash usage: evidence for EU countries. (English) Zbl 07308213 Econ. Lett. 198, Article ID 109674, 6 p. (2021). MSC: 91G30 91B64 PDF BibTeX XML Cite \textit{J. M. Liñares-Zegarra} and \textit{M. Willesson}, Econ. Lett. 198, Article ID 109674, 6 p. (2021; Zbl 07308213) Full Text: DOI
Andreou, Elena; Ghysels, Eric Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors. (English) Zbl 07306279 J. Econom. 220, No. 2, 366-398 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{E. Andreou} and \textit{E. Ghysels}, J. Econom. 220, No. 2, 366--398 (2021; Zbl 07306279) 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 PDF BibTeX XML Cite \textit{A. Chen} et al., J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021; Zbl 1454.91173) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) 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 07305176 J. Comput. Appl. Math. 387, Article ID 112493, 17 p. (2021). MSC: 65C30 PDF BibTeX XML Cite \textit{T. B. Gyulov} et al., J. Comput. Appl. Math. 387, Article ID 112493, 17 p. (2021; Zbl 07305176) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 07305168 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 07305168) Full Text: DOI
Cao, Jiling; Kim, Jeong-Hoon; Zhang, Wenjun Pricing variance swaps under hybrid CEV and stochastic volatility. (English) Zbl 07305143 J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021; Zbl 07305143) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro A lattice approach to evaluate participating policies in a stochastic interest rate framework. (English) Zbl 07305131 J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{M. Costabile} et al., J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021; Zbl 07305131) Full Text: DOI
Orlando, Giuseppe; Taglialatela, Giovanni On the approximation of the Black and Scholes call function. (English) Zbl 07305055 J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021). MSC: 65-02 91G20 91G60 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021; Zbl 07305055) Full Text: DOI
Chambers, Donald R.; Lu, Qin Introduction to financial mathematics. With computer applications (to appear). (English) Zbl 07304717 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-0-367-41039-1/hbk). 582 p. (2021). MSC: 91-01 91G20 91G30 92-08 PDF BibTeX XML Cite \textit{D. R. Chambers} and \textit{Q. Lu}, Introduction to financial mathematics. With computer applications (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07304717)
López-Salas, J. G.; Pérez-Rodríguez, S.; Vázquez, C. AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models. (English) Zbl 07303436 SIAM J. Sci. Comput. 43, No. 1, B30-B54 (2021). Reviewer: Bülent Karasözen (Ankara) MSC: 65M06 65M20 65M50 65M12 65F50 91G30 91G80 35Q91 65Y05 PDF BibTeX XML Cite \textit{J. G. López-Salas} et al., SIAM J. Sci. Comput. 43, No. 1, B30--B54 (2021; Zbl 07303436) Full Text: DOI
Alos, Elisa; Garcia Lorite, David Malliavin calculus in finance. Theory and practice (to appear). (English) Zbl 07302702 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-0-367-89344-6/hbk). 344 p. (2021). MSC: 91-02 91G20 60H07 60G22 PDF BibTeX XML Cite \textit{E. Alos} and \textit{D. Garcia Lorite}, Malliavin calculus in finance. Theory and practice (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07302702)
Privault, Nicolas Stochastic interest rate modeling with fixed income derivative pricing (to appear). 3rd edition. (English) Zbl 07291794 Advanced Series on Statistical Science & Applied Probability. Hackensack, NJ: World Scientific (ISBN 978-981-12-2660-1/hbk). 376 p. (2021). MSC: 91-01 91B24 91G30 60H05 60H30 62P05 PDF BibTeX XML Cite \textit{N. Privault}, Stochastic interest rate modeling with fixed income derivative pricing (to appear). 3rd edition. Hackensack, NJ: World Scientific (2021; Zbl 07291794) Full Text: DOI
Campolieti, Giuseppe; Makarov, Roman N. Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. (English) Zbl 07286287 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-1-138-58787-8/hbk). 592 p. (2021). MSC: 91-01 91G20 91G10 91G60 60H30 PDF BibTeX XML Cite \textit{G. Campolieti} and \textit{R. N. Makarov}, Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. Boca Raton, FL: CRC Press (2021; Zbl 07286287)
Gallagher, Liam A.; Hutchinson, Mark C.; O’Brien, John Using smooth transition regressions to model risk regimes. (English) Zbl 1454.91246 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281-4311 (2021). MSC: 91G15 91G20 62P05 PDF BibTeX XML Cite \textit{L. A. Gallagher} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281--4311 (2021; Zbl 1454.91246) Full Text: DOI
Shih, Yi-Cheng; Chen, Sheng-Syan; Lee, Cheng Few; Chen, Po-Jung The evolution of capital asset pricing models: update and extension. (English) Zbl 1454.91322 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4149-4207 (2021). MSC: 91G30 62P05 91-02 PDF BibTeX XML Cite \textit{Y.-C. Shih} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4149--4207 (2021; Zbl 1454.91322) Full Text: DOI
Chen, Yu-Ting; Lee, Cheng Few; Sheu, Yuan-Chung An integral equation approach for bond prices with applications to credit spreads. (English) Zbl 1454.91281 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849-3866 (2021). MSC: 91G20 91G40 60J74 60H20 PDF BibTeX XML Cite \textit{Y.-T. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849--3866 (2021; Zbl 1454.91281) Full Text: DOI
Hsu, Y. L.; Lin, T. L.; Lee, Cheng Few Constant elasticity of variance option pricing model: integration and detailed derivation. (English) Zbl 1454.91290 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829-3847 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Y. L. Hsu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829--3847 (2021; Zbl 1454.91290) Full Text: DOI
Ferson, Wayne; Chen, Yong How many good and bad funds are there, really? (English) Zbl 1452.91307 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753-3827 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{W. Ferson} and \textit{Y. Chen}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753--3827 (2021; Zbl 1452.91307) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Implied variance estimates for Black-Scholes and CEV OPM: review and comparison. (English) Zbl 1454.91297 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703-3736 (2021). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703--3736 (2021; Zbl 1454.91297) Full Text: DOI
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng Few Option price and stock market momentum in China. (English) Zbl 1454.91301 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619-3647 (2021). MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Li} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619--3647 (2021; Zbl 1454.91301) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Alternative methods to derive option pricing models: review and comparison. (English) Zbl 1451.91200 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573-3617 (2021). MSC: 91G20 91G80 60H10 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573--3617 (2021; Zbl 1451.91200) Full Text: DOI
Lee, Cheng Few; Tsai, Chiung-Min; Lee, Alice C. A dynamic CAPM with supply effect: theory and empirical results. (English) Zbl 1454.91318 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3517-3544 (2021). MSC: 91G30 91G20 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3517--3544 (2021; Zbl 1454.91318) Full Text: DOI
Lee, Cheng Few; Tsai, Chiung-Min; Lee, Alice C. Asset pricing with disequilibrium price adjustment: theory and empirical evidence. (English) Zbl 1451.91208 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3491-3516 (2021). MSC: 91G30 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3491--3516 (2021; Zbl 1451.91208) Full Text: DOI
Gramespacher, Thomas; Bänziger, Armin; Hilber, Norbert Cross-sectionally correlated measurement errors in two-pass regression tests of asset-pricing models. (English) Zbl 1454.91314 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3465-3489 (2021). MSC: 91G30 62P05 62J05 PDF BibTeX XML Cite \textit{T. Gramespacher} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3465--3489 (2021; Zbl 1454.91314) Full Text: DOI
Yu, Hai-Chin; Lee, Chia-Ju; Hsieh, Der-Tzon Does quantile co-integration exist between gold spot and futures prices? (English) Zbl 1454.91310 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3219-3239 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{H.-C. Yu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3219--3239 (2021; Zbl 1454.91310) Full Text: DOI
Smith, Zachary A.; Janabi, Mazin A. M. Al; Mumtaz, Muhammad Z. Opacity, stale pricing, extreme bounds analysis, and hedge fund performance: making sense of reported hedge fund returns. (English) Zbl 1454.91307 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3193-3217 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{Z. A. Smith} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3193--3217 (2021; Zbl 1454.91307) Full Text: DOI
Lee, Cheng Few Alternative security valuation model: theory and empirical results. (English) Zbl 1454.91296 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143-3192 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143--3192 (2021; Zbl 1454.91296) Full Text: DOI
Lee, Cheng Few Synthetic options, portfolio insurance, and contingent immunization. (English) Zbl 1454.91295 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099-3141 (2021). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099--3141 (2021; Zbl 1454.91295) Full Text: DOI
Lee, Cheng Few Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 1454.91225 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059-3098 (2021). MSC: 91G10 91G20 91G30 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059--3098 (2021; Zbl 1454.91225) Full Text: DOI
Lee, Cheng Few; Xiao, Yuanyuan A comparative static analysis approach to derive Greek letters: theory and applications. (English) Zbl 1454.91298 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965-2999 (2021). MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{Y. Xiao}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965--2999 (2021; Zbl 1454.91298) Full Text: DOI
Lee, Cheng Few Statistical distributions, European option, American option, and option bounds. (English) Zbl 1454.91294 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2929-2964 (2021). MSC: 91G20 60G40 62P05 62H10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2929--2964 (2021; Zbl 1454.91294) Full Text: DOI
Chang, Jow-Ran; Lee, John Decision tree and Microsoft Excel approach for option pricing model. (English) Zbl 1452.91304 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{J.-R. Chang} and \textit{J. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885--2927 (2021; Zbl 1452.91304) Full Text: DOI
Lee, Cheng Few Options and option strategies: theory and empirical results. (English) Zbl 1454.91293 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839-2884 (2021). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839--2884 (2021; Zbl 1454.91293) Full Text: DOI
Lee, Cheng Few Credit analysis, bond rating forecasting, and default probability estimation. (English) Zbl 1454.91328 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635-2671 (2021). MSC: 91G40 91G20 62P05 62H25 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635--2671 (2021; Zbl 1454.91328) Full Text: DOI
Rahman, Shafiqur; Lee, Cheng Few Errors-in-variables and reverse regression. (English) Zbl 1454.91321 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2547-2563 (2021). MSC: 91G30 62P05 PDF BibTeX XML Cite \textit{S. Rahman} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2547--2563 (2021; Zbl 1454.91321) Full Text: DOI
Kao, Lie-Jane; Lee, Cheng Few VG NGARCH versus GARJI model for asset price dynamics. (English) Zbl 1451.91207 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2437-2459 (2021). MSC: 91G30 62P05 62M10 PDF BibTeX XML Cite \textit{L.-J. Kao} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2437--2459 (2021; Zbl 1451.91207) Full Text: DOI
Chen, Son-Nan; Lee, Cheng Few The sampling relationship between Sharpe’s performance measure and its risk proxy: sample size, investment horizon and market conditions. (English) Zbl 1454.91215 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2419-2435 (2021). MSC: 91G10 91G20 91G70 PDF BibTeX XML Cite \textit{S.-N. Chen} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2419--2435 (2021; Zbl 1454.91215) Full Text: DOI
Chang, Hao; Wu, Yangru Application of filtering methods in asset pricing. (English) Zbl 1454.91313 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2303-2321 (2021). MSC: 91G30 91G20 62P05 62M20 PDF BibTeX XML Cite \textit{H. Chang} and \textit{Y. Wu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2303--2321 (2021; Zbl 1454.91313) Full Text: DOI
Juneja, Januj Dynamic term structure models using principal components analysis near the zero lower bound. (English) Zbl 1454.91316 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2199-2250 (2021). MSC: 91G30 62P05 62H25 PDF BibTeX XML Cite \textit{J. Juneja}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2199--2250 (2021; Zbl 1454.91316) Full Text: DOI
Agoraki, Maria-Eleni K.; Georgoutsos, Dimitris A.; Moratis, George T. Determinants of Euro-area bank CDS spreads. (English) Zbl 1454.91325 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161-2198 (2021). MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{M.-E. K. Agoraki} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161--2198 (2021; Zbl 1454.91325) Full Text: DOI
Kao, Lie-Jane; Chen, Li-Shya; Lee, Cheng Few Analysis of sequential conversions of convertible bonds: a recurrent survival approach. (English) Zbl 1451.91199 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141-2159 (2021). MSC: 91G20 62P05 62N02 PDF BibTeX XML Cite \textit{L.-J. Kao} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141--2159 (2021; Zbl 1451.91199) Full Text: DOI
Kwak, Wikil; Shi, Yong; Lee, Heeseok; Lee, Cheng Few Applications of fuzzy set to international transfer pricing and other business decisions. (English) Zbl 1452.91324 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1991-2009 (2021). MSC: 91G50 91G80 03E72 PDF BibTeX XML Cite \textit{W. Kwak} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1991--2009 (2021; Zbl 1452.91324) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) Full Text: DOI
Wang, Jr-Yan; Hung, Mao-Wei Consumption-based asset pricing with prospect theory and habit formation. (English) Zbl 1454.91324 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1789-1819 (2021). MSC: 91G30 91B16 PDF BibTeX XML Cite \textit{J.-Y. Wang} and \textit{M.-W. Hung}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1789--1819 (2021; Zbl 1454.91324) Full Text: DOI
Grauer, Robert Is the market portfolio mean-variance efficient? (English) Zbl 1454.91220 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1763-1787 (2021). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{R. Grauer}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1763--1787 (2021; Zbl 1454.91220) Full Text: DOI
Szu, Wen-Ming; Wang, Yi-Chen; Yang, Wan-Ru How does investor sentiment affect implied risk-neutral distributions of call and put options? (English) Zbl 1454.91308 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599-1636 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{W.-M. Szu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599--1636 (2021; Zbl 1454.91308) Full Text: DOI
Chow, K. Victor; Jiang, Wanjun; Li, Jingrui Does VIX truly measure return volatility? (English) Zbl 1454.91282 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533-1559 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{K. V. Chow} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533--1559 (2021; Zbl 1454.91282) Full Text: DOI
Chen, Hong-Yi; Lee, Alice C.; Lee, Cheng Few Alternative methods to deal with measurement error. (English) Zbl 1451.91230 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1439-1484 (2021). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{H.-Y. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1439--1484 (2021; Zbl 1451.91230) Full Text: DOI
Sebehela, Tumellano Entropic two-asset option. (English) Zbl 1454.91306 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1295-1344 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Sebehela}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1295--1344 (2021; Zbl 1454.91306) Full Text: DOI
Diavatopoulos, Dean; Sokolinskiy, Oleg Stochastic volatility models: faking a smile. (English) Zbl 1454.91286 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271-1293 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{D. Diavatopoulos} and \textit{O. Sokolinskiy}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271--1293 (2021; Zbl 1454.91286) Full Text: DOI
Chalamandaris, George; Malliaris, A. G. Itô’s calculus and the derivation of the Black-Scholes option-pricing model. (English) Zbl 1454.91277 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025-1074 (2021). MSC: 91G20 60H10 60G44 PDF BibTeX XML Cite \textit{G. Chalamandaris} and \textit{A. G. Malliaris}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025--1074 (2021; Zbl 1454.91277) Full Text: DOI
Lee, Cheng Few; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei Alternative methods for determining option bounds: a review and comparison. (English) Zbl 1454.91299 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917-945 (2021). MSC: 91G20 60G40 60E15 90C05 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917--945 (2021; Zbl 1454.91299) Full Text: DOI
Mohanty, Subhransu S. Sourcing alpha in global equity markets: market factor decomposition and market characteristics. (English) Zbl 1454.91320 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 737-790 (2021). MSC: 91G30 91G15 PDF BibTeX XML Cite \textit{S. S. Mohanty}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 737--790 (2021; Zbl 1454.91320) Full Text: DOI
Tai, Tzu; Lee, Cheng Few; Dai, Tian-Shyr; Wang, Keh Luh; Chen, Hong-Yi Pricing fair deposit insurance: structural model approach. (English) Zbl 1451.91170 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583-602 (2021). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{T. Tai} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583--602 (2021; Zbl 1451.91170) Full Text: DOI
Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng Few Application of intertemporal CAPM on international corporate finance. (English) Zbl 1451.91224 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 485-517 (2021). MSC: 91G50 91G30 62P05 62M10 PDF BibTeX XML Cite \textit{J.-R. Chang} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 485--517 (2021; Zbl 1451.91224) Full Text: DOI
Chen, Sheng-Syan; Lee, Cheng Few; Shresth, Keshab Hedge ratio and time series analysis. (English) Zbl 1454.91280 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431-483 (2021). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{S.-S. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431--483 (2021; Zbl 1454.91280) Full Text: DOI
Rahman, Shafiqur; Schneider, Matthew J. Application of the multivariate average \(F\)-test to examine relative performance of asset pricing models with individual security returns. (English) Zbl 1452.91319 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 391-430 (2021). MSC: 91G30 91G20 62P05 PDF BibTeX XML Cite \textit{S. Rahman} and \textit{M. J. Schneider}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 391--430 (2021; Zbl 1452.91319) Full Text: DOI
Lee, Cheng Few; Zhang, Peter Guangping Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison. (English) Zbl 1451.91201 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297-334 (2021). MSC: 91G20 62P05 60E15 90C05 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{P. G. Zhang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297--334 (2021; Zbl 1451.91201) Full Text: DOI
Lee, Cheng Few Introduction to financial econometrics, mathematics, statistics, and machine learning. (English) Zbl 1454.91364 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 1-99 (2021). MSC: 91G70 91G80 62P05 68T05 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 1--99 (2021; Zbl 1454.91364) Full Text: DOI
Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDF BibTeX XML Cite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) Full Text: DOI
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). MSC: 62P05 62M10 91G30 62-08 PDF BibTeX XML Cite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI
Ahmadi, Z.; Hosseini, S. M.; Bastani, A. Foroush A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. (English) Zbl 1448.91290 J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021). MSC: 91G20 93E20 60J74 90C39 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021; Zbl 1448.91290) 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 PDF BibTeX XML Cite \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
Georgiev, Slavi G.; Vulkov, Lubin G. Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021). MSC: 91G60 65M55 91G20 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323) Full Text: DOI
Hainaut, Donatien; Leonenko, Nikolai Option pricing in illiquid markets: a fractional jump-diffusion approach. (English) Zbl 1447.91174 J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021). MSC: 91G20 26A33 60J74 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{N. Leonenko}, J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021; Zbl 1447.91174) Full Text: DOI
Shimizu, Makoto The present-value model of the exchange rate with a persistently time-varying risk premium: evidence from the dollar-yen rate. (English) Zbl 07331519 Open Econ. Rev. 31, No. 5, 1037-1059 (2020). MSC: 91B64 91G30 PDF BibTeX XML Cite \textit{M. Shimizu}, Open Econ. Rev. 31, No. 5, 1037--1059 (2020; Zbl 07331519) Full Text: DOI
Curran, Michael; Velic, Adnan The CAPM, national stock market betas, and macroeconomic covariates: a global analysis. (English) Zbl 07331510 Open Econ. Rev. 31, No. 4, 787-820 (2020). MSC: 91G30 91G45 62P05 PDF BibTeX XML Cite \textit{M. Curran} and \textit{A. Velic}, Open Econ. Rev. 31, No. 4, 787--820 (2020; Zbl 07331510) Full Text: DOI
Nsafoah, Dennis; Serletis, Apostolos Monetary policy and interest rate spreads. (English) Zbl 07331507 Open Econ. Rev. 31, No. 3, 707-727 (2020). MSC: 91B64 91G30 62P05 PDF BibTeX XML Cite \textit{D. Nsafoah} and \textit{A. Serletis}, Open Econ. Rev. 31, No. 3, 707--727 (2020; Zbl 07331507) Full Text: DOI