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Found 819 Documents (Results 1–100)

Solution of the HJB equations involved in utility-based pricing. (English) Zbl 1498.91440

Mena, Ramsés H. (ed.) et al., XI symposium on probability and stochastic processes. CIMAT, Guanajuato, Mexico, November 18–22, 2013. Cham: Birkhäuser/Springer. Prog. Probab. 69, 177-198 (2015).
MSC:  91G20 93E20 91G10
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Fully implicit time-stepping schemes for a parabolic-ODE system of European options with liquidity shocks. (English) Zbl 1447.91192

Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 10th international conference, LSSC 2015, Sozopol, Bulgaria, June 8–12, 2015. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 9374, 360-368 (2015).
MSC:  91G60 65M06 91G20
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A numerical approach to price path dependent Asian options. (English) Zbl 1441.91090

Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 10th international conference, LSSC 2015, Sozopol, Bulgaria, June 8–12, 2015. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 9374, 63-71 (2015).
MSC:  91G60 65M08 91G20
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An inventory model for deteriorating items with two credit period in fuzzy environment. (English) Zbl 1406.91465

Bhattacharya Halder, Sharmistha (ed.), Rough sets, fuzzy sets and soft computing. Proceedings of the 2nd international conference. New Delhi: Narosa Publishing House (ISBN 978-81-8487-403-7/hbk). 163-176 (2015).
MSC:  91G30
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Second order expansion for implied volatility in two factor local stochastic volatility models and applications to the dynamic \(\lambda\)-SABR model. (English) Zbl 1418.91498

Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 89-136 (2015).
MSC:  91G20 41A60 35K08
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The vertical differentiation model in the insurance market: costs structure and equilibria analysis. (English) Zbl 1418.91245

Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume VIII. The 8th international conference on game theory and management (GTM 2014), St. Petersburg, Russia, June 25–27, 2014. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg State University. 176-186 (2015).
MSC:  91B30 91A20 91A65 91B24
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