Gabaix, Xavier Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance. (English) Zbl 1400.91660 Q. J. Econ. 127, No. 2, 645-700 (2012). MSC: 91G70 91G20 PDFBibTeX XMLCite \textit{X. Gabaix}, Q. J. Econ. 127, No. 2, 645--700 (2012; Zbl 1400.91660) Full Text: DOI
Rybicky, Wojciech Discounting and ideas of intergenerational equity and sustainability. (English) Zbl 1395.91306 Oper. Res. Decis. 22, No. 1, 63-84 (2012). MSC: 91B52 60G15 91B64 91B74 PDFBibTeX XMLCite \textit{W. Rybicky}, Oper. Res. Decis. 22, No. 1, 63--84 (2012; Zbl 1395.91306) Full Text: DOI
Tsai, Jeng-Yan A note on the Emergency Homeowners’ Loan Program: modeling bank equity volatility. (English) Zbl 1395.91483 Int. J. Inf. Manage. Sci. 23, No. 2, 149-157 (2012). MSC: 91G40 90C31 PDFBibTeX XMLCite \textit{J.-Y. Tsai}, Int. J. Inf. Manage. Sci. 23, No. 2, 149--157 (2012; Zbl 1395.91483) Full Text: Link
Étoré, Pierre; Gobet, Emmanuel Stochastic expansion for the pricing of call options with discrete dividends. (English) Zbl 1372.91107 Appl. Math. Finance 19, No. 3-4, 233-264 (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Étoré} and \textit{E. Gobet}, Appl. Math. Finance 19, No. 3--4, 233--264 (2012; Zbl 1372.91107) Full Text: DOI
Buryak, Alexander; Guo, Ivan New analytic approach to address put-call parity violation due to discrete dividends. (English) Zbl 1372.91103 Appl. Math. Finance 19, No. 1-2, 37-58 (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Buryak} and \textit{I. Guo}, Appl. Math. Finance 19, No. 1--2, 37--58 (2012; Zbl 1372.91103) Full Text: DOI arXiv
Fu, Jun; Yang, Hailiang Equilibrium approach of asset pricing under Lévy process. (English) Zbl 1292.91073 Eur. J. Oper. Res. 223, No. 3, 701-708 (2012). MSC: 91B25 62P20 PDFBibTeX XMLCite \textit{J. Fu} and \textit{H. Yang}, Eur. J. Oper. Res. 223, No. 3, 701--708 (2012; Zbl 1292.91073) Full Text: DOI
Malinovskii, Vsevolod K. Equitable solvent controls in a multi-period game model of risk. (English) Zbl 1285.91063 Insur. Math. Econ. 51, No. 3, 599-616 (2012). MSC: 91B30 91A40 PDFBibTeX XMLCite \textit{V. K. Malinovskii}, Insur. Math. Econ. 51, No. 3, 599--616 (2012; Zbl 1285.91063) Full Text: DOI
Peng, Xiaofan; Chen, Mi; Guo, Junyi Optimal dividend and equity issuance problem with proportional and fixed transaction costs. (English) Zbl 1285.91065 Insur. Math. Econ. 51, No. 3, 576-585 (2012). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{X. Peng} et al., Insur. Math. Econ. 51, No. 3, 576--585 (2012; Zbl 1285.91065) Full Text: DOI
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang Valuing equity-linked death benefits and other contingent options: a discounted density approach. (English) Zbl 1284.91233 Insur. Math. Econ. 51, No. 1, 73-92 (2012). MSC: 91B30 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{H. U. Gerber} et al., Insur. Math. Econ. 51, No. 1, 73--92 (2012; Zbl 1284.91233) Full Text: DOI Link
Mertens, Jean-François; Rubinchik, Anna Intergenerational equity and the discount rate for policy analysis. (English) Zbl 1270.91046 Macroecon. Dyn. 16, No. 1, 61-93 (2012). MSC: 91B62 91B15 91B55 PDFBibTeX XMLCite \textit{J.-F. Mertens} and \textit{A. Rubinchik}, Macroecon. Dyn. 16, No. 1, 61--93 (2012; Zbl 1270.91046) Full Text: DOI
Longford, Nicholas T. Small-sample estimators of the quantiles of the normal, log-normal and Pareto distributions. (English) Zbl 1431.62082 J. Stat. Comput. Simulation 82, No. 9, 1383-1395 (2012). MSC: 62F10 62E15 62P05 PDFBibTeX XMLCite \textit{N. T. Longford}, J. Stat. Comput. Simulation 82, No. 9, 1383--1395 (2012; Zbl 1431.62082) Full Text: DOI
Zhang, Jin E.; Zhao, Huimin; Chang, Eric C. Equilibrium asset and option pricing under jump diffusion. (English) Zbl 1278.91069 Math. Finance 22, No. 3, 538-568 (2012). MSC: 91B25 91G20 60J60 60J75 PDFBibTeX XMLCite \textit{J. E. Zhang} et al., Math. Finance 22, No. 3, 538--568 (2012; Zbl 1278.91069) Full Text: DOI Link
Gaillardetz, Patrice; Li, Huan Yi; MacKay, Anne Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality. (English) Zbl 1260.91235 Eur. Actuar. J. 2, No. 2, 243-258 (2012). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{P. Gaillardetz} et al., Eur. Actuar. J. 2, No. 2, 243--258 (2012; Zbl 1260.91235) Full Text: DOI
Qian, LinYi; Wang, RongMing; Wang, Shuai Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk. (English) Zbl 1274.60215 Sci. China, Math. 55, No. 11, 2335-2346 (2012). MSC: 60H30 60J75 91B25 91B30 91G20 PDFBibTeX XMLCite \textit{L. Qian} et al., Sci. China, Math. 55, No. 11, 2335--2346 (2012; Zbl 1274.60215) Full Text: DOI
Brigo, Damiano; Buescu, Cristin; Morini, Massimo Counterparty risk pricing: impact of closeout and first-to-default times. (English) Zbl 1262.91140 Int. J. Theor. Appl. Finance 15, No. 6, Article ID 1250039, 23 p. (2012). MSC: 91G40 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 15, No. 6, Article ID 1250039, 23 p. (2012; Zbl 1262.91140) Full Text: DOI
Aigner, Philipp; Beyschlag, Georg; Friederich, Tim; Kalepky, Markus; Zagst, Rudi Modeling and managing portfolios including listed private equity. (English) Zbl 1251.91052 Comput. Oper. Res. 39, No. 4, 753-764 (2012). MSC: 91G10 PDFBibTeX XMLCite \textit{P. Aigner} et al., Comput. Oper. Res. 39, No. 4, 753--764 (2012; Zbl 1251.91052) Full Text: DOI
Hsu, Tsuen-Ho; Hung, Li-Chu; Tang, Jia-Wei An analytical model for building brand equity in hospitality firms. (English) Zbl 1251.90093 Ann. Oper. Res. 195, 355-378 (2012). MSC: 90B22 PDFBibTeX XMLCite \textit{T.-H. Hsu} et al., Ann. Oper. Res. 195, 355--378 (2012; Zbl 1251.90093) Full Text: DOI
Detemple, Jérôme; Tian, Weidong; Xiong, Jie An optimal stopping problem with a reward constraint. (English) Zbl 1271.60055 Finance Stoch. 16, No. 3, 423-448 (2012). Reviewer: Jan Kallsen (Kiel) MSC: 60G40 93E20 91G20 PDFBibTeX XMLCite \textit{J. Detemple} et al., Finance Stoch. 16, No. 3, 423--448 (2012; Zbl 1271.60055) Full Text: DOI
Puerto, Justo; Ricca, Federica; Scozzari, Andrea Range minimization problems in path-facility location on trees. (English) Zbl 1250.90103 Discrete Appl. Math. 160, No. 15, 2294-2305 (2012). MSC: 90C35 90B80 PDFBibTeX XMLCite \textit{J. Puerto} et al., Discrete Appl. Math. 160, No. 15, 2294--2305 (2012; Zbl 1250.90103) Full Text: DOI
Cui, Yaling; Stojanovic, Srdjan D. Equity valuation under stock dilution and buy-back. (English) Zbl 1251.91060 Discrete Contin. Dyn. Syst., Ser. B 17, No. 6, 1809-1829 (2012). Reviewer: Nikita E. Ratanov (Bogotá) MSC: 91G20 91G80 35K55 PDFBibTeX XMLCite \textit{Y. Cui} and \textit{S. D. Stojanovic}, Discrete Contin. Dyn. Syst., Ser. B 17, No. 6, 1809--1829 (2012; Zbl 1251.91060) Full Text: DOI
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang Optimal surrender strategies for equity-indexed annuity investors with partial information. (English) Zbl 1246.91121 Stat. Probab. Lett. 82, No. 7, 1251-1258 (2012). MSC: 91G10 91B06 PDFBibTeX XMLCite \textit{J. Wei} et al., Stat. Probab. Lett. 82, No. 7, 1251--1258 (2012; Zbl 1246.91121) Full Text: DOI Link
Zimper, Alexander Asset pricing in a Lucas fruit-tree economy with the best and worst in mind. (English) Zbl 1247.91067 J. Econ. Dyn. Control 36, No. 4, 610-628 (2012). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91B25 91B16 PDFBibTeX XMLCite \textit{A. Zimper}, J. Econ. Dyn. Control 36, No. 4, 610--628 (2012; Zbl 1247.91067) Full Text: DOI
Zuber, Stéphane; Asheim, Geir B. Justifying social discounting: the rank-discounted utilitarian approach. (English) Zbl 1245.91028 J. Econ. Theory 147, No. 4, 1572-1601 (2012). Reviewer: Vangelis Grigoroudis (Chania) MSC: 91B14 PDFBibTeX XMLCite \textit{S. Zuber} and \textit{G. B. Asheim}, J. Econ. Theory 147, No. 4, 1572--1601 (2012; Zbl 1245.91028) Full Text: DOI Link
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed Analytical formulas for a local volatility model with stochastic rates. (English) Zbl 1247.91177 Quant. Finance 12, No. 2, 185-198 (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{E. Benhamou} et al., Quant. Finance 12, No. 2, 185--198 (2012; Zbl 1247.91177) Full Text: DOI HAL
Madan, Dilip B.; Pistorius, Martijn Equity quantile upper and lower swaps. (English) Zbl 1241.91117 Quant. Finance 12, No. 1, 29-37 (2012). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{M. Pistorius}, Quant. Finance 12, No. 1, 29--37 (2012; Zbl 1241.91117) Full Text: DOI
Huth, Nicolas; Abergel, Frédéric The times change: multivariate subordination. Empirical facts. (English) Zbl 1242.91214 Quant. Finance 12, No. 1, 1-10 (2012). MSC: 91G70 PDFBibTeX XMLCite \textit{N. Huth} and \textit{F. Abergel}, Quant. Finance 12, No. 1, 1--10 (2012; Zbl 1242.91214) Full Text: DOI HAL
Christensen, Peter Ove; Larsen, Kasper; Munk, Claus Equilibrium in securities markets with heterogeneous investors and unspanned income risk. (English) Zbl 1258.91135 J. Econ. Theory 147, No. 3, 1035-1063 (2012). MSC: 91B52 91G80 PDFBibTeX XMLCite \textit{P. O. Christensen} et al., J. Econ. Theory 147, No. 3, 1035--1063 (2012; Zbl 1258.91135) Full Text: DOI Link
Ambruso Acker, Kathleen; Gray, Mary W.; Jalali, Behzad; Pascal, Matthew Mathematics and home schooling. (English) Zbl 1248.97002 Notices Am. Math. Soc. 59, No. 4, 513-521 (2012). MSC: 97B20 PDFBibTeX XMLCite \textit{K. Ambruso Acker} et al., Notices Am. Math. Soc. 59, No. 4, 513--521 (2012; Zbl 1248.97002) Full Text: DOI
Lin, Wen-Chang; Lu, Jin-Ray Risky asset allocation and consumption rule in the presence of background risk and insurance markets. (English) Zbl 1235.91170 Insur. Math. Econ. 50, No. 1, 150-158 (2012). MSC: 91G50 91B30 91G10 PDFBibTeX XMLCite \textit{W.-C. Lin} and \textit{J.-R. Lu}, Insur. Math. Econ. 50, No. 1, 150--158 (2012; Zbl 1235.91170) Full Text: DOI
Pansera, Jérôme Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts. (English) Zbl 1235.91104 Insur. Math. Econ. 50, No. 1, 1-11 (2012). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Pansera}, Insur. Math. Econ. 50, No. 1, 1--11 (2012; Zbl 1235.91104) Full Text: DOI
Alcantud, José Carlos R. Inequality averse criteria for evaluating infinite utility streams: the impossibility of Weak Pareto. (English) Zbl 1258.91054 J. Econ. Theory 147, No. 1, 353-363 (2012). MSC: 91B14 91B16 PDFBibTeX XMLCite \textit{J. C. R. Alcantud}, J. Econ. Theory 147, No. 1, 353--363 (2012; Zbl 1258.91054) Full Text: DOI Link
Lecocq, Franck; Hourcade, Jean-Charles Unspoken ethical issues in the climate affair: insights from a theoretical analysis of negotiation mandates. (English) Zbl 1277.91144 Econ. Theory 49, No. 2, 445-471 (2012). MSC: 91B76 91B18 PDFBibTeX XMLCite \textit{F. Lecocq} and \textit{J.-C. Hourcade}, Econ. Theory 49, No. 2, 445--471 (2012; Zbl 1277.91144) Full Text: DOI
Figuières, Charles; Tidball, Mabel Sustainable exploitation of a natural resource: a satisfying use of Chichilnisky’s criterion. (English) Zbl 1276.91049 Econ. Theory 49, No. 2, 243-265 (2012). MSC: 91B15 91B76 PDFBibTeX XMLCite \textit{C. Figuières} and \textit{M. Tidball}, Econ. Theory 49, No. 2, 243--265 (2012; Zbl 1276.91049) Full Text: DOI