Wang, Hui; Deng, Xiaomei; Yang, Weihua Pricing model for owner’s payment bond in China. (English) Zbl 1512.91156 IAENG, Int. J. Appl. Math. 45, No. 4, 313-320 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{H. Wang} et al., IAENG, Int. J. Appl. Math. 45, No. 4, 313--320 (2015; Zbl 1512.91156)
Li, Qiang; Chu, Lap Keung A multi-stage financial hedging strategy for a risk-averse firm with contingent payment. (English) Zbl 1512.91178 IAENG, Int. J. Appl. Math. 45, No. 1, 71-76 (2015). MSC: 91G80 91B38 91G20 PDFBibTeX XMLCite \textit{Q. Li} and \textit{L. K. Chu}, IAENG, Int. J. Appl. Math. 45, No. 1, 71--76 (2015; Zbl 1512.91178)
Liu, Guo; Zhao, Qiang; Gu, Guiding A simple control variate method for options pricing with stochastic volatility models. (English) Zbl 1512.91149 IAENG, Int. J. Appl. Math. 45, No. 1, 64-70 (2015). MSC: 91G20 60H30 91G80 PDFBibTeX XMLCite \textit{G. Liu} et al., IAENG, Int. J. Appl. Math. 45, No. 1, 64--70 (2015; Zbl 1512.91149)
Feunou, Bruno; Tafolong, Ernest Fourier inversion formulas for multiple-asset option pricing. (English) Zbl 1506.91164 Stud. Nonlinear Dyn. Econom. 19, No. 5, 531-559 (2015). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{B. Feunou} and \textit{E. Tafolong}, Stud. Nonlinear Dyn. Econom. 19, No. 5, 531--559 (2015; Zbl 1506.91164) Full Text: DOI
Axioglou, Christos; Skouras, Spyros Asset pricing with flexible beliefs. (English) Zbl 1506.91171 Stud. Nonlinear Dyn. Econom. 19, No. 4, 415-443 (2015). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{C. Axioglou} and \textit{S. Skouras}, Stud. Nonlinear Dyn. Econom. 19, No. 4, 415--443 (2015; Zbl 1506.91171) Full Text: DOI
Abdymomunov, Azamat; Kang, Kyu Ho The effects of monetary policy regime shifts on the term structure of interest rates. (English) Zbl 1506.62394 Stud. Nonlinear Dyn. Econom. 19, No. 2, 183-207 (2015). MSC: 62P05 62M05 91B64 91G30 PDFBibTeX XMLCite \textit{A. Abdymomunov} and \textit{K. H. Kang}, Stud. Nonlinear Dyn. Econom. 19, No. 2, 183--207 (2015; Zbl 1506.62394) Full Text: DOI
Chiarella, Carl; Di Guilmi, Corrado The limit distribution of evolving strategies in financial markets. (English) Zbl 1506.62401 Stud. Nonlinear Dyn. Econom. 19, No. 2, 137-159 (2015). MSC: 62P05 62E20 91B55 91G15 PDFBibTeX XMLCite \textit{C. Chiarella} and \textit{C. Di Guilmi}, Stud. Nonlinear Dyn. Econom. 19, No. 2, 137--159 (2015; Zbl 1506.62401) Full Text: DOI
Argyropoulos, Efthymios; Tzavalis, Elias Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects. (English) Zbl 1506.62395 Stud. Nonlinear Dyn. Econom. 19, No. 1, 49-70 (2015). MSC: 62P05 62H25 62M07 91G30 PDFBibTeX XMLCite \textit{E. Argyropoulos} and \textit{E. Tzavalis}, Stud. Nonlinear Dyn. Econom. 19, No. 1, 49--70 (2015; Zbl 1506.62395) Full Text: DOI
Andreasen, Martin M.; Zabczyk, Pawel Efficient bond price approximations in non-linear equilibrium-based term structure models. (English) Zbl 1506.91169 Stud. Nonlinear Dyn. Econom. 19, No. 1, 1-33 (2015). MSC: 91G30 91B51 91B70 PDFBibTeX XMLCite \textit{M. M. Andreasen} and \textit{P. Zabczyk}, Stud. Nonlinear Dyn. Econom. 19, No. 1, 1--33 (2015; Zbl 1506.91169) Full Text: DOI
Hernández-Hernández, Daniel; Sheu, Shuenn-Jyi 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 PDFBibTeX XMLCite \textit{D. Hernández-Hernández} and \textit{S.-J. Sheu}, Prog. Probab. 69, 177--198 (2015; Zbl 1498.91440) Full Text: DOI
Zhang, Dayong; Barassi, Marco R.; Tan, Jijun Residual-based tests for fractional cointegration: testing the term structure of interest rates. (English) Zbl 1491.62164 Econom. Rev. 34, No. 6-10, 1118-1140 (2015). MSC: 62P05 62M10 91G30 PDFBibTeX XMLCite \textit{D. Zhang} et al., Econom. Rev. 34, No. 6--10, 1118--1140 (2015; Zbl 1491.62164) Full Text: DOI
Wang, Kaiming; Zhang, Huiyan; Liu, Jimo Exponential utility indifference value process in a general jump model based on random measures. (Chinese. English summary) Zbl 1499.91149 Sci. Sin., Math. 45, No. 10, 1689-1704 (2015). MSC: 91G20 60H15 60J74 PDFBibTeX XMLCite \textit{K. Wang} et al., Sci. Sin., Math. 45, No. 10, 1689--1704 (2015; Zbl 1499.91149) Full Text: DOI
Niu, Huawei; Wang, Dingcheng Pricing vulnerable European options under a two-sided jump model via Laplace transforms. (Chinese. English summary) Zbl 1488.91138 Sci. Sin., Math. 45, No. 2, 195-212 (2015). MSC: 91G20 91G40 60J74 44A10 PDFBibTeX XMLCite \textit{H. Niu} and \textit{D. Wang}, Sci. Sin., Math. 45, No. 2, 195--212 (2015; Zbl 1488.91138) Full Text: DOI
Dong, Yinghui CVA calculation for CDS under a contagion model with regime-switching intensities. (Chinese. English summary) Zbl 1488.91150 Sci. Sin., Math. 45, No. 1, 65-82 (2015). MSC: 91G40 91G20 60J28 PDFBibTeX XMLCite \textit{Y. Dong}, Sci. Sin., Math. 45, No. 1, 65--82 (2015; Zbl 1488.91150) Full Text: DOI
Simogin, A. A. Two-color option pricing under a jump diffusion model. (Russian. English summary) Zbl 1476.91191 Tr. Inst. Prikl. Mat. Mekh. 29, 127-134 (2015). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{A. A. Simogin}, Tr. Inst. Prikl. Mat. Mekh. 29, 127--134 (2015; Zbl 1476.91191)
Olvik, Ander; Kangro, Raul Pricing of warrants with stock price dependent threshold conditions. (English) Zbl 1488.91140 Math. Model. Anal. 20, No. 4, 516-528 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Olvik} and \textit{R. Kangro}, Math. Model. Anal. 20, No. 4, 516--528 (2015; Zbl 1488.91140) Full Text: DOI arXiv
Lenkšas, A.; Mackevičius, V. Weak approximation of Heston model by discrete random variables. (English) Zbl 07313367 Math. Comput. Simul. 113, 1-15 (2015). MSC: 65Cxx 91Bxx 60Hxx PDFBibTeX XMLCite \textit{A. Lenkšas} and \textit{V. Mackevičius}, Math. Comput. Simul. 113, 1--15 (2015; Zbl 07313367) Full Text: DOI
Lötstedt, Per; von Sydow, Lina Numerical option pricing without oscillations using flux limiters. (English) Zbl 1443.91332 Comput. Math. Appl. 70, No. 1, 1-10 (2015). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{P. Lötstedt} and \textit{L. von Sydow}, Comput. Math. Appl. 70, No. 1, 1--10 (2015; Zbl 1443.91332) Full Text: DOI
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. (English) Zbl 1443.91285 Comput. Math. Appl. 69, No. 12, 1407-1419 (2015). MSC: 91G20 35K10 35R11 PDFBibTeX XMLCite \textit{W. Chen} et al., Comput. Math. Appl. 69, No. 12, 1407--1419 (2015; Zbl 1443.91285) Full Text: DOI
Farnoosh, R.; Sobhani, Amirhossein; Rezazadeh, Hamidreza; Beheshti, Mohammad Hossein Numerical method for discrete double barrier option pricing with time-dependent parameters. (English) Zbl 1443.91329 Comput. Math. Appl. 70, No. 8, 2006-2013 (2015). MSC: 91G60 65M99 35K10 65D30 91G20 PDFBibTeX XMLCite \textit{R. Farnoosh} et al., Comput. Math. Appl. 70, No. 8, 2006--2013 (2015; Zbl 1443.91329) Full Text: DOI
Chen, Wenting; Xu, Liangbin; Zhu, Song-Ping Stock loan valuation under a stochastic interest rate model. (English) Zbl 1443.91307 Comput. Math. Appl. 70, No. 8, 1757-1771 (2015). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{W. Chen} et al., Comput. Math. Appl. 70, No. 8, 1757--1771 (2015; Zbl 1443.91307) Full Text: DOI
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea Pricing approximations and error estimates for local Lévy-type models with default. (English) Zbl 1443.91298 Comput. Math. Appl. 69, No. 10, 1189-1219 (2015). MSC: 91G20 60G51 91G60 PDFBibTeX XMLCite \textit{M. Lorig} et al., Comput. Math. Appl. 69, No. 10, 1189--1219 (2015; Zbl 1443.91298) Full Text: DOI arXiv
Mohammadi, Reza Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing. (English) Zbl 1443.65249 Comput. Math. Appl. 69, No. 8, 777-797 (2015). MSC: 65M70 65M12 91G60 PDFBibTeX XMLCite \textit{R. Mohammadi}, Comput. Math. Appl. 69, No. 8, 777--797 (2015; Zbl 1443.65249) Full Text: DOI
Zhang, Ran; Zhang, Qi; Song, Haiming An efficient finite element method for pricing American multi-asset put options. (English) Zbl 1524.91154 Commun. Nonlinear Sci. Numer. Simul. 29, No. 1-3, 25-36 (2015). MSC: 91G60 65M60 35A35 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{R. Zhang} et al., Commun. Nonlinear Sci. Numer. Simul. 29, No. 1--3, 25--36 (2015; Zbl 1524.91154) Full Text: DOI
Lu, Xiaoping; Putri, Endah R. M. Semi-analytic valuation of stock loans with finite maturity. (English) Zbl 1457.91383 Commun. Nonlinear Sci. Numer. Simul. 27, No. 1-3, 206-215 (2015). MSC: 91G20 35Q91 60G40 PDFBibTeX XMLCite \textit{X. Lu} and \textit{E. R. M. Putri}, Commun. Nonlinear Sci. Numer. Simul. 27, No. 1--3, 206--215 (2015; Zbl 1457.91383) Full Text: DOI
Kim, Dong Han; Marmi, Stefano Distribution of asset price movement and market potential. (English) Zbl 1456.91123 J. Stat. Mech. Theory Exp. 2015, No. 7, Paper No. P07001, 12 p. (2015). MSC: 91G30 91B80 PDFBibTeX XMLCite \textit{D. H. Kim} and \textit{S. Marmi}, J. Stat. Mech. Theory Exp. 2015, No. 7, Paper No. P07001, 12 p. (2015; Zbl 1456.91123) Full Text: DOI arXiv
Koleva, Miglena N.; Vulkov, Lubin G. 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 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Lect. Notes Comput. Sci. 9374, 360--368 (2015; Zbl 1447.91192) Full Text: DOI
Chernogorova, Tatiana; Vulkov, Lubin 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 PDFBibTeX XMLCite \textit{T. Chernogorova} and \textit{L. Vulkov}, Lect. Notes Comput. Sci. 9374, 63--71 (2015; Zbl 1441.91090) Full Text: DOI
Mehrdoust, Farshid; Saber, Naghmeh Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps. (English) Zbl 1510.91191 J. Stat. Comput. Simulation 85, No. 18, 3811-3819 (2015). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{F. Mehrdoust} and \textit{N. Saber}, J. Stat. Comput. Simulation 85, No. 18, 3811--3819 (2015; Zbl 1510.91191) Full Text: DOI
Cape, Joshua; Dearden, William; Gamber, William; Liebner, Jeffrey; Lu, Qin; Nguyen, M. Linh Estimating Heston’s and Bates’ models parameters using Markov chain Monte Carlo simulation. (English) Zbl 1457.62329 J. Stat. Comput. Simulation 85, No. 11, 2295-2314 (2015). MSC: 62P05 91G20 91G60 PDFBibTeX XMLCite \textit{J. Cape} et al., J. Stat. Comput. Simulation 85, No. 11, 2295--2314 (2015; Zbl 1457.62329) Full Text: DOI
Mehrdoust, Farshid A new hybrid Monte Carlo simulation for Asian options pricing. (English) Zbl 1458.91228 J. Stat. Comput. Simulation 85, No. 3, 507-516 (2015). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{F. Mehrdoust}, J. Stat. Comput. Simulation 85, No. 3, 507--516 (2015; Zbl 1458.91228) Full Text: DOI
Lee, Youngrok; Lee, Jaesung Local volatility for quanto option prices with stochastic interest rates. (English) Zbl 1433.91178 Korean J. Math. 23, No. 1, 81-91 (2015). MSC: 91G20 91G30 60G20 65C20 35Q84 PDFBibTeX XMLCite \textit{Y. Lee} and \textit{J. Lee}, Korean J. Math. 23, No. 1, 81--91 (2015; Zbl 1433.91178) Full Text: DOI
Safari, Ehram; Babakhani, Masoud; Sadjadi, Seyed Jafar; Shahanaghi, Kamran; Naboureh, Khadijeh Determining strategy of pricing for a web service with different QoS levels and reservation level constraint. (English) Zbl 1443.90103 Appl. Math. Modelling 39, No. 13, 3784-3813 (2015). MSC: 90B05 49K15 91B24 PDFBibTeX XMLCite \textit{E. Safari} et al., Appl. Math. Modelling 39, No. 13, 3784--3813 (2015; Zbl 1443.90103) Full Text: DOI
Ahmadi, Mehdi; Shavandi, Hassan Dynamic pricing in a production system with multiple demand classes. (English) Zbl 1443.91180 Appl. Math. Modelling 39, No. 8, 2332-2344 (2015). MSC: 91B38 90C40 PDFBibTeX XMLCite \textit{M. Ahmadi} and \textit{H. Shavandi}, Appl. Math. Modelling 39, No. 8, 2332--2344 (2015; Zbl 1443.91180) Full Text: DOI
Chang, Chun-Tao; Cheng, Mei-Chuan; Ouyang, Liang-Yuh Optimal pricing and ordering policies for non-instantaneously deteriorating items under order-size-dependent delay in payments. (English) Zbl 1432.90010 Appl. Math. Modelling 39, No. 2, 747-763 (2015). MSC: 90B05 PDFBibTeX XMLCite \textit{C.-T. Chang} et al., Appl. Math. Modelling 39, No. 2, 747--763 (2015; Zbl 1432.90010) Full Text: DOI
Chen, Wei G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty. (English) Zbl 1435.91183 J. Appl. Math. 2015, Article ID 910809, 13 p. (2015). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{W. Chen}, J. Appl. Math. 2015, Article ID 910809, 13 p. (2015; Zbl 1435.91183) Full Text: DOI arXiv
Chan, Leunglung; Zhu, Song-Ping An analytic formula for pricing American-style convertible bonds in a regime switching model. (English) Zbl 1433.91172 IMA J. Manag. Math. 26, No. 4, 403-428 (2015). MSC: 91G20 60H30 60J28 PDFBibTeX XMLCite \textit{L. Chan} and \textit{S.-P. Zhu}, IMA J. Manag. Math. 26, No. 4, 403--428 (2015; Zbl 1433.91172) Full Text: DOI
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model. (English) Zbl 1433.91167 IMA J. Manag. Math. 26, No. 4, 377-401 (2015). MSC: 91G20 91G30 60G40 PDFBibTeX XMLCite \textit{E. Appolloni} et al., IMA J. Manag. Math. 26, No. 4, 377--401 (2015; Zbl 1433.91167) Full Text: DOI arXiv
Ge, Lei; Qian, Xiaosong; Yue, Xingye Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework. (English) Zbl 1433.91186 IMA J. Manag. Math. 26, No. 3, 325-344 (2015). MSC: 91G40 91G20 PDFBibTeX XMLCite \textit{L. Ge} et al., IMA J. Manag. Math. 26, No. 3, 325--344 (2015; Zbl 1433.91186) Full Text: DOI
Sarmah, S. P.; Sinha, Santanu; Kumar, Lalit Price and warranty competition in a duopoly distribution channel: dynamic stability analysis for boundedly rational agents. (English) Zbl 1433.91093 IMA J. Manag. Math. 26, No. 3, 299-324 (2015). MSC: 91B54 90B06 PDFBibTeX XMLCite \textit{S. P. Sarmah} et al., IMA J. Manag. Math. 26, No. 3, 299--324 (2015; Zbl 1433.91093) Full Text: DOI
Lai, Yongzeng; Li, Zhongfei; Zeng, Yan Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. (English) Zbl 1433.91177 IMA J. Manag. Math. 26, No. 1, 11-37 (2015). MSC: 91G20 91G60 91G70 PDFBibTeX XMLCite \textit{Y. Lai} et al., IMA J. Manag. Math. 26, No. 1, 11--37 (2015; Zbl 1433.91177) Full Text: DOI
Cai, Xiaoqiang; Wen, Limin; Wu, Xianyi; Zhou, Xian Credibility estimation of distribution functions with applications to experience rating in general insurance. (English) Zbl 1414.91169 N. Am. Actuar. J. 19, No. 4, 311-335 (2015). MSC: 91B30 PDFBibTeX XMLCite \textit{X. Cai} et al., N. Am. Actuar. J. 19, No. 4, 311--335 (2015; Zbl 1414.91169) Full Text: DOI
Fong, Joelle H.; Shao, Adam W.; Sherris, Michael Multistate actuarial models of functional disability. (English) Zbl 1414.91185 N. Am. Actuar. J. 19, No. 1, 41-59 (2015). MSC: 91B30 PDFBibTeX XMLCite \textit{J. H. Fong} et al., N. Am. Actuar. J. 19, No. 1, 41--59 (2015; Zbl 1414.91185) Full Text: DOI
Senay, Ozge; Sutherland, Alan Local currency pricing, foreign monetary shocks and exchange rate policy. (English) Zbl 1412.91199 Open Econ. Rev. 26, No. 4, 633-661 (2015). MSC: 91B64 PDFBibTeX XMLCite \textit{O. Senay} and \textit{A. Sutherland}, Open Econ. Rev. 26, No. 4, 633--661 (2015; Zbl 1412.91199) Full Text: DOI Link
Wang, Chan; Zou, Heng-fu Optimal monetary policy under a global dollar standard: the effect of vertical trade and production. (English) Zbl 1412.91206 Open Econ. Rev. 26, No. 1, 121-137 (2015). MSC: 91B64 91B60 PDFBibTeX XMLCite \textit{C. Wang} and \textit{H.-f. Zou}, Open Econ. Rev. 26, No. 1, 121--137 (2015; Zbl 1412.91206) Full Text: DOI Link
Wu, Chin-Shan; Lee, Ming-Chih; Chiu, Chien-Liang The effects of financial leverage changes on stock returns: a study of exchange rate volatility. (English) Zbl 1411.91610 Int. J. Inf. Manage. Sci. 2015, Spec. Iss., 123-138 (2015). MSC: 91G50 91G30 62P05 PDFBibTeX XMLCite \textit{C.-S. Wu} et al., Int. J. Inf. Manage. Sci. 2015, 123--138 (2015; Zbl 1411.91610) Full Text: Link
Chen, Wen; Fleischhacker, Adam J.; Katehakis, Michael N. Dynamic pricing in a dual-market environment. (English) Zbl 1411.90018 Nav. Res. Logist. 62, No. 7, 531-549 (2015). MSC: 90B05 90C39 PDFBibTeX XMLCite \textit{W. Chen} et al., Nav. Res. Logist. 62, No. 7, 531--549 (2015; Zbl 1411.90018) Full Text: DOI arXiv
Chintapalli, Prashant; Hazra, Jishnu Pricing and inventory management during new product introduction when shortage creates hype. (English) Zbl 1411.90019 Nav. Res. Logist. 62, No. 4, 304-320 (2015). MSC: 90B05 90B60 PDFBibTeX XMLCite \textit{P. Chintapalli} and \textit{J. Hazra}, Nav. Res. Logist. 62, No. 4, 304--320 (2015; Zbl 1411.90019) Full Text: DOI
Calvo-Garrido, María del Carmen; Vázquez, Carlos Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance. (English) Zbl 1410.91258 Appl. Math. Comput. 271, 730-742 (2015). MSC: 91B30 91G80 91G70 PDFBibTeX XMLCite \textit{M. d. C. Calvo-Garrido} and \textit{C. Vázquez}, Appl. Math. Comput. 271, 730--742 (2015; Zbl 1410.91258) Full Text: DOI
Jain, Shashi; Oosterlee, Cornelis W. The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks. (English) Zbl 1410.91486 Appl. Math. Comput. 269, 412-431 (2015). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{S. Jain} and \textit{C. W. Oosterlee}, Appl. Math. Comput. 269, 412--431 (2015; Zbl 1410.91486) Full Text: DOI Link
Chung, Kun-Jen; Liao, Jui-Jung; Ting, Pin-Shou; Lin, Shy-Der; Srivastava, H. M. The algorithm for the optimal cycle time and pricing decisions for an integrated inventory system with order-size dependent trade credit in supply chain management. (English) Zbl 1410.90007 Appl. Math. Comput. 268, 322-333 (2015). MSC: 90B05 91B24 PDFBibTeX XMLCite \textit{K.-J. Chung} et al., Appl. Math. Comput. 268, 322--333 (2015; Zbl 1410.90007) Full Text: DOI
Imai, Yuto; Arai, Takuji Comparison of local risk minimization and delta hedging strategy for exponential Lévy models. (English) Zbl 1419.91618 JSIAM Lett. 7, 77-80 (2015). MSC: 91G20 60G51 44A10 PDFBibTeX XMLCite \textit{Y. Imai} and \textit{T. Arai}, JSIAM Lett. 7, 77--80 (2015; Zbl 1419.91618) Full Text: DOI
Chiou, Suh-Wen A cutting plane projection method for bi-level area traffic control optimization with uncertain travel demand. (English) Zbl 1410.90039 Appl. Math. Comput. 266, 390-403 (2015). MSC: 90B20 91A65 PDFBibTeX XMLCite \textit{S.-W. Chiou}, Appl. Math. Comput. 266, 390--403 (2015; Zbl 1410.90039) Full Text: DOI
Xin, Wuping; Levinson, David Stochastic congestion and pricing model with endogenous departure time selection and heterogeneous travelers. (English) Zbl 1409.91113 Math. Popul. Stud. 22, No. 1, 37-52 (2015). MSC: 91B24 90B20 PDFBibTeX XMLCite \textit{W. Xin} and \textit{D. Levinson}, Math. Popul. Stud. 22, No. 1, 37--52 (2015; Zbl 1409.91113) Full Text: DOI Link
Rezapour, M.; Balakrishnan, N. Some properties of stochastic volatility model that are induced by its volatility sequence. (English) Zbl 1486.62274 Stat. Methodol. 24, 28-36 (2015). MSC: 62P05 60G55 62G32 91B70 91G30 PDFBibTeX XMLCite \textit{M. Rezapour} and \textit{N. Balakrishnan}, Stat. Methodol. 24, 28--36 (2015; Zbl 1486.62274) Full Text: DOI
Beiranvand, Ali; Ivaz, Karim Valuation of installment option by penalty method. (English) Zbl 1412.91220 Comput. Methods Differ. Equ. 3, No. 4, 298-310 (2015). MSC: 91G20 91G80 35R35 PDFBibTeX XMLCite \textit{A. Beiranvand} and \textit{K. Ivaz}, Comput. Methods Differ. Equ. 3, No. 4, 298--310 (2015; Zbl 1412.91220) Full Text: Link
Wang, Chao; Zhou, Shengwu; Yang, Jingyuan The pricing of vulnerable options in a fractional Brownian motion environment. (English) Zbl 1418.91546 Discrete Dyn. Nat. Soc. 2015, Article ID 579213, 10 p. (2015). MSC: 91G20 60G22 PDFBibTeX XMLCite \textit{C. Wang} et al., Discrete Dyn. Nat. Soc. 2015, Article ID 579213, 10 p. (2015; Zbl 1418.91546) Full Text: DOI
Zheng, Min Heterogeneous expectations and speculative behavior in insurance-linked securities. (English) Zbl 1418.91260 Discrete Dyn. Nat. Soc. 2015, Article ID 574091, 12 p. (2015). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{M. Zheng}, Discrete Dyn. Nat. Soc. 2015, Article ID 574091, 12 p. (2015; Zbl 1418.91260) Full Text: DOI
Shokrollahi, Foad; Kılıçman, Adem Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option. (English) Zbl 1422.91721 Adv. Difference Equ. 2015, Paper No. 257, 8 p. (2015). MSC: 91G20 91B30 60G22 60J75 PDFBibTeX XMLCite \textit{F. Shokrollahi} and \textit{A. Kılıçman}, Adv. Difference Equ. 2015, Paper No. 257, 8 p. (2015; Zbl 1422.91721) Full Text: DOI
Andreu, Laura; Gargallo, Pilar; Salvador, Manuel; Sarto, José Luis Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds. (English) Zbl 1420.91442 Appl. Stoch. Models Bus. Ind. 31, No. 6, 745-761 (2015). MSC: 91G20 62P05 62F15 PDFBibTeX XMLCite \textit{L. Andreu} et al., Appl. Stoch. Models Bus. Ind. 31, No. 6, 745--761 (2015; Zbl 1420.91442) Full Text: DOI Link
Xu, Linlin; Ökten, Giray High-performance financial simulation using randomized quasi-Monte Carlo methods. (English) Zbl 1406.91488 Quant. Finance 15, No. 8, 1425-1436 (2015). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{L. Xu} and \textit{G. Ökten}, Quant. Finance 15, No. 8, 1425--1436 (2015; Zbl 1406.91488) Full Text: DOI arXiv
Mariani, Maria C.; Sengupta, Indranil; Sewell, Granville Numerical methods applied to option pricing models with transaction costs and stochastic volatility. (English) Zbl 1406.91485 Quant. Finance 15, No. 8, 1417-1424 (2015). MSC: 91G60 91G20 65M99 PDFBibTeX XMLCite \textit{M. C. Mariani} et al., Quant. Finance 15, No. 8, 1417--1424 (2015; Zbl 1406.91485) Full Text: DOI
Barunik, Jozef; Vacha, Lukas Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (English) Zbl 1406.91432 Quant. Finance 15, No. 8, 1347-1364 (2015). MSC: 91G20 62P05 42C40 PDFBibTeX XMLCite \textit{J. Barunik} and \textit{L. Vacha}, Quant. Finance 15, No. 8, 1347--1364 (2015; Zbl 1406.91432) Full Text: DOI arXiv
Sanfelici, Simona; Curato, Imma Valentina; Mancino, Maria Elvira High-frequency volatility of volatility estimation free from spot volatility estimates. (English) Zbl 1406.91451 Quant. Finance 15, No. 8, 1331-1345 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{S. Sanfelici} et al., Quant. Finance 15, No. 8, 1331--1345 (2015; Zbl 1406.91451) Full Text: DOI
Filimonov, V.; Sornette, D. Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data. (English) Zbl 1406.91440 Quant. Finance 15, No. 8, 1293-1314 (2015). MSC: 91G20 60G55 PDFBibTeX XMLCite \textit{V. Filimonov} and \textit{D. Sornette}, Quant. Finance 15, No. 8, 1293--1314 (2015; Zbl 1406.91440) Full Text: DOI arXiv
Zhu, Helin; Ye, Fan; Zhou, Enlu Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes. (English) Zbl 1406.91461 Quant. Finance 15, No. 11, 1885-1900 (2015). MSC: 91G20 60G40 60J75 60G44 PDFBibTeX XMLCite \textit{H. Zhu} et al., Quant. Finance 15, No. 11, 1885--1900 (2015; Zbl 1406.91461) Full Text: DOI arXiv
Leal, Sandrine Jacob Fundamentalists, chartists and asset pricing anomalies. (English) Zbl 1406.91152 Quant. Finance 15, No. 11, 1837-1850 (2015). MSC: 91B25 91B69 PDFBibTeX XMLCite \textit{S. J. Leal}, Quant. Finance 15, No. 11, 1837--1850 (2015; Zbl 1406.91152) Full Text: DOI
Sadati, Z.; Maleknejad, Kh. Application of triangular functions for solving the Vasicek model. (English) Zbl 1415.91319 J. Linear Topol. Algebra 4, No. 3, 173-182 (2015). MSC: 91G60 65C30 60H20 91G30 PDFBibTeX XMLCite \textit{Z. Sadati} and \textit{Kh. Maleknejad}, J. Linear Topol. Algebra 4, No. 3, 173--182 (2015; Zbl 1415.91319) Full Text: Link
Atkeson, Andrew G.; Eisfeldt, Andrea L.; Weill, Pierre-Olivier Entry and exit in OTC derivatives markets. (English) Zbl 1419.91603 Econometrica 83, No. 6, 2231-2292 (2015). MSC: 91G20 91B14 PDFBibTeX XMLCite \textit{A. G. Atkeson} et al., Econometrica 83, No. 6, 2231--2292 (2015; Zbl 1419.91603) Full Text: DOI
Szabó, Andrea The value of free water: analyzing South Africa’s free basic water policy. (English) Zbl 1419.91550 Econometrica 83, No. 5, 1913-1961 (2015). MSC: 91B76 62P20 PDFBibTeX XMLCite \textit{A. Szabó}, Econometrica 83, No. 5, 1913--1961 (2015; Zbl 1419.91550) Full Text: DOI
Fan, Jianqing; Liao, Yuan; Yao, Jiawei Power enhancement in high-dimensional cross-sectional tests. (English) Zbl 1410.62201 Econometrica 83, No. 4, 1497-1541 (2015). MSC: 62H15 62F05 62P20 PDFBibTeX XMLCite \textit{J. Fan} et al., Econometrica 83, No. 4, 1497--1541 (2015; Zbl 1410.62201) Full Text: DOI arXiv
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor Parametric inference and dynamic state recovery from option panels. (English) Zbl 1419.91602 Econometrica 83, No. 3, 1081-1145 (2015). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{T. G. Andersen} et al., Econometrica 83, No. 3, 1081--1145 (2015; Zbl 1419.91602) Full Text: DOI
Mele, Antonio; Sangiorgi, Francesco Uncertainty, information acquisition, and price swings in asset markets. (English) Zbl 1405.91220 Rev. Econ. Stud. 82, No. 4, 1533-1567 (2015). MSC: 91B25 91B06 PDFBibTeX XMLCite \textit{A. Mele} and \textit{F. Sangiorgi}, Rev. Econ. Stud. 82, No. 4, 1533--1567 (2015; Zbl 1405.91220) Full Text: DOI Link
Grubb, Michael D. Consumer inattention and bill-shock regulation. (English) Zbl 1405.91346 Rev. Econ. Stud. 82, No. 1, 219-257 (2015). MSC: 91B42 PDFBibTeX XMLCite \textit{M. D. Grubb}, Rev. Econ. Stud. 82, No. 1, 219--257 (2015; Zbl 1405.91346) Full Text: DOI
Gandhi, Amit; Serrano-Padial, Ricardo Does belief heterogeneity explain asset prices: the case of the longshot bias. (English) Zbl 1405.91616 Rev. Econ. Stud. 82, No. 1, 156-186 (2015). MSC: 91G20 91B25 91B16 PDFBibTeX XMLCite \textit{A. Gandhi} and \textit{R. Serrano-Padial}, Rev. Econ. Stud. 82, No. 1, 156--186 (2015; Zbl 1405.91616) Full Text: DOI
Fakharany, M.; Company, R.; Jódar, L. Unconditional positive stable numerical solution of partial integrodifferential option pricing problems. (English) Zbl 1435.91197 J. Appl. Math. 2015, Article ID 960728, 10 p. (2015). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{M. Fakharany} et al., J. Appl. Math. 2015, Article ID 960728, 10 p. (2015; Zbl 1435.91197) Full Text: DOI
Majumder, P.; Bera, U. K. 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 PDFBibTeX XMLCite \textit{P. Majumder} and \textit{U. K. Bera}, in: Rough sets, fuzzy sets and soft computing. Proceedings of the 2nd international conference. New Delhi: Narosa Publishing House. 163--176 (2015; Zbl 1406.91465)
Conforti, Giovanni; De Marco, Stefano; Deuschel, Jean-Dominique On small-noise equations with degenerate limiting system arising from volatility models. (English) Zbl 1418.91550 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 473-505 (2015). MSC: 91G30 91G80 60H10 60F10 PDFBibTeX XMLCite \textit{G. Conforti} et al., Springer Proc. Math. Stat. 110, 473--505 (2015; Zbl 1418.91550) Full Text: DOI arXiv
Bayer, Christian; Friz, Peter K.; Laurence, Peter On the probability density function of baskets. (English) Zbl 1418.91502 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 449-472 (2015). MSC: 91G20 60F10 PDFBibTeX XMLCite \textit{C. Bayer} et al., Springer Proc. Math. Stat. 110, 449--472 (2015; Zbl 1418.91502) Full Text: DOI arXiv
Takahashi, Akihiko Asymptotic expansion approach in finance. (English) Zbl 1418.91541 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 345-411 (2015). MSC: 91G20 91G30 60H07 41A60 60H30 PDFBibTeX XMLCite \textit{A. Takahashi}, Springer Proc. Math. Stat. 110, 345--411 (2015; Zbl 1418.91541) Full Text: DOI Link
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea Asymptotics for \(d\)-dimensional Lévy-type processes. (English) Zbl 1418.91525 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 321-343 (2015). MSC: 91G20 60G51 41A60 PDFBibTeX XMLCite \textit{M. Lorig} et al., Springer Proc. Math. Stat. 110, 321--343 (2015; Zbl 1418.91525) Full Text: DOI arXiv
Friz, Peter; Gerhold, Stefan Extrapolation analytics for Dupire’s local volatility. (English) Zbl 1418.91511 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 273-286 (2015). MSC: 91G20 91B70 60J75 PDFBibTeX XMLCite \textit{P. Friz} and \textit{S. Gerhold}, Springer Proc. Math. Stat. 110, 273--286 (2015; Zbl 1418.91511) Full Text: DOI
Wang, Tai-Ho; Gatheral, Jim Implied volatility from local volatility: a path integral approach. (English) Zbl 1418.91547 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 247-271 (2015). MSC: 91G20 91G80 46T12 35K08 PDFBibTeX XMLCite \textit{T.-H. Wang} and \textit{J. Gatheral}, Springer Proc. Math. Stat. 110, 247--271 (2015; Zbl 1418.91547) Full Text: DOI
Keller-Ressel, Martin; Teichmann, Josef A remark on Gatheral’s ‘Most-likely path approximation’ of implied volatility. (English) Zbl 1418.91520 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 239-245 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Keller-Ressel} and \textit{J. Teichmann}, Springer Proc. Math. Stat. 110, 239--245 (2015; Zbl 1418.91520) Full Text: DOI arXiv
Bayer, Christian; Laurence, Peter Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model. (English) Zbl 1418.91595 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 213-237 (2015). MSC: 91G60 65C05 91G20 35K08 PDFBibTeX XMLCite \textit{C. Bayer} and \textit{P. Laurence}, Springer Proc. Math. Stat. 110, 213--237 (2015; Zbl 1418.91595) Full Text: DOI
Gulisashvili, Archil; Tankov, Peter Implied volatility of basket options at extreme strikes. (English) Zbl 1418.91516 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 175-212 (2015). MSC: 91G20 62P05 62H05 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{P. Tankov}, Springer Proc. Math. Stat. 110, 175--212 (2015; Zbl 1418.91516) Full Text: DOI arXiv
Osajima, Yasufumi General asymptotics of Wiener functionals and application to implied volatilities. (English) Zbl 1418.91532 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 137-173 (2015). MSC: 91G20 41A60 60H07 PDFBibTeX XMLCite \textit{Y. Osajima}, Springer Proc. Math. Stat. 110, 137--173 (2015; Zbl 1418.91532) Full Text: DOI
Arous, Gérard Ben; Laurence, Peter 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 PDFBibTeX XMLCite \textit{G. B. Arous} and \textit{P. Laurence}, Springer Proc. Math. Stat. 110, 89--136 (2015; Zbl 1418.91498) Full Text: DOI
Henry-Labordère, Pierre Unifying the BGM and SABR models: a short ride in hyperbolic geometry. (English) Zbl 1418.91554 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 71-88 (2015). MSC: 91G30 35K08 51M10 91G20 PDFBibTeX XMLCite \textit{P. Henry-Labordère}, Springer Proc. Math. Stat. 110, 71--88 (2015; Zbl 1418.91554) Full Text: DOI arXiv
Paulot, Louis Asymptotic implied volatility at the second order with application to the SABR model. (English) Zbl 1418.91533 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 37-69 (2015). MSC: 91G20 41A60 35K08 PDFBibTeX XMLCite \textit{L. Paulot}, Springer Proc. Math. Stat. 110, 37--69 (2015; Zbl 1418.91533) Full Text: DOI arXiv
Hagan, Patrick; Lesniewski, Andrew; Woodward, Diana Probability distribution in the SABR model of stochastic volatility. (English) Zbl 1418.91517 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 1-35 (2015). MSC: 91G20 41A60 35K08 PDFBibTeX XMLCite \textit{P. Hagan} et al., Springer Proc. Math. Stat. 110, 1--35 (2015; Zbl 1418.91517) Full Text: DOI
Kuzyutin, Denis V.; Nikitina, Maria V.; Smirnova, Nadezhda V.; Razgulyaeva, Ludmila N. 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 PDFBibTeX XMLCite \textit{D. V. Kuzyutin} et al., in: 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; Zbl 1418.91245)
Liu, Jianxu; Sriboonchitta, Songsak; Roland-Holst, David; Zilberman, David; Wiboonpongse, Aree Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel. (English) Zbl 1418.91523 Huynh, Van-Nam (ed.) et al., Econometrics of risk. Cham: Springer. Stud. Comput. Intell. 583, 287-303 (2015). MSC: 91G20 62P05 62H05 PDFBibTeX XMLCite \textit{J. Liu} et al., Stud. Comput. Intell. 583, 287--303 (2015; Zbl 1418.91523) Full Text: DOI
Autchariyapanitkul, Kittawit; Chanaim, Somsak; Sriboonchitta, Songsak Quantile regression under asymmetric Laplace distribution in capital asset pricing model. (English) Zbl 1418.91621 Huynh, Van-Nam (ed.) et al., Econometrics of risk. Cham: Springer. Stud. Comput. Intell. 583, 219-231 (2015). MSC: 91G99 62P05 91G10 PDFBibTeX XMLCite \textit{K. Autchariyapanitkul} et al., Stud. Comput. Intell. 583, 219--231 (2015; Zbl 1418.91621) Full Text: DOI
Yang, Xiaozhong; Wu, Lifei; Shi, Yuying A new kind of parallel finite difference method for the quanto option pricing model. (English) Zbl 1422.91777 Adv. Difference Equ. 2015, Paper No. 311, 13 p. (2015). MSC: 91G60 65M06 65M12 65Y05 91G20 PDFBibTeX XMLCite \textit{X. Yang} et al., Adv. Difference Equ. 2015, Paper No. 311, 13 p. (2015; Zbl 1422.91777) Full Text: DOI
de Groot, Oliver Solving asset pricing models with stochastic volatility. (English) Zbl 1402.91164 J. Econ. Dyn. Control 52, 308-321 (2015). MSC: 91B25 91B70 PDFBibTeX XMLCite \textit{O. de Groot}, J. Econ. Dyn. Control 52, 308--321 (2015; Zbl 1402.91164) Full Text: DOI Link
Nakov, Anton; Nuño, Galo Learning from experience in the stock market. (English) Zbl 1402.91923 J. Econ. Dyn. Control 52, 224-239 (2015). MSC: 91G70 91A80 91A26 PDFBibTeX XMLCite \textit{A. Nakov} and \textit{G. Nuño}, J. Econ. Dyn. Control 52, 224--239 (2015; Zbl 1402.91923) Full Text: DOI
Hillebrand, Marten; Kikuchi, Tomoo A mechanism for booms and busts in housing prices. (English) Zbl 1402.91363 J. Econ. Dyn. Control 51, 204-217 (2015). MSC: 91B62 91B25 PDFBibTeX XMLCite \textit{M. Hillebrand} and \textit{T. Kikuchi}, J. Econ. Dyn. Control 51, 204--217 (2015; Zbl 1402.91363) Full Text: DOI Link
Magill, Michael; Quinzii, Martine Prices and investment with collateral and default. (English) Zbl 1402.91158 J. Econ. Dyn. Control 51, 111-132 (2015). MSC: 91B25 91B50 PDFBibTeX XMLCite \textit{M. Magill} and \textit{M. Quinzii}, J. Econ. Dyn. Control 51, 111--132 (2015; Zbl 1402.91158) Full Text: DOI Link
Suda, Shintaro; Muroi, Yoshifumi Computation of Greeks using binomial trees in a jump-diffusion model. (English) Zbl 1402.91815 J. Econ. Dyn. Control 51, 93-110 (2015). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{S. Suda} and \textit{Y. Muroi}, J. Econ. Dyn. Control 51, 93--110 (2015; Zbl 1402.91815) Full Text: DOI