Search Results - subject:"stochastic differential equations"

Biodiversity linked bonds : an option pricing based valuation approach

Chan-Lau, Jorge A. - 2025

Persistent link: https://www.econbiz.de/10015407861

Modelling the industrial production of electric and gas utilities through the CIR3 model

Ceci, Claudia; Bufalo, Michele; Orlando, Giuseppe - In: Mathematics and financial economics 18 (2024) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10015045564

The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158

Persistent link: https://www.econbiz.de/10013489501

A default contagion model for pricing defaultable bonds from an information based perspective

Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185

Persistent link: https://www.econbiz.de/10013490963

A fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-32

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was …

Persistent link: https://www.econbiz.de/10014332588

The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large …

Persistent link: https://www.econbiz.de/10013200937

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013201446

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large …

Persistent link: https://www.econbiz.de/10013093086

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10013165295

Construction of an SDE model from intraday copper futures prices

Mastroeni, Loretta; Vellucci, Pierluigi - In: Risks : open access journal 10 (2022) 11, pp. 1-21

This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...

Persistent link: https://www.econbiz.de/10014228905