Davies, Roy O.; Ostaszewski, Adam J. Optimal forward contract design for inventory: a value-of-waiting analysis. (English) Zbl 1448.90008 Brzdęk, Janusz (ed.) et al., Ulam type stability. Based on the conferences on Ulam type stability (CUTS), Cluj-Napoca, Romania, July 4–9, 2016 and Timisoara, Romania, October 8–13, 2018. Cham: Springer. 73-96 (2019). MSC: 90B05 90B30 62R07 60J65 PDF BibTeX XML Cite \textit{R. O. Davies} and \textit{A. J. Ostaszewski}, in: Ulam type stability. Based on the conferences on Ulam type stability (CUTS), Cluj-Napoca, Romania, July 4--9, 2016 and Timisoara, Romania, October 8--13, 2018. Cham: Springer. 73--96 (2019; Zbl 1448.90008) Full Text: DOI
Kegnenlezom, M.; Takam Soh, P.; Mbele Bidima, M. L. D.; Emvudu Wono, Y. A jump-diffusion model for pricing electricity under price-cap regulation. (English) Zbl 1452.91309 Math. Sci., Springer 13, No. 4, 395-405 (2019). MSC: 91G20 91B74 60H30 PDF BibTeX XML Cite \textit{M. Kegnenlezom} et al., Math. Sci., Springer 13, No. 4, 395--405 (2019; Zbl 1452.91309) Full Text: DOI
Medvedev, Gennady Nonaffine models of yield term structure. (English) Zbl 07262324 Dudin, Alexander (ed.) et al., Information technologies and mathematical modelling. Queueing theory and applications. 17th international conference, ITMM 2018, named after A.F. Terpugov, and 12th workshop on retrial queues and related topics, WRQ 2018, Tomsk, Russia, September 10–15, 2018. Selected papers. Cham: Springer (ISBN 978-3-319-97594-8/pbk; 978-3-319-97595-5/ebook). Communications in Computer and Information Science 912, 16-26 (2018). MSC: 91G30 91G20 60H10 PDF BibTeX XML Cite \textit{G. Medvedev}, Commun. Comput. Inf. Sci. 912, 16--26 (2018; Zbl 07262324) Full Text: DOI
Lopes, Sara Dutra; Vázquez, Carlos Real-world scenarios with negative interest rates based on the LIBOR market model. (English) Zbl 1411.91591 Appl. Math. Finance 25, No. 5-6, 466-482 (2018). MSC: 91G30 PDF BibTeX XML Cite \textit{S. D. Lopes} and \textit{C. Vázquez}, Appl. Math. Finance 25, No. 5--6, 466--482 (2018; Zbl 1411.91591) Full Text: DOI
Cerasa, Andrea; Cerioli, Andrea Outlier-free merging of homogeneous groups of pre-classified observations under contamination. (English) Zbl 07192107 J. Stat. Comput. Simulation 87, No. 15, 2997-3020 (2017). MSC: 62J05 62J20 62H30 62P20 62F35 PDF BibTeX XML Cite \textit{A. Cerasa} and \textit{A. Cerioli}, J. Stat. Comput. Simulation 87, No. 15, 2997--3020 (2017; Zbl 07192107) Full Text: DOI
Chauvet, Marcelle; Hur, Joonyoung; Kim, Insu Assessment of hybrid Phillips curve specifications. (English) Zbl 1395.91304 Econ. Lett. 156, 53-57 (2017). MSC: 91B51 91B64 PDF BibTeX XML Cite \textit{M. Chauvet} et al., Econ. Lett. 156, 53--57 (2017; Zbl 1395.91304) Full Text: DOI
Oliveira, Fernando S. Strategic procurement in spot and forward markets considering regulation and capacity constraints. (English) Zbl 1403.90154 Eur. J. Oper. Res. 261, No. 2, 540-548 (2017). MSC: 90B06 91B24 91B26 PDF BibTeX XML Cite \textit{F. S. Oliveira}, Eur. J. Oper. Res. 261, No. 2, 540--548 (2017; Zbl 1403.90154) Full Text: DOI
Barnett, William A.; Bhadury, Soumya Suvra; Ghosh, Taniya An SVAR approach to evaluation of monetary policy in India: solution to the exchange rate puzzles in an open economy. (English) Zbl 1412.91126 Open Econ. Rev. 27, No. 5, 871-893 (2016). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{W. A. Barnett} et al., Open Econ. Rev. 27, No. 5, 871--893 (2016; Zbl 1412.91126) Full Text: DOI
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis A unified view of Libor models. (English) Zbl 1367.91182 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 423-452 (2016). MSC: 91G30 60G44 60H30 PDF BibTeX XML Cite \textit{K. Glau} et al., in: Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22--25, 2015. Cham: Springer. 423--452 (2016; Zbl 1367.91182) Full Text: DOI arXiv
Müller, Wolfgang; Waldenberger, Stefan Affine LIBOR models driven by real-valued affine processes. (English) Zbl 1414.91395 Stoch. Models 32, No. 2, 333-350 (2016). MSC: 91G30 PDF BibTeX XML Cite \textit{W. Müller} and \textit{S. Waldenberger}, Stoch. Models 32, No. 2, 333--350 (2016; Zbl 1414.91395) Full Text: DOI
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro A general HJM framework for multiple yield curve modelling. (English) Zbl 1376.91166 Finance Stoch. 20, No. 2, 267-320 (2016). Reviewer: Stefan Tappe (Hannover) MSC: 91G30 60J25 60H30 91B24 91G20 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., Finance Stoch. 20, No. 2, 267--320 (2016; Zbl 1376.91166) Full Text: DOI arXiv
Chiarella, Carl; Clewlow, Les; Kang, Boda The evaluation of multiple year gas sales agreement with regime switching. (English) Zbl 1337.91091 Int. J. Theor. Appl. Finance 19, No. 1, Article ID 1650005, 25 p. (2016). MSC: 91G20 91B74 PDF BibTeX XML Cite \textit{C. Chiarella} et al., Int. J. Theor. Appl. Finance 19, No. 1, Article ID 1650005, 25 p. (2016; Zbl 1337.91091) Full Text: DOI
Joëts, Marc Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics. (English) Zbl 1346.91087 Eur. J. Oper. Res. 247, No. 1, 204-215 (2015). MSC: 91B24 91B69 91B74 PDF BibTeX XML Cite \textit{M. Joëts}, Eur. J. Oper. Res. 247, No. 1, 204--215 (2015; Zbl 1346.91087) Full Text: DOI
Bischi, G. I.; Cavalli, F.; Naimzada, A. Mann iteration with power means. (English) Zbl 1337.65174 J. Difference Equ. Appl. 21, No. 12, 1212-1233 (2015). Reviewer: Constantin Popa (Constanţa) MSC: 65Q10 65H05 91G60 91B24 PDF BibTeX XML Cite \textit{G. I. Bischi} et al., J. Difference Equ. Appl. 21, No. 12, 1212--1233 (2015; Zbl 1337.65174) Full Text: DOI
Platen, Eckhard; Tappe, Stefan Real-world forward rate dynamics with affine realizations. (English) Zbl 1335.91094 Stochastic Anal. Appl. 33, No. 4, 573-608 (2015). MSC: 91G30 60G51 60H15 PDF BibTeX XML Cite \textit{E. Platen} and \textit{S. Tappe}, Stochastic Anal. Appl. 33, No. 4, 573--608 (2015; Zbl 1335.91094) Full Text: DOI arXiv
Hyndman, Cody; Zhou, Xinghua Explicit solutions of quadratic FBSDEs arising from quadratic term structure models. (English) Zbl 1317.60070 Stochastic Anal. Appl. 33, No. 3, 464-492 (2015). MSC: 60H10 60H20 60H30 60G35 91B25 91B70 PDF BibTeX XML Cite \textit{C. Hyndman} and \textit{X. Zhou}, Stochastic Anal. Appl. 33, No. 3, 464--492 (2015; Zbl 1317.60070) Full Text: DOI arXiv
Barth, Andrea; Benth, Fred Espen The forward dynamics in energy markets – infinite-dimensional modelling and simulation. (English) Zbl 1337.91086 Stochastics 86, No. 6, 932-966 (2014). MSC: 91G20 91B74 60H30 91G60 PDF BibTeX XML Cite \textit{A. Barth} and \textit{F. E. Benth}, Stochastics 86, No. 6, 932--966 (2014; Zbl 1337.91086) Full Text: DOI
Benth, Fred Espen; Krühner, Paul Representation of infinite-dimensional forward price models in commodity markets. (English) Zbl 1322.60100 Commun. Math. Stat. 2, No. 1, 47-106 (2014). MSC: 60H15 60G51 60G10 91G80 47B10 47G10 46E35 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{P. Krühner}, Commun. Math. Stat. 2, No. 1, 47--106 (2014; Zbl 1322.60100) Full Text: DOI arXiv
Keller-Ressel, Martin; Papapantoleon, Antonis; Teichmann, Josef The affine LIBOR models. (English) Zbl 1275.91140 Math. Finance 23, No. 4, 627-658 (2013). MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{M. Keller-Ressel} et al., Math. Finance 23, No. 4, 627--658 (2013; Zbl 1275.91140) Full Text: DOI arXiv
Carmona, René; Coulon, Michael; Schwarz, Daniel Electricity price modeling and asset valuation: a multi-fuel structural approach. (English) Zbl 1269.91037 Math. Financ. Econ. 7, No. 2, 167-202 (2013). MSC: 91B24 91B25 91B84 91B54 PDF BibTeX XML Cite \textit{R. Carmona} et al., Math. Financ. Econ. 7, No. 2, 167--202 (2013; Zbl 1269.91037) Full Text: DOI
Leung, Tim; Sircar, Ronnie; Zariphopoulou, Thaleia Forward indifference valuation of American options. (English) Zbl 1260.91241 Stochastics 84, No. 5-6, 741-770 (2012). MSC: 91G20 62L15 93E20 91B16 91B70 PDF BibTeX XML Cite \textit{T. Leung} et al., Stochastics 84, No. 5--6, 741--770 (2012; Zbl 1260.91241) Full Text: DOI
Privault, Nicolas An elementary introduction to stochastic interest rate modeling. 2nd ed. (English) Zbl 1248.91002 Advanced Series on Statistical Science & Applied Probability 16. Hackensack, NJ: World Scientific (ISBN 978-981-4390-85-9/hbk; 978-981-4390-86-6/ebook). xiii, 228 p. (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-01 91B24 91G30 60H05 60H30 PDF BibTeX XML Cite \textit{N. Privault}, An elementary introduction to stochastic interest rate modeling. 2nd ed. Hackensack, NJ: World Scientific (2012; Zbl 1248.91002) Full Text: Link
Anderson, Edward J.; Hu, Xinmin Asymmetric supply function equilibria with forward contracts. (English) Zbl 1237.91098 J. Optim. Theory Appl. 152, No. 1, 198-224 (2012). MSC: 91B24 91B26 PDF BibTeX XML Cite \textit{E. J. Anderson} and \textit{X. Hu}, J. Optim. Theory Appl. 152, No. 1, 198--224 (2012; Zbl 1237.91098) Full Text: DOI
Burnside, Craig; Han, Bing; Hirshleifer, David; Wang, Tracy Yue Investor overconfidence and the forward premium puzzle. (English) Zbl 1215.91058 Rev. Econ. Stud. 78, No. 2, 523-558 (2011). MSC: 91B64 91B60 91B24 PDF BibTeX XML Cite \textit{C. Burnside} et al., Rev. Econ. Stud. 78, No. 2, 523--558 (2011; Zbl 1215.91058) Full Text: DOI
Povh, Martin; Golob, Robert; Fleten, Stein-Erik Modelling the structure of long-term electricity forward prices at Nord Pool. (English) Zbl 1360.91109 Rebennack, Steffen (ed.) et al., Handbook of power systems. II. Dordrecht: Springer (ISBN 978-3-642-12685-7/hbk; 978-3-642-26459-7/pbk; 978-3-642-12686-4/ebook). Energy Systems, 189-212 (2010). MSC: 91B74 91B82 91B24 PDF BibTeX XML Cite \textit{M. Povh} et al., in: Handbook of power systems. II. Dordrecht: Springer. 189--212 (2010; Zbl 1360.91109) Full Text: DOI
Deng, Xiaotie; Sun, Yang; Yin, Ming; Zhou, Yunhong Mechanism design for multi-slot ads auction in sponsored search markets. (English) Zbl 1288.91101 Lee, Der-Tsai (ed.) et al., Frontiers in algorithmics. 4th international workshop, FAW 2010, Wuhan, China, August 11–13, 2010. Proceedings. Berlin: Springer (ISBN 978-3-642-14552-0/pbk). Lecture Notes in Computer Science 6213, 11-22 (2010). MSC: 91B26 91B24 PDF BibTeX XML Cite \textit{X. Deng} et al., Lect. Notes Comput. Sci. 6213, 11--22 (2010; Zbl 1288.91101) Full Text: DOI
Hyndman, Cody Blaine A forward-backward SDE approach to affine models. (English) Zbl 1255.91437 Math. Financ. Econ. 2, No. 2, 107-128 (2009). MSC: 91G70 60G35 60H20 60H30 91B70 PDF BibTeX XML Cite \textit{C. B. Hyndman}, Math. Financ. Econ. 2, No. 2, 107--128 (2009; Zbl 1255.91437) Full Text: DOI
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar A structural risk-neutral model of electricity prices. (English) Zbl 1188.91069 Int. J. Theor. Appl. Finance 12, No. 7, 925-947 (2009). MSC: 91B24 91G80 91B25 91G60 PDF BibTeX XML Cite \textit{R. Aïd} et al., Int. J. Theor. Appl. Finance 12, No. 7, 925--947 (2009; Zbl 1188.91069) Full Text: DOI
Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt; Proske, Frank; Di Nunno, Giulia Anticipative stochastic control for Lévy processes with application to insider trading. (English) Zbl 1180.91142 Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 573-593 (2009). MSC: 91B25 91B24 91B44 91G80 60G51 PDF BibTeX XML Cite \textit{A. Sulem} et al., Handb. Numer. Anal. 15, 573--593 (2009; Zbl 1180.91142) Full Text: DOI
Hafner, Wolfgang (ed.); Zimmermann, Heinz (ed.) Vinzenz Bronzin’s option pricing models. Exposition and appraisal. (English) Zbl 1184.91012 Berlin: Springer (ISBN 978-3-540-85710-5/hbk). viii, 562 p. (2009). Reviewer: Ryszard Doman (Poznan) MSC: 91-03 91G20 91B24 91B25 62P05 01A55 01A60 PDF BibTeX XML Cite \textit{W. Hafner} (ed.) and \textit{H. Zimmermann} (ed.), Vinzenz Bronzin's option pricing models. Exposition and appraisal. Berlin: Springer (2009; Zbl 1184.91012) Full Text: DOI
Bu, Tian-Ming; Deng, Xiaotie; Qi, Qi Arbitrage opportunities across sponsored search markets. (English) Zbl 1162.91011 Theor. Comput. Sci. 407, No. 1-3, 182-191 (2008). Reviewer: Malgorzata Doman (Poznań) MSC: 91B26 91B52 91A80 91A10 PDF BibTeX XML Cite \textit{T.-M. Bu} et al., Theor. Comput. Sci. 407, No. 1--3, 182--191 (2008; Zbl 1162.91011) Full Text: DOI
Peeters, Willem Volatility estimation for different structures of random field interest rate models in discrete time. (English) Zbl 1265.91160 Publ. Math. 72, No. 3-4, 317-334 (2008). MSC: 91G30 PDF BibTeX XML Cite \textit{W. Peeters}, Publ. Math. 72, No. 3--4, 317--334 (2008; Zbl 1265.91160)
Hyndman, Cody B. Gaussian factor models-futures and forward prices. (English) Zbl 1153.91424 IMA J. Manag. Math. 18, No. 4, 353-369 (2007). MSC: 91B24 91B28 PDF BibTeX XML Cite \textit{C. B. Hyndman}, IMA J. Manag. Math. 18, No. 4, 353--369 (2007; Zbl 1153.91424) Full Text: DOI
Liski, Matti; Montero, Juan-Pablo Forward trading and collusion in oligopoly. (English) Zbl 1142.91671 J. Econ. Theory 131, No. 1, 212-230 (2006); corrigendum ibid. 145, No. 6, 2496-2497 (2010). MSC: 91B62 91A20 91B24 PDF BibTeX XML Cite \textit{M. Liski} and \textit{J.-P. Montero}, J. Econ. Theory 131, No. 1, 212--230 (2006; Zbl 1142.91671) Full Text: DOI
Gáll, J.; Pap, G.; Van Zuijlen, M. C. A. Forward interest rate curves in discrete time settings driven by random fields. (English) Zbl 1205.91163 Comput. Math. Appl. 51, No. 3-4, 387-396 (2006). MSC: 91G30 60G60 PDF BibTeX XML Cite \textit{J. Gáll} et al., Comput. Math. Appl. 51, No. 3--4, 387--396 (2006; Zbl 1205.91163) Full Text: DOI
Deng, Zhimin; Zhang, Runchu Reinsurance pricing formulas based on investment. (Chinese. English summary) Zbl 1097.34539 Appl. Math., Ser. A (Chin. Ed.) 21, No. 1, 9-14 (2006). MSC: 34F05 34C60 91B24 PDF BibTeX XML Cite \textit{Z. Deng} and \textit{R. Zhang}, Appl. Math., Ser. A (Chin. Ed.) 21, No. 1, 9--14 (2006; Zbl 1097.34539)
Kholodnyi, Valery A. Modeling power forward prices for power with spikes: a non-Markovian approach. (English) Zbl 1153.91716 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 63, No. 5-7, 958-965 (2005). MSC: 91B74 91B24 PDF BibTeX XML Cite \textit{V. A. Kholodnyi}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 63, No. 5--7, 958--965 (2005; Zbl 1153.91716) Full Text: DOI
Cartea, Álvaro; Figueroa, Marcelo G. Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. (English) Zbl 1134.91526 Appl. Math. Finance 12, No. 4, 313-335 (2005). MSC: 91B74 91B24 60J75 PDF BibTeX XML Cite \textit{Á. Cartea} and \textit{M. G. Figueroa}, Appl. Math. Finance 12, No. 4, 313--335 (2005; Zbl 1134.91526) Full Text: DOI
Kavussanos, Manolis G.; Visvikis, Ilias D.; Menachof, David The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests. (English) Zbl 1074.91011 Rev. Deriv. Res. 7, No. 3, 241-266 (2004). MSC: 91B26 91B24 PDF BibTeX XML Cite \textit{M. G. Kavussanos} et al., Rev. Deriv. Res. 7, No. 3, 241--266 (2004; Zbl 1074.91011) Full Text: DOI
Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik A note on arbitrage-free pricing of forward contracts in energy markets. (English) Zbl 1101.91323 Appl. Math. Finance 10, No. 4, 325-336 (2003). MSC: 91B26 91B40 91B24 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Appl. Math. Finance 10, No. 4, 325--336 (2003; Zbl 1101.91323) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio Lognormal-mixture dynamics and calibration to market volatility smiles. (English) Zbl 1107.91324 Int. J. Theor. Appl. Finance 5, No. 4, 427-446 (2002). MSC: 91B28 PDF BibTeX XML Cite \textit{D. Brigo} and \textit{F. Mercurio}, Int. J. Theor. Appl. Finance 5, No. 4, 427--446 (2002; Zbl 1107.91324) Full Text: DOI
Duffie, Darrell; Ma, Jin; Yong, Jiongmin Black’s consol rate conjecture. (English) Zbl 0830.60052 Ann. Appl. Probab. 5, No. 2, 356-382 (1995). MSC: 60H10 60H20 91B24 91B62 PDF BibTeX XML Cite \textit{D. Duffie} et al., Ann. Appl. Probab. 5, No. 2, 356--382 (1995; Zbl 0830.60052) Full Text: DOI
Brown, Roger H.; Schaefer, Stephen M. Interest rate volatility and the shape of the term structure. (English) Zbl 0822.90014 Philos. Trans. R. Soc. Lond., Ser. A 347, No. 1684, 563-576 (1994). MSC: 91B24 93E03 91B62 PDF BibTeX XML Cite \textit{R. H. Brown} and \textit{S. M. Schaefer}, Philos. Trans. R. Soc. Lond., Ser. A 347, No. 1684, 563--576 (1994; Zbl 0822.90014) Full Text: DOI