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
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
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
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
Shih, Yi-Cheng; Chen, Sheng-Syan; Lee, Cheng Few; Chen, Po-Jung The evolution of capital asset pricing models: update and extension. (English) Zbl 07283334 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283334) Full Text: DOI
Lee, Cheng Few; Tsai, Chiung-Min; Lee, Alice C. A dynamic CAPM with supply effect: theory and empirical results. (English) Zbl 07283312 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283312) 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 07283310 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283310) Full Text: DOI
Lee, Cheng Few Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 07283300 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283300) Full Text: DOI
Rahman, Shafiqur; Lee, Cheng Few Errors-in-variables and reverse regression. (English) Zbl 07283287 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283287) 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
Chang, Hao; Wu, Yangru Application of filtering methods in asset pricing. (English) Zbl 07283276 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283276) Full Text: DOI
Juneja, Januj Dynamic term structure models using principal components analysis near the zero lower bound. (English) Zbl 07283273 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283273) Full Text: DOI
Wang, Jr-Yan; Hung, Mao-Wei Consumption-based asset pricing with prospect theory and habit formation. (English) Zbl 07283260 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283260) Full Text: DOI
Grauer, Robert Is the market portfolio mean-variance efficient? (English) Zbl 07283259 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283259) 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
Mohanty, Subhransu S. Sourcing alpha in global equity markets: market factor decomposition and market characteristics. (English) Zbl 07283231 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283231) 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
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 Introduction to financial econometrics, mathematics, statistics, and machine learning. (English) Zbl 07283213 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 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 07283213) 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
Buckner, Dean; Dowd, Kevin How profitable are equity release mortgages? (English) Zbl 07308092 Econ. Lett. 197, Article ID 109651, 4 p. (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{D. Buckner} and \textit{K. Dowd}, Econ. Lett. 197, Article ID 109651, 4 p. (2020; Zbl 07308092) Full Text: DOI
Njike Leunga, Charles Guy; Hainaut, Donatien Interbank credit risk modeling with self-exciting jump processes. (English) Zbl 07303456 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050039, 32 p. (2020). MSC: 91G40 91G30 PDF BibTeX XML Cite \textit{C. G. Njike Leunga} and \textit{D. Hainaut}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050039, 32 p. (2020; Zbl 07303456) Full Text: DOI
Cao, Jiling; Roslan, Teh Raihana Nazirah; Zhang, Wenjun The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure. (English) Zbl 07301066 J. Korean Math. Soc. 57, No. 5, 1167-1186 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Korean Math. Soc. 57, No. 5, 1167--1186 (2020; Zbl 07301066) Full Text: DOI
Li, Shuang; Liu, Shican; Zhou, Yanli; Wu, Yonghong; Ge, Xiangyu Optimal portfolio selection of mean-variance utility with stochastic interest rate. (English) Zbl 07300499 J. Funct. Spaces 2020, Article ID 3153297, 10 p. (2020). MSC: 91G10 91G30 60H10 91B16 PDF BibTeX XML Cite \textit{S. Li} et al., J. Funct. Spaces 2020, Article ID 3153297, 10 p. (2020; Zbl 07300499) Full Text: DOI
Caballero, Ricardo J.; Simsek, Alp A risk-centric model of demand recessions and speculation. (English) Zbl 07300239 Q. J. Econ. 135, No. 3, 1493-1566 (2020). MSC: 91B64 91G30 PDF BibTeX XML Cite \textit{R. J. Caballero} and \textit{A. Simsek}, Q. J. Econ. 135, No. 3, 1493--1566 (2020; Zbl 07300239) Full Text: DOI
Jacquier, Antoine; Torricelli, Lorenzo Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (English) Zbl 07296667 SIAM J. Financ. Math. 11, No. 4, 1137-1167 (2020). MSC: 91G20 91G30 60G51 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{L. Torricelli}, SIAM J. Financ. Math. 11, No. 4, 1137--1167 (2020; Zbl 07296667) Full Text: DOI
Dastgerdi, Maryam Vahid; Bastani, Ali Foroush Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation. (English) Zbl 07296665 SIAM J. Financ. Math. 11, No. 4, 1063-1097 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G30 91G20 91G60 34A08 34A34 PDF BibTeX XML Cite \textit{M. V. Dastgerdi} and \textit{A. F. Bastani}, SIAM J. Financ. Math. 11, No. 4, 1063--1097 (2020; Zbl 07296665) Full Text: DOI
Dam, Henrik T.; Macrina, Andrea; Skovmand, David; Sloth, David Rational models for inflation-linked derivatives. (English) Zbl 07296663 SIAM J. Financ. Math. 11, No. 4, 974-1006 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{H. T. Dam} et al., SIAM J. Financ. Math. 11, No. 4, 974--1006 (2020; Zbl 07296663) Full Text: DOI
Yang, Xiaolin; Liu, Lixia; Li, Suwen Valuation of quotient options for the interest rate is a function of time. (English) Zbl 07296047 Math. Pract. Theory 50, No. 12, 79-85 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{X. Yang} et al., Math. Pract. Theory 50, No. 12, 79--85 (2020; Zbl 07296047)
Lin, Hanyan; Yuan, Yuan The integral equation formula of American option pricing in the fractional Black-Scholes model. (English) Zbl 07296044 Math. Pract. Theory 50, No. 12, 293-298 (2020). MSC: 45G10 91B25 91G20 PDF BibTeX XML Cite \textit{H. Lin} and \textit{Y. Yuan}, Math. Pract. Theory 50, No. 12, 293--298 (2020; Zbl 07296044)
Xi, Huan; Hu, Zhiming Pricing geometric average trigger reset option with predetermined levels based on double exponential jump-diffusion model with stochastic interest rate. (Chinese. English summary) Zbl 07296003 Math. Pract. Theory 50, No. 10, 21-32 (2020). MSC: 91G20 91G30 60J70 PDF BibTeX XML Cite \textit{H. Xi} and \textit{Z. Hu}, Math. Pract. Theory 50, No. 10, 21--32 (2020; Zbl 07296003)
Xu, Gang; Yue, Dequan Pricing decision of supply chain with one manufacturer and two retailers under a carbon cap policy. (Chinese. English summary) Zbl 07295842 J. Syst. Sci. Math. Sci. 40, No. 6, 1004-1019 (2020). MSC: 90B50 91B25 PDF BibTeX XML Cite \textit{G. Xu} and \textit{D. Yue}, J. Syst. Sci. Math. Sci. 40, No. 6, 1004--1019 (2020; Zbl 07295842)
Sheng, Jiliang; Li, Miao; Ouyang, Daozhong Impact of two types of asymmetry on asset prices in delegated portfolio management. (Chinese. English summary) Zbl 07295783 J. Syst. Eng. 35, No. 4, 504-514 (2020). MSC: 91G10 91G30 PDF BibTeX XML Cite \textit{J. Sheng} et al., J. Syst. Eng. 35, No. 4, 504--514 (2020; Zbl 07295783) Full Text: DOI
Guo, Wenjing; Man, Yuan Optimal investment decision for insurer with real estate under different interest rates on deposit and loan. (Chinese. English summary) Zbl 07295782 J. Syst. Eng. 35, No. 4, 492-503 (2020). MSC: 91G05 91G30 90C39 PDF BibTeX XML Cite \textit{W. Guo} and \textit{Y. Man}, J. Syst. Eng. 35, No. 4, 492--503 (2020; Zbl 07295782) Full Text: DOI
Lai, Chao’an; Hou, Yanhang Pricing strategy of cloud monitoring platform based on bilevel stochastic programming. (Chinese. English summary) Zbl 07295679 J. Shenzhen Univ., Sci. Eng. 37, No. 4, 433-440 (2020). MSC: 90B50 91B25 90C15 PDF BibTeX XML Cite \textit{C. Lai} and \textit{Y. Hou}, J. Shenzhen Univ., Sci. Eng. 37, No. 4, 433--440 (2020; Zbl 07295679) Full Text: DOI
Kalemkerian, Juan; Sosa, Andrés Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices. (English) Zbl 07294466 J. Dyn. Games 7, No. 3, 225-237 (2020). MSC: 91G30 60G22 PDF BibTeX XML Cite \textit{J. Kalemkerian} and \textit{A. Sosa}, J. Dyn. Games 7, No. 3, 225--237 (2020; Zbl 07294466) Full Text: DOI
Koutmos, Dimitrios Market risk and Bitcoin returns. (English) Zbl 07290933 Ann. Oper. Res. 294, No. 1-2, 453-477 (2020). MSC: 91G30 62P05 PDF BibTeX XML Cite \textit{D. Koutmos}, Ann. Oper. Res. 294, No. 1--2, 453--477 (2020; Zbl 07290933) Full Text: DOI
Bozhkov, Stanislav; Lee, Habin; Sivarajah, Uthayasankar; Despoudi, Stella; Nandy, Monomita Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility. (English) Zbl 07290932 Ann. Oper. Res. 294, No. 1-2, 419-452 (2020). MSC: 91G15 91G30 PDF BibTeX XML Cite \textit{S. Bozhkov} et al., Ann. Oper. Res. 294, No. 1--2, 419--452 (2020; Zbl 07290932) Full Text: DOI
Bučková, Zuzana; Girová, Zuzana; Stehlíková, Beáta Estimating the domestic short rate in a convergence model of interest rates. (English) Zbl 07289695 Tatra Mt. Math. Publ. 75, 33-48 (2020). MSC: 91G30 35K15 62M20 PDF BibTeX XML Cite \textit{Z. Bučková} et al., Tatra Mt. Math. Publ. 75, 33--48 (2020; Zbl 07289695) Full Text: DOI
Akahori, Jirô; Chiba, Yu Generalizations of Ho-Lee’s binomial interest rate model. II: Randomization. (English) Zbl 07288694 JSIAM Lett. 12, 57-60 (2020). MSC: 91G30 60G50 PDF BibTeX XML Cite \textit{J. Akahori} and \textit{Y. Chiba}, JSIAM Lett. 12, 57--60 (2020; Zbl 07288694) Full Text: DOI
Sazheniuk, V. S.; Chornous, G. O.; Iarmolenko, Iu. A. Information model for pricing on electronic markets. (English. Russian original) Zbl 07285129 Cybern. Syst. Anal. 56, No. 4, 655-664 (2020); translation from Kibern. Sist. Anal. 2020, No. 4, 160-171 (2020). MSC: 91G15 91G30 PDF BibTeX XML Cite \textit{V. S. Sazheniuk} et al., Cybern. Syst. Anal. 56, No. 4, 655--664 (2020; Zbl 07285129); translation from Kibern. Sist. Anal. 2020, No. 4, 160--171 (2020) Full Text: DOI
Molent, Andrea Taxation of a GMWB variable annuity in a stochastic interest rate model. (English) Zbl 1451.91169 ASTIN Bull. 50, No. 3, 1001-1035 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{A. Molent}, ASTIN Bull. 50, No. 3, 1001--1035 (2020; Zbl 1451.91169) Full Text: DOI
Wang, Jindong; Xu, Wei Risk-based capital for variable annuity under stochastic interest rate. (English) Zbl 07285048 ASTIN Bull. 50, No. 3, 959-999 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{J. Wang} and \textit{W. Xu}, ASTIN Bull. 50, No. 3, 959--999 (2020; Zbl 07285048) Full Text: DOI
Ahn, Dohyun; Kim, Kyoung-Kuk; Kim, Younghoon Small-time smile for the multifactor volatility Heston model. (English) Zbl 07284532 J. Appl. Probab. 57, No. 4, 1070-1087 (2020). Reviewer: George Stoica (Saint John) MSC: 91G30 41A60 60F10 91G60 PDF BibTeX XML Cite \textit{D. Ahn} et al., J. Appl. Probab. 57, No. 4, 1070--1087 (2020; Zbl 07284532) Full Text: DOI
Verschuren, Robert Matthijs Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model. (English) Zbl 07282768 Quant. Finance 20, No. 7, 1123-1148 (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{R. M. Verschuren}, Quant. Finance 20, No. 7, 1123--1148 (2020; Zbl 07282768) Full Text: DOI
Isaenko, Sergey Slow-moving capital and stock returns. (English) Zbl 07282758 Quant. Finance 20, No. 6, 969-984 (2020). MSC: 91G30 91G10 PDF BibTeX XML Cite \textit{S. Isaenko}, Quant. Finance 20, No. 6, 969--984 (2020; Zbl 07282758) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping A revised option pricing formula with the underlying being banned from short selling. (English) Zbl 07282756 Quant. Finance 20, No. 6, 935-948 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{S.-P. Zhu}, Quant. Finance 20, No. 6, 935--948 (2020; Zbl 07282756) Full Text: DOI
Keller-Ressel, M.; Majid, A. A comparison principle between rough and non-rough Heston models – with applications to the volatility surface. (English) Zbl 07282755 Quant. Finance 20, No. 6, 919-933 (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{M. Keller-Ressel} and \textit{A. Majid}, Quant. Finance 20, No. 6, 919--933 (2020; Zbl 07282755) Full Text: DOI
Smirnov, S. N. Geometric criterion for a robust condition of no sure arbitrage with unlimited profit. (English. Russian original) Zbl 1452.91300 Mosc. Univ. Comput. Math. Cybern. 44, No. 3, 146-150 (2020); translation from Vestn. Mosk. Univ., Ser. XV 2020, No. 3, 43-48 (2020). MSC: 91G15 91G30 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mosc. Univ. Comput. Math. Cybern. 44, No. 3, 146--150 (2020; Zbl 1452.91300); translation from Vestn. Mosk. Univ., Ser. XV 2020, No. 3, 43--48 (2020) Full Text: DOI
Gómez-Valle, Lourdes; López-Marcos, Miguel Ángel; Martínez-Rodríguez, Julia Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices. (English) Zbl 1452.65158 Math. Methods Appl. Sci. 43, No. 14, 7993-8005 (2020). MSC: 65M06 91G30 91G20 91G60 35R09 PDF BibTeX XML Cite \textit{L. Gómez-Valle} et al., Math. Methods Appl. Sci. 43, No. 14, 7993--8005 (2020; Zbl 1452.65158) Full Text: DOI
Giaccotto, Carmelo; Lin, Xiao; Zhao, Yanhui Term structure of discount rates for firms in the insurance industry. (English) Zbl 1452.91271 Insur. Math. Econ. 95, 147-158 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{C. Giaccotto} et al., Insur. Math. Econ. 95, 147--158 (2020; Zbl 1452.91271) Full Text: DOI
Gerhart, Christoph; Lütkebohmert, Eva Empirical analysis and forecasting of multiple yield curves. (English) Zbl 1452.91316 Insur. Math. Econ. 95, 59-78 (2020). MSC: 91G30 91G05 62P05 62H25 PDF BibTeX XML Cite \textit{C. Gerhart} and \textit{E. Lütkebohmert}, Insur. Math. Econ. 95, 59--78 (2020; Zbl 1452.91316) Full Text: DOI
Rabitti, Giovanni; Borgonovo, Emanuele Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods. (English) Zbl 1452.91281 Insur. Math. Econ. 95, 48-58 (2020). MSC: 91G05 91D20 91G30 PDF BibTeX XML Cite \textit{G. Rabitti} and \textit{E. Borgonovo}, Insur. Math. Econ. 95, 48--58 (2020; Zbl 1452.91281) Full Text: DOI
Alzubaidi, Hasan Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance. (English) Zbl 07274798 Arab. J. Math. 9, No. 3, 495-511 (2020). MSC: 60H35 65C05 91B25 PDF BibTeX XML Cite \textit{H. Alzubaidi}, Arab. J. Math. 9, No. 3, 495--511 (2020; Zbl 07274798) Full Text: DOI
Nyholm, Ken A practitioner’s guide to discrete-time yield curve modelling. With empirical illustrations and MATLAB examples With empirical illustrations and MATLAB examples (to appear). (English) Zbl 07274730 Elements in Quantitative Finance. Cambridge: Cambridge University Press (ISBN 978-1-108-97212-3/pbk; 978-1-108-97553-7/ebook). (2020). MSC: 91-02 91G30 PDF BibTeX XML Full Text: DOI
Guasoni, Paolo; Wong, Kwok Chuen Asset prices in segmented and integrated markets. (English) Zbl 1452.91317 Finance Stoch. 24, No. 4, 939-980 (2020). MSC: 91G30 91G15 PDF BibTeX XML Cite \textit{P. Guasoni} and \textit{K. C. Wong}, Finance Stoch. 24, No. 4, 939--980 (2020; Zbl 1452.91317) Full Text: DOI
Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift. (English) Zbl 1451.60041 Nonlinear Anal., Model. Control 25, No. 6, 1059-1078 (2020). MSC: 60G22 60H10 60H35 91G30 PDF BibTeX XML Cite Nonlinear Anal., Model. Control 25, No. 6, 1059--1078 (2020; Zbl 1451.60041) Full Text: DOI
Díaz, Antonio; Jareño, Francisco; Navarro, Eliseo Yield curves from different bond data sets. (English) Zbl 1451.91205 Rev. Deriv. Res. 23, No. 2, 191-226 (2020). MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{A. Díaz} et al., Rev. Deriv. Res. 23, No. 2, 191--226 (2020; Zbl 1451.91205) Full Text: DOI
Cuchiero, C.; Klein, I.; Teichmann, J. A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting. (English. Russian original) Zbl 1448.91306 Theory Probab. Appl. 65, No. 3, 388-404 (2020); translation from Teor. Veroyatn. Primen. 65, No. 3, 498-520 (2020). MSC: 91G30 91G15 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., Theory Probab. Appl. 65, No. 3, 388--404 (2020; Zbl 1448.91306); translation from Teor. Veroyatn. Primen. 65, No. 3, 498--520 (2020) Full Text: DOI
Graf, Stefan Discussion on: “Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products”. (English) Zbl 1448.91307 Eur. Actuar. J. 10, No. 1, 121-123 (2020). MSC: 91G30 91G05 PDF BibTeX XML Cite \textit{S. Graf}, Eur. Actuar. J. 10, No. 1, 121--123 (2020; Zbl 1448.91307) Full Text: DOI
Diez, Franziska; Korn, Ralf Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products. (English) Zbl 1452.91315 Eur. Actuar. J. 10, No. 1, 91-120 (2020). MSC: 91G30 91G05 PDF BibTeX XML Cite \textit{F. Diez} and \textit{R. Korn}, Eur. Actuar. J. 10, No. 1, 91--120 (2020; Zbl 1452.91315) Full Text: DOI
Boado-Penas, M. Carmen; Eisenberg, Julia; Helmert, Axel; Krühner, Paul A new approach for satisfactory pensions with no guarantees. (English) Zbl 1452.91263 Eur. Actuar. J. 10, No. 1, 3-21 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{M. C. Boado-Penas} et al., Eur. Actuar. J. 10, No. 1, 3--21 (2020; Zbl 1452.91263) Full Text: DOI
Hess, Markus A pure-jump mean-reverting short rate model. (English) Zbl 1452.91318 Mod. Stoch., Theory Appl. 7, No. 2, 113-134 (2020). MSC: 91G30 91G20 60G51 60J70 PDF BibTeX XML Cite \textit{M. Hess}, Mod. Stoch., Theory Appl. 7, No. 2, 113--134 (2020; Zbl 1452.91318) Full Text: DOI
Hattori, Takahiro The impact of quantitative and qualitative easing on term structure: evidence from micro-level data. (English) Zbl 1451.91206 Econ. Lett. 195, Article ID 109347, 3 p. (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{T. Hattori}, Econ. Lett. 195, Article ID 109347, 3 p. (2020; Zbl 1451.91206) Full Text: DOI
Arouri, Mohamed; Pijourlet, Guillaume; Williams, Benjamin Unpleasant arithmetic of socially responsible investment. (English) Zbl 1451.91171 Econ. Lett. 193, Article ID 109281, 3 p. (2020). MSC: 91G10 91G30 PDF BibTeX XML Cite \textit{M. Arouri} et al., Econ. Lett. 193, Article ID 109281, 3 p. (2020; Zbl 1451.91171) Full Text: DOI
Tomovski, Živorad; Dubbeldam, Johan L. A.; Korbel, Jan Applications of Hilfer-Prabhakar operator to option pricing financial model. (English) Zbl 07268216 Fract. Calc. Appl. Anal. 23, No. 4, 996-1012 (2020). MSC: 26A33 34A08 91B25 91G20 PDF BibTeX XML Cite \textit{Ž. Tomovski} et al., Fract. Calc. Appl. Anal. 23, No. 4, 996--1012 (2020; Zbl 07268216) Full Text: DOI
Nie, Gaoqin; Chang, Hao Optimal investment and reinsurance under Vasicek interest rate and Heston model. (Chinese. English summary) Zbl 07267279 Math. Appl. 33, No. 2, 525-533 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{G. Nie} and \textit{H. Chang}, Math. Appl. 33, No. 2, 525--533 (2020; Zbl 07267279)
Ge, Zhihao; Li, Tingting; Wang, Huifang The characteristic finite element method for the pricing problem of two-asset European options. (Chinese. English summary) Zbl 07267251 J. Numer. Methods Comput. Appl. 41, No. 1, 27-41 (2020). MSC: 65N30 91B25 PDF BibTeX XML Cite \textit{Z. Ge} et al., J. Numer. Methods Comput. Appl. 41, No. 1, 27--41 (2020; Zbl 07267251)
Liang, Jin; Bao, Junli Pricing of a perpetual convertible bond with credit rating migration based on structure framework. (Chinese. English summary) Zbl 07267189 J. Tongji Univ., Nat. Sci. 48, No. 4, 620-628 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Liang} and \textit{J. Bao}, J. Tongji Univ., Nat. Sci. 48, No. 4, 620--628 (2020; Zbl 07267189) Full Text: DOI
Deng, Li; Zheng, Hua; Peng, Xiaofei The optimal dividend problem in dual model with capital injections by stochastic interest rates. (Chinese. English summary) Zbl 07267146 J. South China Norm. Univ., Nat. Sci. Ed. 52, No. 2, 107-113 (2020). MSC: 91G50 91G30 PDF BibTeX XML Cite \textit{L. Deng} et al., J. South China Norm. Univ., Nat. Sci. Ed. 52, No. 2, 107--113 (2020; Zbl 07267146) Full Text: DOI
Peng, Bo; Guo, Jingjun Asset pricing and simulation under the environment of jumping and mixed Gaussian process. (Chinese. English summary) Zbl 07267035 J. Shandong Univ., Nat. Sci. 55, No. 5, 105-113 (2020). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{B. Peng} and \textit{J. Guo}, J. Shandong Univ., Nat. Sci. 55, No. 5, 105--113 (2020; Zbl 07267035) Full Text: DOI
Liu, Pian; Zhang, Jinliang; Zhu, Yimeng European pricing options under jump-fraction process in the fractional Hull-White interest rate model. (Chinese. English summary) Zbl 07266844 J. Inn. Mong. Norm. Univ., Nat. Sci. 49, No. 2, 135-141 (2020). MSC: 91G20 91G30 60G22 PDF BibTeX XML Cite \textit{P. Liu} et al., J. Inn. Mong. Norm. Univ., Nat. Sci. 49, No. 2, 135--141 (2020; Zbl 07266844) Full Text: DOI
Zhang, Lidong; Sun, Yanmei Power options pricing in uncertain environment. (Chinese. English summary) Zbl 07266340 Acta Sci. Nat. Univ. Nankaiensis 53, No. 2, 1-6 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{L. Zhang} and \textit{Y. Sun}, Acta Sci. Nat. Univ. Nankaiensis 53, No. 2, 1--6 (2020; Zbl 07266340)
Gong, Feixue; Phelan, Gregory Debt collateralization, capital structure, and maximal leverage. (English) Zbl 1450.91031 Econ. Theory 70, No. 2, 579-605 (2020). MSC: 91G20 91B69 91B50 PDF BibTeX XML Cite \textit{F. Gong} and \textit{G. Phelan}, Econ. Theory 70, No. 2, 579--605 (2020; Zbl 1450.91031) Full Text: DOI
Shirzadi, Mohammad; Dehghan, Mehdi; Foroush Bastani, Ali On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation. (English) Zbl 07261585 Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105160, 18 p. (2020). MSC: 45K05 60G51 60H30 65M06 65M70 35R35 PDF BibTeX XML Cite \textit{M. Shirzadi} et al., Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105160, 18 p. (2020; Zbl 07261585) Full Text: DOI
Kettani, Othmane; Reghai, Adil Financial models in production. (English) Zbl 07261259 SpringerBriefs in Finance. Cham: Springer (ISBN 978-3-030-57495-6/pbk; 978-3-030-57496-3/ebook). xiv, 61 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91B38 91G20 91G30 PDF BibTeX XML Cite \textit{O. Kettani} and \textit{A. Reghai}, Financial models in production. Cham: Springer (2020; Zbl 07261259) Full Text: DOI
Chen, Xu; Ding, Deng; Lei, Siu-Long; Wang, Wenfei A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models. (English) Zbl 1448.65096 Comput. Math. Appl. 79, No. 2, 440-456 (2020). MSC: 65M06 65F08 35R11 91G30 91G15 PDF BibTeX XML Cite \textit{X. Chen} et al., Comput. Math. Appl. 79, No. 2, 440--456 (2020; Zbl 1448.65096) Full Text: DOI
Wen, Yuzhen; Yin, Chuancun Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate. (English) Zbl 1448.91268 J. Funct. Spaces 2020, Article ID 4051969, 13 p. (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{Y. Wen} and \textit{C. Yin}, J. Funct. Spaces 2020, Article ID 4051969, 13 p. (2020; Zbl 1448.91268) Full Text: DOI
Pruna, Radu T.; Polukarov, Maria; Jennings, Nicholas R. Loss aversion in an agent-based asset pricing model. (English) Zbl 1448.91309 Quant. Finance 20, No. 2, 275-290 (2020). MSC: 91G30 91G15 PDF BibTeX XML Cite \textit{R. T. Pruna} et al., Quant. Finance 20, No. 2, 275--290 (2020; Zbl 1448.91309) Full Text: DOI
Rainone, Edoardo; Vacirca, Francesco Estimating the money market microstructure with negative and zero interest rates. (English) Zbl 1448.91310 Quant. Finance 20, No. 2, 207-234 (2020). MSC: 91G30 91G45 PDF BibTeX XML Cite \textit{E. Rainone} and \textit{F. Vacirca}, Quant. Finance 20, No. 2, 207--234 (2020; Zbl 1448.91310) Full Text: DOI
Filipović, Damir; Larsson, Martin Polynomial jump-diffusion models. (English) Zbl 1450.60038 Stoch. Syst. 10, No. 1, 71-97 (2020). MSC: 60J25 60J60 91G20 60H30 PDF BibTeX XML Cite \textit{D. Filipović} and \textit{M. Larsson}, Stoch. Syst. 10, No. 1, 71--97 (2020; Zbl 1450.60038) Full Text: DOI
Mehrdoust, Farshid; Najafi, Ali Reza An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility. (English) Zbl 1448.91308 Bull. Iran. Math. Soc. 46, No. 5, 1405-1420 (2020). Reviewer: George Stoica (Saint John) MSC: 91G30 60J60 PDF BibTeX XML Cite \textit{F. Mehrdoust} and \textit{A. R. Najafi}, Bull. Iran. Math. Soc. 46, No. 5, 1405--1420 (2020; Zbl 1448.91308) Full Text: DOI
Fergusson, Kevin Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic. (English) Zbl 1447.91136 ASTIN Bull. 50, No. 2, 381-417 (2020). MSC: 91G05 91G30 91G10 PDF BibTeX XML Cite \textit{K. Fergusson}, ASTIN Bull. 50, No. 2, 381--417 (2020; Zbl 1447.91136) Full Text: DOI
Pan, Jian; Zhao, Pan Asset liability management with stochastic interest rates and inflation risks based on mean-variance criteria. (Chinese. English summary) Zbl 1449.91127 Math. Appl. 33, No. 1, 228-239 (2020). MSC: 91G10 91G30 PDF BibTeX XML Cite \textit{J. Pan} and \textit{P. Zhao}, Math. Appl. 33, No. 1, 228--239 (2020; Zbl 1449.91127)
Sun, Jiaojiao Mellin transform method for European option pricing under sub-fractional stochastic interest rate model. (Chinese. English summary) Zbl 1449.91159 J. Hebei Norm. Univ., Nat. Sci. Ed. 44, No. 1, 18-24 (2020). MSC: 91G20 91G30 44A10 35Q91 PDF BibTeX XML Cite \textit{J. Sun}, J. Hebei Norm. Univ., Nat. Sci. Ed. 44, No. 1, 18--24 (2020; Zbl 1449.91159) Full Text: DOI
Criens, David A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks. (English) Zbl 1447.91185 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050020, 17 p. (2020). MSC: 91G30 60H10 PDF BibTeX XML Cite \textit{D. Criens}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050020, 17 p. (2020; Zbl 1447.91185) Full Text: DOI
Federer Vaaler, Leslie Jane; Harper, Shinko Kojima Student solution manual for Mathematical interest theory. 3rd edition. (English) Zbl 1437.91001 AMS/MAA Textbooks 60. Providence, RI: MAA Press/American Mathematical Society (AMS) (ISBN 978-1-4704-4394-8/pbk). vii, 115 p. (2020). MSC: 91-01 91G30 62P05 91G20 PDF BibTeX XML Cite \textit{L. J. Federer Vaaler} and \textit{S. K. Harper}, Student solution manual for Mathematical interest theory. 3rd edition. Providence, RI: MAA Press/American Mathematical Society (AMS) (2020; Zbl 1437.91001)
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 PDF BibTeX XML Cite \textit{C. Sala} and \textit{G. Barone-Adesi}, Stochastic Anal. Appl. 38, No. 4, 686--707 (2020; Zbl 1445.91064) Full Text: DOI
Borwein, Jonathan M.; Zhu, Qiji J. Entropy maximization in finance. (English) Zbl 1447.91155 Bailey, David H. (ed.) et al., From analysis to visualization. A celebration of the life and legacy of Jonathan M. Borwein, Callaghan, Australia, September 25–29, 2017. Cham: Springer. Springer Proc. Math. Stat. 313, 275-295 (2020). MSC: 91G10 91G80 60G44 94A17 PDF BibTeX XML Cite \textit{J. M. Borwein} and \textit{Q. J. Zhu}, Springer Proc. Math. Stat. 313, 275--295 (2020; Zbl 1447.91155) Full Text: DOI
Zhu, Huai-Nian; Zhang, Cheng-Ke; Jin, Zhuo Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks. (English) Zbl 1449.90242 J. Ind. Manag. Optim. 16, No. 2, 813-834 (2020). MSC: 90B50 90C39 93E20 60J65 91G30 PDF BibTeX XML Cite \textit{H.-N. Zhu} et al., J. Ind. Manag. Optim. 16, No. 2, 813--834 (2020; Zbl 1449.90242) Full Text: DOI
Wang, Weiwei; Chen, Ping Valuation of stock loan under uncertain stock model with floating interest rate. (English) Zbl 1436.91108 Soft Comput. 24, No. 3, 1803-1814 (2020). MSC: 91G15 91G30 PDF BibTeX XML Cite \textit{W. Wang} and \textit{P. Chen}, Soft Comput. 24, No. 3, 1803--1814 (2020; Zbl 1436.91108) Full Text: DOI
Lin, Yuehao; Lehnert, Thorsten A note on Stein’s overreaction puzzle. (English) Zbl 1444.91210 Decis. Econ. Finance 43, No. 1, 269-276 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{Y. Lin} and \textit{T. Lehnert}, Decis. Econ. Finance 43, No. 1, 269--276 (2020; Zbl 1444.91210) Full Text: DOI
Bhutta, Nousheen Tariq; Simonetti, Biagio; Ventre, Viviana Does Islamic capital asset pricing model outperform conventional capital asset pricing model? (English) Zbl 1444.91215 Flaut, Daniel (ed.) et al., Decision making in social sciences: between traditions and innovations. Cham: Springer. Stud. Syst. Decis. Control 247, 471-482 (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{N. T. Bhutta} et al., Stud. Syst. Decis. Control 247, 471--482 (2020; Zbl 1444.91215) Full Text: DOI
Rebonato, Riccardo; Saroka, Ivan; Putiatyn, Vlad Principal-component-based Gaussian affine term structure models: constraints and their financial implications. (English) Zbl 1443.91311 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050008, 25 p. (2020). MSC: 91G30 62P05 PDF BibTeX XML Cite \textit{R. Rebonato} et al., Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050008, 25 p. (2020; Zbl 1443.91311) Full Text: DOI
Li, Haitao; Ye, Xiaoxia; Yu, Fan Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective. (English) Zbl 1443.91310 Eur. J. Oper. Res. 286, No. 3, 1153-1167 (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{H. Li} et al., Eur. J. Oper. Res. 286, No. 3, 1153--1167 (2020; Zbl 1443.91310) Full Text: DOI
Brody, Dorje; Hughston, Lane; Meister, Bernhard Theory of cryptocurrency interest rates. (English) Zbl 1443.91306 SIAM J. Financ. Math. 11, No. 1, 148-168 (2020). MSC: 91G30 91G20 60G99 PDF BibTeX XML Cite \textit{D. Brody} et al., SIAM J. Financ. Math. 11, No. 1, 148--168 (2020; Zbl 1443.91306) Full Text: DOI