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~subject:"Monte-Carlo-Simulation"
~subject:"Numerisches Verfahren"
~subject:"Portfolio selection"
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210
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206
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1
Portfolio liquidation with delayed information
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Economic modelling
126
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
Saved in:
2
Pricing American option using a modified fractional black-scholes model under multi-state regime switching
Yousuf, M.
;
Khaliq, Abdul Q. M.
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014497295
Saved in:
3
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning
;
Zhang, Yumo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
Saved in:
4
Pairs trading under delayed cointegration
Yan, Tingjin
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1627-1648
Persistent link: https://www.econbiz.de/10013367938
Saved in:
5
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
Saved in:
6
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
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7
A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M.
;
Ceci, C.
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012419211
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8
Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel
;
Pimentel, Isaque
;
Warin, Xavier
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 633-675
Persistent link: https://www.econbiz.de/10012518073
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9
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
Saved in:
10
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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