Alasseur, Clémence; Ekeland, Ivar; ÉLie, Romuald; Hernández Santibáñez, Nicolás; Possamaï, Dylan An adverse selection approach to power pricing. (English) Zbl 1443.91193 SIAM J. Control Optim. 58, No. 2, 686-713 (2020). MSC: 91B41 91B43 91B24 91B16 PDF BibTeX XML Cite \textit{C. Alasseur} et al., SIAM J. Control Optim. 58, No. 2, 686--713 (2020; Zbl 1443.91193) Full Text: DOI Link
El-Khatib, Youssef; Hatemi-J, Abdulnasser Price sensitivities for a general stochastic volatility model. (English) Zbl 1427.60062 Nonlinear Stud. 26, No. 2, 415-423 (2019). MSC: 60G15 60H07 91G30 91G20 PDF BibTeX XML Cite \textit{Y. El-Khatib} and \textit{A. Hatemi-J}, Nonlinear Stud. 26, No. 2, 415--423 (2019; Zbl 1427.60062) Full Text: Link arXiv
Bank, Peter; Voß, Moritz Optimal investment with transient price impact. (English) Zbl 1429.91302 SIAM J. Financ. Math. 10, No. 3, 723-768 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G15 91G10 91G80 93E20 35Q91 PDF BibTeX XML Cite \textit{P. Bank} and \textit{M. Voß}, SIAM J. Financ. Math. 10, No. 3, 723--768 (2019; Zbl 1429.91302) Full Text: DOI Link
Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. (English) Zbl 1411.91542 Methodol. Comput. Appl. Probab. 21, No. 1, 331-366 (2019). MSC: 91G20 91B24 91B25 91G60 60G22 60H07 PDF BibTeX XML Cite \textit{V. Bezborodov} et al., Methodol. Comput. Appl. Probab. 21, No. 1, 331--366 (2019; Zbl 1411.91542) Full Text: DOI arXiv
Ibrahim, Michael Nawar; Atiya, Amir F. Analytical solutions to the dynamic pricing problem for time-normalized revenue. (English) Zbl 1346.90130 Eur. J. Oper. Res. 254, No. 2, 632-643 (2016). MSC: 90B06 91B24 PDF BibTeX XML Cite \textit{M. N. Ibrahim} and \textit{A. F. Atiya}, Eur. J. Oper. Res. 254, No. 2, 632--643 (2016; Zbl 1346.90130) Full Text: DOI
Takahashi, Akihiko; Yamada, Toshihiro On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model. (English) Zbl 1337.60158 Math. Oper. Res. 40, No. 3, 513-541 (2015). MSC: 60H30 60H07 91G20 91G80 91G60 PDF BibTeX XML Cite \textit{A. Takahashi} and \textit{T. Yamada}, Math. Oper. Res. 40, No. 3, 513--541 (2015; Zbl 1337.60158) Full Text: DOI
Cai, Ning; Li, Chenxu; Shi, Chao Closed-form expansions of discretely monitored Asian options in diffusion models. (English) Zbl 1334.60118 Math. Oper. Res. 39, No. 3, 789-822 (2014). MSC: 60H30 60H10 60J60 60H07 60H35 91B24 91B70 91G80 65C30 PDF BibTeX XML Cite \textit{N. Cai} et al., Math. Oper. Res. 39, No. 3, 789--822 (2014; Zbl 1334.60118) Full Text: DOI
Batty, Charles J. K.; Crewe, Paul; Grafen, Alan; Gratwick, Richard Foundations of a mathematical theory of Darwinism. (English) Zbl 1299.92038 J. Math. Biol. 69, No. 2, 295-334 (2014). MSC: 92D15 90C90 90C59 49N99 60J99 PDF BibTeX XML Cite \textit{C. J. K. Batty} et al., J. Math. Biol. 69, No. 2, 295--334 (2014; Zbl 1299.92038) Full Text: DOI
Brissimis, Sophocles N.; Kosma, Theodora S. A unified framework for analysing price interdependence, innovative activity and exchange rate pass-through. (English) Zbl 1293.91118 Econ. Lett. 122, No. 2, 159-162 (2014). MSC: 91B54 91B24 PDF BibTeX XML Cite \textit{S. N. Brissimis} and \textit{T. S. Kosma}, Econ. Lett. 122, No. 2, 159--162 (2014; Zbl 1293.91118) Full Text: DOI
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma Robustness of option prices and their deltas in markets modelled by jump-diffusions. (English) Zbl 1331.91172 Commun. Stoch. Anal. 5, No. 2, 285-307 (2011). MSC: 91G20 91G70 60H30 91G60 60H07 60H35 60J75 91B24 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Commun. Stoch. Anal. 5, No. 2, 285--307 (2011; Zbl 1331.91172)
Coviello, Rosanna; di Girolami, Cristina; Russo, Francesco On stochastic calculus related to financial assets without semimartingales. (English) Zbl 1233.91337 Bull. Sci. Math. 135, No. 6-7, 733-774 (2011). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G80 91B24 60G48 60H05 60H07 60H10 PDF BibTeX XML Cite \textit{R. Coviello} et al., Bull. Sci. Math. 135, No. 6--7, 733--774 (2011; Zbl 1233.91337) Full Text: DOI arXiv
Henderson, Vicky; Hobson, David Optimal liquidation of derivative portfolios. (English) Zbl 1215.91073 Math. Finance 21, No. 3, 365-382 (2011). MSC: 91G10 91B16 91G20 PDF BibTeX XML Cite \textit{V. Henderson} and \textit{D. Hobson}, Math. Finance 21, No. 3, 365--382 (2011; Zbl 1215.91073) Full Text: DOI
Kalashnikov, Vyacheslav V.; Bulavsky, Vladimir A.; Kalashnykova, Nataliya I.; Castillo, Felipe J. Mixed oligopoly with consistent conjectures. (English) Zbl 1213.91068 Eur. J. Oper. Res. 210, No. 3, 729-735 (2011). MSC: 91B24 91B26 91B54 PDF BibTeX XML Cite \textit{V. V. Kalashnikov} et al., Eur. J. Oper. Res. 210, No. 3, 729--735 (2011; Zbl 1213.91068) Full Text: DOI
Xu, Hongru; Sun, Zhe; Xie, Shuilian An iterative algorithm for solving a kind of discrete HJB equation with \(M\)-functions. (English) Zbl 1219.49022 Appl. Math. Lett. 24, No. 3, 279-282 (2011). MSC: 49L20 49M30 91B24 PDF BibTeX XML Cite \textit{H. Xu} et al., Appl. Math. Lett. 24, No. 3, 279--282 (2011; Zbl 1219.49022) Full Text: DOI
Kawai, Reiichiro; Takeuchi, Atsushi Sensitivity analysis for averaged asset price dynamics with gamma processes. (English) Zbl 1186.60044 Stat. Probab. Lett. 80, No. 1, 42-49 (2010). MSC: 60G51 60E07 91B70 60H07 PDF BibTeX XML Cite \textit{R. Kawai} and \textit{A. Takeuchi}, Stat. Probab. Lett. 80, No. 1, 42--49 (2010; Zbl 1186.60044) Full Text: DOI
Kulik, O. M.; Mishura, Yu. S.; Solovejko, O. M. Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier. (Ukrainian, English) Zbl 1224.91158 Teor. Jmovirn. Mat. Stat. 81, 102-113 (2009); translation in Theory Probab. Math. Stat. 81, 117-130 (2010). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 91G20 91G80 60F17 60H07 PDF BibTeX XML Cite \textit{O. M. Kulik} et al., Teor. Ĭmovirn. Mat. Stat. 81, 102--113 (2009; Zbl 1224.91158); translation in Theory Probab. Math. Stat. 81, 117--130 (2010) Full Text: DOI
Maruhn, Jan H. Robust static super-replication of barrier options. (English) Zbl 1196.91007 Radon Series on Computational and Applied Mathematics 7. Berlin: de Gruyter (ISBN 978-3-11-020468-1/hbk). xii, 197 p. (2009). Reviewer: Piotr Jaworski (Warszawa) MSC: 91-02 49-02 91G20 91B24 90C30 90C34 PDF BibTeX XML Cite \textit{J. H. Maruhn}, Robust static super-replication of barrier options. Berlin: de Gruyter (2009; Zbl 1196.91007) Full Text: DOI
Malliavin, Paul; Thalmaier, Anton Stochastic calculus of variations in mathematical finance. (English) Zbl 1124.91035 Springer Finance. Berlin: Springer (ISBN 3-540-43431-3/hbk). xi, 142 p. (2006). Reviewer: Peter Imkeller (Berlin) MSC: 91B28 60H07 91-02 60H30 60-02 60G44 91B24 PDF BibTeX XML Cite \textit{P. Malliavin} and \textit{A. Thalmaier}, Stochastic calculus of variations in mathematical finance. Berlin: Springer (2006; Zbl 1124.91035) Full Text: DOI
El-Khatib, Youssef; Privault, Nicolas Computations of Greeks in a market with jumps via the Malliavin calculus. (English) Zbl 1098.91050 Finance Stoch. 8, No. 2, 161-179 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91B24 91B26 60H07 PDF BibTeX XML Cite \textit{Y. El-Khatib} and \textit{N. Privault}, Finance Stoch. 8, No. 2, 161--179 (2004; Zbl 1098.91050) Full Text: DOI
El-Khatib, Youssef; Privault, Nicolas Hedging in complete markets driven by normal martingales. (English) Zbl 1173.91364 Appl. Math. 30, No. 2, 147-172 (2003). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91B24 91B26 91B28 60H05 60H07 PDF BibTeX XML Cite \textit{Y. El-Khatib} and \textit{N. Privault}, Appl. Math. 30, No. 2, 147--172 (2003; Zbl 1173.91364) Full Text: DOI
Cont, R. Empirical properties of asset returns: stylized facts and statistical issues. (English) Zbl 1408.62174 Quant. Finance 1, No. 2, 223-236 (2001). MSC: 62P05 62M10 PDF BibTeX XML Cite \textit{R. Cont}, Quant. Finance 1, No. 2, 223--236 (2001; Zbl 1408.62174) Full Text: DOI
Antonelli, Fabio; Barucci, Emilio; Mancino, Maria Elvira Asset pricing with endogeneous aspirations. (English) Zbl 1013.60040 Decis. Econ. Finance 24, No. 1, 21-39 (2001). Reviewer: A.Grorud (Marseille) MSC: 60H10 91B16 60H07 91G80 PDF BibTeX XML Cite \textit{F. Antonelli} et al., Decis. Econ. Finance 24, No. 1, 21--39 (2001; Zbl 1013.60040) Full Text: DOI
Hu, Shouchuan; Papageorgiou, Nikolas S. Handbook of multivalued analysis. Volume II: Applications. (English) Zbl 0943.47037 Mathematics and its Applications (Dordrecht). 500. Dordrecht: Kluwer Academic Publishers. xi, 926 p. (2000). Reviewer: P.Zabreiko (Minsk) MSC: 47H04 47-02 00A20 47-00 60G46 47H06 47H11 47H40 47H05 47H10 47J30 47J20 91A15 91B62 PDF BibTeX XML Cite \textit{S. Hu} and \textit{N. S. Papageorgiou}, Handbook of multivalued analysis. Volume II: Applications. Dordrecht: Kluwer Academic Publishers (2000; Zbl 0943.47037)
Grosset, Luca; Viscolani, Bruno Advertising and price for a service subject to congestion. (English) Zbl 0976.91020 Giorgi, Giorgio (ed.) et al., Generalized convexity and optimization for economic and financial decisions. Bologna: Pitagora Editrice. 221-230 (1999). MSC: 91B24 91B42 49J99 PDF BibTeX XML Cite \textit{L. Grosset} and \textit{B. Viscolani}, in: Generalized convexity and optimization for economic and financial decisions. Bologna: Pitagora Editrice. 221--230 (1999; Zbl 0976.91020)
Corts, Kenneth S. Conduct parameters and the measurement of market power. (English) Zbl 0938.91022 J. Econom. 88, No. 2, 227-250 (1999). MSC: 91B24 PDF BibTeX XML Cite \textit{K. S. Corts}, J. Econom. 88, No. 2, 227--250 (1999; Zbl 0938.91022) Full Text: DOI
Erickson, Gary M. Note. Dynamic conjectural variations in a Lanchester oligopoly. (English) Zbl 0902.90015 Manage. Sci. 43, No. 11, 1603-1608 (1997). MSC: 91B24 91A23 91A40 91B62 90B60 PDF BibTeX XML Cite \textit{G. M. Erickson}, Manage. Sci. 43, No. 11, 1603--1608 (1997; Zbl 0902.90015) Full Text: DOI
Lee, Hau L.; Padmanabhan, V.; Whang, Seungjin Information distortion in a supply chain: The bullwhip effect. (English) Zbl 0888.90047 Manage. Sci. 43, No. 4, 546-558 (1997). MSC: 90B05 90B30 PDF BibTeX XML Cite \textit{H. L. Lee} et al., Manage. Sci. 43, No. 4, 546--558 (1997; Zbl 0888.90047) Full Text: DOI
Hindy, Ayman On volatility of prices in arbitrage-free markets. (English) Zbl 0836.90031 Econ. Theory 6, No. 3, 421-438 (1995). MSC: 91B62 93E03 PDF BibTeX XML Cite \textit{A. Hindy}, Econ. Theory 6, No. 3, 421--438 (1995; Zbl 0836.90031) Full Text: DOI
Zink, Helmut Monopolistic competition and the cyclicality of pricing and productivity – a typology of industries. (English) Zbl 0782.90014 J. Econ. 58, No. 2, 109-152 (1993). MSC: 91B24 PDF BibTeX XML Cite \textit{H. Zink}, J. Econ. 58, No. 2, 109--152 (1993; Zbl 0782.90014) Full Text: DOI
Yoshida, Nakahiro Asymptotic expansion for statistics related to small diffusions. (English) Zbl 0778.62018 J. Jpn. Stat. Soc. 22, No. 2, 139-159 (1992). Reviewer: B.L.S.Prakasa Rao (New Delhi) MSC: 62E20 62M99 62M05 60H07 62F12 62P20 91B24 PDF BibTeX XML Cite \textit{N. Yoshida}, J. Jpn. Stat. Soc. 22, No. 2, 139--159 (1992; Zbl 0778.62018)
Aardal, Karen; Jonsson, Örjan; Jönsson, Henrik Optimal inventory policies with service-level constraints. (English) Zbl 0673.90028 J. Oper. Res. Soc. 40, No. 1, 65-73 (1989). MSC: 90B05 PDF BibTeX XML Cite \textit{K. Aardal} et al., J. Oper. Res. Soc. 40, No. 1, 65--73 (1989; Zbl 0673.90028) Full Text: DOI
Nagurney, Anna; Aronson, Jay A general dynamic spatial price equilibrium model: Formulation, solution, and computational results. (English) Zbl 0655.90010 J. Comput. Appl. Math. 22, No. 2-3, 339-357 (1988). Reviewer: G.L.Gomez MSC: 91B62 91B24 65K10 91B50 49J99 PDF BibTeX XML Cite \textit{A. Nagurney} and \textit{J. Aronson}, J. Comput. Appl. Math. 22, No. 2--3, 339--357 (1988; Zbl 0655.90010) Full Text: DOI
Dixit, Avinash Comparative statics for oligopoly. (English) Zbl 0584.90012 Int. Econ. Rev. 27, 107-122 (1986). MSC: 91B24 91B62 PDF BibTeX XML Cite \textit{A. Dixit}, Int. Econ. Rev. 27, 107--122 (1986; Zbl 0584.90012) Full Text: DOI
Kamien, Morton; Levhari, David; Mirman, Leonard J. Dynamic model of fishing: The relationship to conjectural variations. (English) Zbl 0626.90017 J. Environ. Econ. Manage. 12, 308-321 (1985). Reviewer: A.Slivinskas MSC: 91B62 91B76 91B24 PDF BibTeX XML Cite \textit{M. Kamien} et al., J. Environ. Econ. Manage. 12, 308--321 (1985; Zbl 0626.90017) Full Text: DOI
Hartfiel, D. J. Concerning the eigenvalues of DA under variations of the entries of D and A. (English) Zbl 0452.15016 SIAM J. Math. Anal. 11, 646-653 (1980). MSC: 15A42 15B48 34D99 93D99 PDF BibTeX XML Cite \textit{D. J. Hartfiel}, SIAM J. Math. Anal. 11, 646--653 (1980; Zbl 0452.15016) Full Text: DOI
Petriczek, Grazyna On the use of the \(\varepsilon\)-technique in two-level dynamic optimization. (English) Zbl 0396.49018 Arch. Autom. Telemech. 23, 443-460 (1978). MSC: 49L20 93A13 93C15 93C10 49M30 91B24 PDF BibTeX XML Cite \textit{G. Petriczek}, Arch. Autom. Telemech. 23, 443--460 (1978; Zbl 0396.49018)