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~isPartOf:"International journal of financial engineering"
~isPartOf:"Mathematical methods of operations research"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Option pricing theory"
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Option pricing theory
Analysis
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Stochastic process
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International journal of financial engineering
Mathematical methods of operations research
Scandinavian actuarial journal
The journal of computational finance
16
International journal of theoretical and applied finance
15
Finance and stochastics
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Computational methods in financial engineering : essays in honour of Manfred Gilli
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1
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
- In:
Scandinavian actuarial journal
2023
(
2023
)
5
,
pp. 413-449
Persistent link: https://www.econbiz.de/10014336459
Saved in:
2
An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu
;
Yamada, Toshihiro
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
Saved in:
3
Indifference pricing of pure endowments via BSDEs under partial information
Ceci, Claudia
;
Colaneri, Katia
;
Cretarola, Alessandra
- In:
Scandinavian actuarial journal
2020
(
2020
)
10
,
pp. 904-933
Persistent link: https://www.econbiz.de/10012313747
Saved in:
4
The study of dynamics for credit default risk by backward stochastic differential equation method
Tian, Kun
;
Xiong, Dewen
;
Yan, Wenchao
;
Yuan, George Xianzhi
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012028824
Saved in:
5
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia
;
Abergel, Frédérik
- In:
Mathematical methods of operations research
87
(
2018
)
3
,
pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
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6
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Saved in:
7
The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods
Özer, H. Ünsal
;
Duran, Ahmet
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011923061
Saved in:
8
Hedging under generalized good-deal bounds and model uncertainty
Becherer, Dirk
;
Kentia Tonleu, Klébert
- In:
Mathematical methods of operations research
86
(
2017
)
1
,
pp. 171-214
Persistent link: https://www.econbiz.de/10011714399
Saved in:
9
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
Saved in:
10
Fractional Black-Scholes equation
Aghili, A.
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673108
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