Fallah, Somayeh; Mehrdoust, Farshid CEV model equipped with the long-memory. (English) Zbl 07309617 J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021; Zbl 07309617) Full Text: DOI
Li, Danping; Li, Bin; Shen, Yang A dynamic pricing game for general insurance market. (English) Zbl 07309608 J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021). MSC: 91G05 91A25 91A80 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021; Zbl 07309608) Full Text: DOI
Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Safdari, Mohammad Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints. (English) Zbl 07308684 J. Differ. Equations 279, 76-135 (2021). MSC: 35R35 35J87 35B65 49N60 35K55 91G20 93E20 PDF BibTeX XML Cite \textit{M. Safdari}, J. Differ. Equations 279, 76--135 (2021; Zbl 07308684) Full Text: DOI
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
Chen, An; Nguyen, Thai; Sørensen, Nils Indifference pricing under SAHARA utility. (English) Zbl 07305213 J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021). MSC: 91G05 91G15 91B16 90C39 PDF BibTeX XML Cite \textit{A. Chen} et al., J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021; Zbl 07305213) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) Full Text: DOI
Gyulov, Tihomir B.; Koleva, Miglena N.; Vulkov, Lubin G. Fitted finite volume method for indifference pricing in an exponential utility regime-switching model. (English) Zbl 07305176 J. Comput. Appl. Math. 387, Article ID 112493, 17 p. (2021). MSC: 65 PDF BibTeX XML Cite \textit{T. B. Gyulov} et al., J. Comput. Appl. Math. 387, Article ID 112493, 17 p. (2021; Zbl 07305176) Full Text: DOI
Cao, Jiling; Kim, Jeong-Hoon; Zhang, Wenjun Pricing variance swaps under hybrid CEV and stochastic volatility. (English) Zbl 07305143 J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021; Zbl 07305143) 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
Orlando, Giuseppe; Taglialatela, Giovanni On the approximation of the Black and Scholes call function. (English) Zbl 07305055 J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021). MSC: 65-02 91G20 91G60 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021; Zbl 07305055) 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
Alos, Elisa; Garcia Lorite, David Malliavin calculus in finance. Theory and practice (to appear). (English) Zbl 07302702 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-0-367-89344-6/hbk). 344 p. (2021). MSC: 91-02 91G20 60H07 60G22 PDF BibTeX XML Cite \textit{E. Alos} and \textit{D. Garcia Lorite}, Malliavin calculus in finance. Theory and practice (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07302702)
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
Campolieti, Giuseppe; Makarov, Roman N. Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. (English) Zbl 07286287 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-1-138-58787-8/hbk). 592 p. (2021). MSC: 91-01 91G20 91G10 91G60 60H30 PDF BibTeX XML Cite \textit{G. Campolieti} and \textit{R. N. Makarov}, Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. Boca Raton, FL: CRC Press (2021; Zbl 07286287)
Gallagher, Liam A.; Hutchinson, Mark C.; O’Brien, John Using smooth transition regressions to model risk regimes. (English) Zbl 07283337 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). 4281-4311 (2021). MSC: 91G15 91G20 62P05 PDF BibTeX XML Cite \textit{L. A. Gallagher} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281--4311 (2021; Zbl 07283337) 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
Chen, Yu-Ting; Lee, Cheng Few; Sheu, Yuan-Chung An integral equation approach for bond prices with applications to credit spreads. (English) Zbl 07283322 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). 3849-3866 (2021). MSC: 91G20 91G40 60J74 60H20 PDF BibTeX XML Cite \textit{Y.-T. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849--3866 (2021; Zbl 07283322) Full Text: DOI
Hsu, Y. L.; Lin, T. L.; Lee, Cheng Few Constant elasticity of variance option pricing model: integration and detailed derivation. (English) Zbl 07283321 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). 3829-3847 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Y. L. Hsu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829--3847 (2021; Zbl 07283321) Full Text: DOI
Ferson, Wayne; Chen, Yong How many good and bad funds are there, really? (English) Zbl 1452.91307 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753-3827 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{W. Ferson} and \textit{Y. Chen}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753--3827 (2021; Zbl 1452.91307) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Implied variance estimates for Black-Scholes and CEV OPM: review and comparison. (English) Zbl 07283318 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). 3703-3736 (2021). MSC: 91G20 60G40 91G60 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. 3703--3736 (2021; Zbl 07283318) Full Text: DOI
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng Few Option price and stock market momentum in China. (English) Zbl 07283315 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). 3619-3647 (2021). MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Li} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619--3647 (2021; Zbl 07283315) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Alternative methods to derive option pricing models: review and comparison. (English) Zbl 1451.91200 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573-3617 (2021). MSC: 91G20 91G80 60H10 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. 3573--3617 (2021; Zbl 1451.91200) 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
Yu, Hai-Chin; Lee, Chia-Ju; Hsieh, Der-Tzon Does quantile co-integration exist between gold spot and futures prices? (English) Zbl 07283304 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). 3219-3239 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{H.-C. Yu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3219--3239 (2021; Zbl 07283304) Full Text: DOI
Smith, Zachary A.; Janabi, Mazin A. M. Al; Mumtaz, Muhammad Z. Opacity, stale pricing, extreme bounds analysis, and hedge fund performance: making sense of reported hedge fund returns. (English) Zbl 07283303 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). 3193-3217 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{Z. A. Smith} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3193--3217 (2021; Zbl 07283303) Full Text: DOI
Lee, Cheng Few Alternative security valuation model: theory and empirical results. (English) Zbl 07283302 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). 3143-3192 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143--3192 (2021; Zbl 07283302) Full Text: DOI
Lee, Cheng Few Synthetic options, portfolio insurance, and contingent immunization. (English) Zbl 07283301 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). 3099-3141 (2021). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099--3141 (2021; Zbl 07283301) 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
Lee, Cheng Few; Xiao, Yuanyuan A comparative static analysis approach to derive Greek letters: theory and applications. (English) Zbl 07283298 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). 2965-2999 (2021). MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{Y. Xiao}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965--2999 (2021; Zbl 07283298) Full Text: DOI
Lee, Cheng Few Statistical distributions, European option, American option, and option bounds. (English) Zbl 07283297 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). 2929-2964 (2021). MSC: 91G20 60G40 62P05 62H10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2929--2964 (2021; Zbl 07283297) Full Text: DOI
Chang, Jow-Ran; Lee, John Decision tree and Microsoft Excel approach for option pricing model. (English) Zbl 1452.91304 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{J.-R. Chang} and \textit{J. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885--2927 (2021; Zbl 1452.91304) Full Text: DOI
Lee, Cheng Few Options and option strategies: theory and empirical results. (English) Zbl 07283295 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). 2839-2884 (2021). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839--2884 (2021; Zbl 07283295) Full Text: DOI
Lee, Cheng Few Credit analysis, bond rating forecasting, and default probability estimation. (English) Zbl 07283290 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). 2635-2671 (2021). MSC: 91G40 91G20 62P05 62H25 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635--2671 (2021; Zbl 07283290) 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
Chen, Son-Nan; Lee, Cheng Few The sampling relationship between Sharpe’s performance measure and its risk proxy: sample size, investment horizon and market conditions. (English) Zbl 07283281 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). 2419-2435 (2021). MSC: 91G10 91G20 91G70 PDF BibTeX XML Cite \textit{S.-N. Chen} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2419--2435 (2021; Zbl 07283281) 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
Agoraki, Maria-Eleni K.; Georgoutsos, Dimitris A.; Moratis, George T. Determinants of Euro-area bank CDS spreads. (English) Zbl 07283272 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). 2161-2198 (2021). MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{M.-E. K. Agoraki} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161--2198 (2021; Zbl 07283272) Full Text: DOI
Kao, Lie-Jane; Chen, Li-Shya; Lee, Cheng Few Analysis of sequential conversions of convertible bonds: a recurrent survival approach. (English) Zbl 1451.91199 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141-2159 (2021). MSC: 91G20 62P05 62N02 PDF BibTeX XML Cite \textit{L.-J. Kao} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141--2159 (2021; Zbl 1451.91199) Full Text: DOI
Kwak, Wikil; Shi, Yong; Lee, Heeseok; Lee, Cheng Few Applications of fuzzy set to international transfer pricing and other business decisions. (English) Zbl 1452.91324 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1991-2009 (2021). MSC: 91G50 91G80 03E72 PDF BibTeX XML Cite \textit{W. Kwak} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1991--2009 (2021; Zbl 1452.91324) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) 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
Szu, Wen-Ming; Wang, Yi-Chen; Yang, Wan-Ru How does investor sentiment affect implied risk-neutral distributions of call and put options? (English) Zbl 07283254 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). 1599-1636 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{W.-M. Szu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599--1636 (2021; Zbl 07283254) Full Text: DOI
Chow, K. Victor; Jiang, Wanjun; Li, Jingrui Does VIX truly measure return volatility? (English) Zbl 07283252 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). 1533-1559 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{K. V. Chow} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533--1559 (2021; Zbl 07283252) 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
Sebehela, Tumellano Entropic two-asset option. (English) Zbl 07283246 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). 1295-1344 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Sebehela}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1295--1344 (2021; Zbl 07283246) Full Text: DOI
Diavatopoulos, Dean; Sokolinskiy, Oleg Stochastic volatility models: faking a smile. (English) Zbl 07283245 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). 1271-1293 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{D. Diavatopoulos} and \textit{O. Sokolinskiy}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271--1293 (2021; Zbl 07283245) Full Text: DOI
Chalamandaris, George; Malliaris, A. G. Itô’s calculus and the derivation of the Black-Scholes option-pricing model. (English) Zbl 07283239 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). 1025-1074 (2021). MSC: 91G20 60H10 60G44 PDF BibTeX XML Cite \textit{G. Chalamandaris} and \textit{A. G. Malliaris}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025--1074 (2021; Zbl 07283239) Full Text: DOI
Lee, Cheng Few; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei Alternative methods for determining option bounds: a review and comparison. (English) Zbl 07283236 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). 917-945 (2021). MSC: 91G20 60G40 60E15 90C05 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917--945 (2021; Zbl 07283236) 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
Tai, Tzu; Lee, Cheng Few; Dai, Tian-Shyr; Wang, Keh Luh; Chen, Hong-Yi Pricing fair deposit insurance: structural model approach. (English) Zbl 1451.91170 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583-602 (2021). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{T. Tai} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583--602 (2021; Zbl 1451.91170) 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
Chen, Sheng-Syan; Lee, Cheng Few; Shresth, Keshab Hedge ratio and time series analysis. (English) Zbl 07283223 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). 431-483 (2021). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{S.-S. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431--483 (2021; Zbl 07283223) 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; Zhang, Peter Guangping Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison. (English) Zbl 1451.91201 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297-334 (2021). MSC: 91G20 62P05 60E15 90C05 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{P. G. Zhang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297--334 (2021; Zbl 1451.91201) 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
Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDF BibTeX XML Cite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) 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
Ahmadi, Z.; Hosseini, S. M.; Bastani, A. Foroush A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. (English) Zbl 1448.91290 J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021). MSC: 91G20 93E20 60J74 90C39 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021; Zbl 1448.91290) Full Text: DOI
Lin, Sha; He, Xin-Jiang A new integral equation approach for pricing American-style barrier options with rebates. (English) Zbl 1448.91298 J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021). MSC: 91G20 60G40 35Q91 PDF BibTeX XML Cite \textit{S. Lin} and \textit{X.-J. He}, J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021; Zbl 1448.91298) Full Text: DOI
Georgiev, Slavi G.; Vulkov, Lubin G. Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021). MSC: 91G60 65M55 91G20 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323) Full Text: DOI
Hainaut, Donatien; Leonenko, Nikolai Option pricing in illiquid markets: a fractional jump-diffusion approach. (English) Zbl 1447.91174 J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021). MSC: 91G20 26A33 60J74 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{N. Leonenko}, J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021; Zbl 1447.91174) Full Text: DOI
Panin, Artem A.; Plyasunov, Alexander V. Stability analysis for pricing. (English) Zbl 07315672 Kochetov, Yury (ed.) et al., Mathematical optimization theory and operations research. 19th international conference, MOTOR 2020, Novosibirsk, Russia, July 6–10, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-58656-0/pbk; 978-3-030-58657-7/ebook). Communications in Computer and Information Science 1275, 57-69 (2020). MSC: 91B24 91A65 91A80 68Q17 PDF BibTeX XML Cite \textit{A. A. Panin} and \textit{A. V. Plyasunov}, Commun. Comput. Inf. Sci. 1275, 57--69 (2020; Zbl 07315672) Full Text: DOI
Dube, Mbakisi; Patidar, Kailash C. A robust nonstandard finite difference scheme for pricing real estate index options. (English) Zbl 07314943 J. Difference Equ. Appl. 26, No. 11-12, 1471-1493 (2020). MSC: 35Q91 35K20 65M06 65M12 PDF BibTeX XML Cite \textit{M. Dube} and \textit{K. C. Patidar}, J. Difference Equ. Appl. 26, No. 11--12, 1471--1493 (2020; Zbl 07314943) Full Text: DOI
Arroyo, Jose L.; Felipe, Ángel; Ortuño, M. Teresa; Tirado, Gregorio Effectiveness of carbon pricing policies for promoting urban freight electrification: analysis of last mile delivery in Madrid. (English) Zbl 07311719 CEJOR, Cent. Eur. J. Oper. Res. 28, No. 4, 1417-1440 (2020). MSC: 90B PDF BibTeX XML Cite \textit{J. L. Arroyo} et al., CEJOR, Cent. Eur. J. Oper. Res. 28, No. 4, 1417--1440 (2020; Zbl 07311719) Full Text: DOI
van Appel, Vaughan; Maré, Eben The recovery theorem with application to risk management. (English) Zbl 07311507 S. Afr. Stat. J. 54, No. 1, 65-91 (2020). MSC: 62P05 62G07 91G20 PDF BibTeX XML Cite \textit{V. van Appel} and \textit{E. Maré}, S. Afr. Stat. J. 54, No. 1, 65--91 (2020; Zbl 07311507) Full Text: DOI
Cruz, José M. T. S.; Ševčovič, Daniel On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (English) Zbl 07309987 Japan J. Ind. Appl. Math. 37, No. 3, 697-721 (2020). MSC: 45K05 35K58 34G20 91G20 PDF BibTeX XML Cite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovič}, Japan J. Ind. Appl. Math. 37, No. 3, 697--721 (2020; Zbl 07309987) Full Text: DOI
Kumar, Akhilesh; Gupta, Anjana; Mehra, Aparna A bilevel programming model for a cohesive decision-making on strategic pricing and production distribution planning for a small-scale supplier. (English) Zbl 07309495 Int. Game Theory Rev. 22, No. 2, Article ID 2040009, 34 p. (2020). MSC: 91B24 91B38 90C90 PDF BibTeX XML Cite \textit{A. Kumar} et al., Int. Game Theory Rev. 22, No. 2, Article ID 2040009, 34 p. (2020; Zbl 07309495) Full Text: DOI
Lin, Xiaogang; Zhou, Yong-Wu; Lin, Qiang Pricing strategies of unbundling and mixed-bundling in a two-sided market under stochastic demand. (English) Zbl 07309470 Asia-Pac. J. Oper. Res. 37, No. 3, Article ID 2050016, 26 p. (2020). MSC: 91B24 PDF BibTeX XML Cite \textit{X. Lin} et al., Asia-Pac. J. Oper. Res. 37, No. 3, Article ID 2050016, 26 p. (2020; Zbl 07309470) Full Text: DOI
Ullah, Azmat; Huang, Wenpo; Jiang, Wei Product and after-sales maintenance service pricing decisions in a risk-averse supply chain. (English) Zbl 07309391 Asia-Pac. J. Oper. Res. 37, No. 6, Article ID 2050031, 42 p. (2020). MSC: 90B05 90B25 91A10 90B50 PDF BibTeX XML Cite \textit{A. Ullah} et al., Asia-Pac. J. Oper. Res. 37, No. 6, Article ID 2050031, 42 p. (2020; Zbl 07309391) Full Text: DOI
Tiwari, Archana; Bhattacharyya, Debanjana; Pati, K. C. Controllabilty and stability analysis on a group associated with Black-Scholes equation. (English) Zbl 07308286 Arch. Control Sci. 30, No. 3, 553-573 (2020). MSC: 93B05 93C20 35J10 91G20 93D05 PDF BibTeX XML Cite \textit{A. Tiwari} et al., Arch. Control Sci. 30, No. 3, 553--573 (2020; Zbl 07308286) 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
Candian, Giacomo; Dmitriev, Mikhail Optimal contracts and supply-driven recessions. (English) Zbl 07308072 Econ. Lett. 197, Article ID 109618, 5 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{G. Candian} and \textit{M. Dmitriev}, Econ. Lett. 197, Article ID 109618, 5 p. (2020; Zbl 07308072) Full Text: DOI
Lahkar, Ratul; Mukherjee, Saptarshi Dominant strategy implementation in a large population public goods game. (English) Zbl 07308070 Econ. Lett. 197, Article ID 109616, 5 p. (2020). MSC: 91B18 91A80 PDF BibTeX XML Cite \textit{R. Lahkar} and \textit{S. Mukherjee}, Econ. Lett. 197, Article ID 109616, 5 p. (2020; Zbl 07308070) Full Text: DOI
Jang, Hanbyeol; Kim, Hyundong; Jo, Subeom; Kim, Hanrim; Lee, Seri; Lee, Juwon; Kim, Junseok Fast Android implementation of Monte Carlo simulation for pricing equity-linked securities. (English) Zbl 07307922 J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79-84 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{H. Jang} et al., J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79--84 (2020; Zbl 07307922) Full Text: DOI
Qiu, Shi American strangle options. (English) Zbl 07307494 Appl. Math. Finance 27, No. 3, 228-263 (2020). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{S. Qiu}, Appl. Math. Finance 27, No. 3, 228--263 (2020; Zbl 07307494) Full Text: DOI
Sabino, Piergiacomo Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. (English) Zbl 07307493 Appl. Math. Finance 27, No. 3, 207-227 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{P. Sabino}, Appl. Math. Finance 27, No. 3, 207--227 (2020; Zbl 07307493) Full Text: DOI
Madan, Dilip B.; Wang, King Additive processes with bilateral gamma marginals. (English) Zbl 07307491 Appl. Math. Finance 27, No. 3, 171-188 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Appl. Math. Finance 27, No. 3, 171--188 (2020; Zbl 07307491) Full Text: DOI
Nan, Zheng; Kaizoji, Taisei The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. Dollar and the Euro. (English) Zbl 07306695 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 163-181 (2020). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{Z. Nan} and \textit{T. Kaizoji}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 163--181 (2020; Zbl 07306695) Full Text: DOI
Wang, Lisha; Song, Huaming; Yang, Hui; Huang, Fu Optimal dynamic pricing for non-instantaneous deteriorating items dependent on price and time demand. (English) Zbl 1453.90028 Int. J. Comput. Sci. Math. 11, No. 4, 372-384 (2020). MSC: 90B06 49N90 91B24 PDF BibTeX XML Cite \textit{L. Wang} et al., Int. J. Comput. Sci. Math. 11, No. 4, 372--384 (2020; Zbl 1453.90028) Full Text: DOI
Matsui, Toshiko; Gudgeon, Lewis The speculative (In)efficiency of the CME bitcoin futures market. (English) Zbl 07304454 Pardalos, Panos (ed.) et al., Mathematical research for blockchain economy. Proceedings of the 2nd international conference on mathematical research for blockchain economy, MARBLE 2020, Vilamoura, Portugal, June 8–10, 2020. Cham: Springer (ISBN 978-3-030-53355-7/hbk; 978-3-030-53356-4/ebook). Springer Proceedings in Business and Economics, 91-103 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Matsui} and \textit{L. Gudgeon}, in: Mathematical research for blockchain economy. Proceedings of the 2nd international conference on mathematical research for blockchain economy, MARBLE 2020, Vilamoura, Portugal, June 8--10, 2020. Cham: Springer. 91--103 (2020; Zbl 07304454) Full Text: DOI
Milovanović, Slobodan; von Sydow, Lina A high order method for pricing of financial derivatives using radial basis function generated finite differences. (English) Zbl 1453.91108 Math. Comput. Simul. 174, 205-217 (2020). MSC: 91G60 65D12 65M06 91G20 PDF BibTeX XML Cite \textit{S. Milovanović} and \textit{L. von Sydow}, Math. Comput. Simul. 174, 205--217 (2020; Zbl 1453.91108) Full Text: DOI
Madan, Dilip B. Multivariate distributions for financial returns. (English) Zbl 07303458 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050041, 32 p. (2020). MSC: 91G20 62P05 62H05 PDF BibTeX XML Cite \textit{D. B. Madan}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050041, 32 p. (2020; Zbl 07303458) Full Text: DOI
Leduc, Guillaume; Palmer, Kenneth What a difference one probability makes in the convergence of binomial trees. (English) Zbl 07303457 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050040, 26 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{G. Leduc} and \textit{K. Palmer}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050040, 26 p. (2020; Zbl 07303457) 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
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. Collocating volatility: a competitive alternative to stochastic local volatility models. (English) Zbl 07303455 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020; Zbl 07303455) Full Text: DOI
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. Option pricing in markets with informed traders. (English) Zbl 07303454 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Hu} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020; Zbl 07303454) Full Text: DOI
Marzougue, Mohamed Reflected BDSDEs with stochastic monotone generator and application to valuing American options. (English) Zbl 07303451 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050034, 26 p. (2020). MSC: 91G20 60G40 60H10 PDF BibTeX XML Cite \textit{M. Marzougue}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050034, 26 p. (2020; Zbl 07303451) Full Text: DOI
Grasselli, Martino; Wagalath, Lakshithe VIX versus VXX: a joint analytical framework. (English) Zbl 07303450 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050033, 39 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{M. Grasselli} and \textit{L. Wagalath}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050033, 39 p. (2020; Zbl 07303450) Full Text: DOI
Van Bakel, Sjoerd; Borovkova, Svetlana; Michielon, Matteo Conic CVA and DVA for option portfolios. (English) Zbl 07303449 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{S. Van Bakel} et al., Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020; Zbl 07303449) Full Text: DOI
Mishura, Yuliya; Yurchenko-Tytarenko, Anton Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model. (English) Zbl 07303448 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050031, 36 p. (2020). MSC: 91G20 60G22 60H07 PDF BibTeX XML Cite \textit{Y. Mishura} and \textit{A. Yurchenko-Tytarenko}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050031, 36 p. (2020; Zbl 07303448) Full Text: DOI
Ng, Chi Tim; Shi, Yue; Chan, Ngai Hang Markowitz portfolio and the blur of history. (English) Zbl 07303447 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050030, 19 p. (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{C. T. Ng} et al., Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050030, 19 p. (2020; Zbl 07303447) Full Text: DOI