Zhao, Qian; Li, Peng; Zhang, Jie Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes. (English) Zbl 1511.91121 Commun. Stat., Theory Methods 49, No. 14, 3421-3437 (2020). MSC: 91G05 60G51 60H30 91G30 PDFBibTeX XMLCite \textit{Q. Zhao} et al., Commun. Stat., Theory Methods 49, No. 14, 3421--3437 (2020; Zbl 1511.91121) Full Text: DOI
Qian, Linyi; Wang, Wei; Wang, Ning; Wang, Shuai Pricing and hedging equity-indexed annuities via local risk-minimization. (English) Zbl 07530892 Commun. Stat., Theory Methods 48, No. 6, 1417-1434 (2019). MSC: 91B25 91G20 PDFBibTeX XMLCite \textit{L. Qian} et al., Commun. Stat., Theory Methods 48, No. 6, 1417--1434 (2019; Zbl 07530892) Full Text: DOI
Fallah, Somayeh; Najafi, Ali Reza; Mehrdoust, Farshid A fractional version of the Cox-Ingersoll-Ross interest rate model and pricing double barrier option with Hurst index \(H \in (\frac{2}{3},1)\). (English) Zbl 07530020 Commun. Stat., Theory Methods 48, No. 9, 2254-2266 (2019). MSC: 91Gxx 91G30 91G60 PDFBibTeX XMLCite \textit{S. Fallah} et al., Commun. Stat., Theory Methods 48, No. 9, 2254--2266 (2019; Zbl 07530020) Full Text: DOI
Xu, Chao; Dong, Yinghui; Wang, Guojing The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier. (English) Zbl 07530016 Commun. Stat., Theory Methods 48, No. 9, 2185-2205 (2019). MSC: 91B25 60J27 60G55 PDFBibTeX XMLCite \textit{C. Xu} et al., Commun. Stat., Theory Methods 48, No. 9, 2185--2205 (2019; Zbl 07530016) Full Text: DOI
Monsalve-Cobis, A. E.; González-Manteiga, W.; Stute, W. The statistical impact of inflation on interest rates. (English) Zbl 1373.62528 Commun. Stat., Theory Methods 46, No. 14, 6754-6763 (2017). MSC: 62P05 60J60 91G20 91G30 PDFBibTeX XMLCite \textit{A. E. Monsalve-Cobis} et al., Commun. Stat., Theory Methods 46, No. 14, 6754--6763 (2017; Zbl 1373.62528) Full Text: DOI
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming An FFT approach for option pricing under a regime-switching stochastic interest rate model. (English) Zbl 1369.91178 Commun. Stat., Theory Methods 46, No. 11, 5292-5310 (2017). MSC: 91G20 91G30 91G60 65T50 PDFBibTeX XMLCite \textit{K. Fan} et al., Commun. Stat., Theory Methods 46, No. 11, 5292--5310 (2017; Zbl 1369.91178) Full Text: DOI
Kariya, Takeaki; Yamamura, Yoshiro; Wang, Zhu Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis. (English) Zbl 1336.91084 Commun. Stat., Theory Methods 45, No. 6, 1580-1606 (2016). MSC: 91G30 91G70 62J12 62P05 62-07 PDFBibTeX XMLCite \textit{T. Kariya} et al., Commun. Stat., Theory Methods 45, No. 6, 1580--1606 (2016; Zbl 1336.91084) Full Text: DOI
Chang, Liu; Chen, Shouting; Zhu, Ailin Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections. (English) Zbl 1337.60149 Commun. Stat., Theory Methods 44, No. 4, 657-670 (2015). MSC: 60H30 60H10 60J60 60J55 60J35 91G30 91G80 91B02 44A10 PDFBibTeX XMLCite \textit{L. Chang} et al., Commun. Stat., Theory Methods 44, No. 4, 657--670 (2015; Zbl 1337.60149) Full Text: DOI
Białek, Jacek Generalization of the Divisia price and quantity indices in a stochastic model with continuous time. (English) Zbl 1311.62174 Commun. Stat., Theory Methods 44, No. 2, 309-328 (2015). MSC: 62P05 62M10 91B25 91B82 PDFBibTeX XMLCite \textit{J. Białek}, Commun. Stat., Theory Methods 44, No. 2, 309--328 (2015; Zbl 1311.62174) Full Text: DOI
Kostrzewski, Maciej Bayesian inference for the jump-diffusion model with \(M\) jumps. (English) Zbl 1302.62061 Commun. Stat., Theory Methods 43, No. 18, 3955-3985 (2014). MSC: 62F15 62M10 60J75 62P05 91B25 91B70 PDFBibTeX XMLCite \textit{M. Kostrzewski}, Commun. Stat., Theory Methods 43, No. 18, 3955--3985 (2014; Zbl 1302.62061) Full Text: DOI
Qian, Linyi; Wang, Rongming; Zhao, Qian Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion. (English) Zbl 1297.91140 Commun. Stat., Theory Methods 43, No. 14, 2870-2885 (2014). MSC: 91G30 91G60 62P05 60J70 PDFBibTeX XMLCite \textit{L. Qian} et al., Commun. Stat., Theory Methods 43, No. 14, 2870--2885 (2014; Zbl 1297.91140) Full Text: DOI
Leonenko, N. N.; Petherick, S.; Sikorskii, A. The Student subordinator model with dependence for risky asset returns. (English) Zbl 1277.62212 Commun. Stat., Theory Methods 40, No. 19-20, 3509-3523 (2011). MSC: 62M10 60F05 60G10 60G22 62P05 60G15 60H10 60J65 91B25 PDFBibTeX XMLCite \textit{N. N. Leonenko} et al., Commun. Stat., Theory Methods 40, No. 19--20, 3509--3523 (2011; Zbl 1277.62212) Full Text: DOI