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Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with …

Persistent link: https://www.econbiz.de/10010607152

Swing Options Valuation:a BSDE with Constrained Jumps Approach

Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier - HAL - 2011

as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used …

Persistent link: https://www.econbiz.de/10008793451

An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach

Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373

Persistent link: https://www.econbiz.de/10011619975

Short-term probabilistic forecasting of wind speed using stochastic differential equations

Iversen, Emil B.; Morales, Juan M.; Møller, Jan K.; … - In: International journal of forecasting 32 (2016) 3, pp. 981-990

Persistent link: https://www.econbiz.de/10011621968

The impact of asset price bubbles on credit risk measures

Jacobs, Michael <Jr.> - In: Inventi impact: emerging economies (2016) 3, pp. 160-175

Persistent link: https://www.econbiz.de/10011567800

Probabilistic forecasts of wind power generation by stochastic differential equation models

Kloppenborg Møller, Jan; Zugno, Marco; Madsen, Henrik - In: Journal of forecasting 35 (2016) 3, pp. 189-205

Persistent link: https://www.econbiz.de/10011580264

A target zone model where the fundamentals follow a geometric Brownian motion

Cupidon, Jean René; Hyppolite, Judex - In: Journal of mathematical finance 6 (2016) 5, pp. 866-886

Persistent link: https://www.econbiz.de/10011657698

Modeling and pricing financial assets under long memory processes

Misiran, Masnita - 2010

propose estimation methods based on models of two stochastic differential equations (SDEs) perturbed by FBM, that play …

Persistent link: https://www.econbiz.de/10009434846

On securitization, market completion and equilibrium risk transfer

Horst, Ulrich; Pirvu, Traian A.; Dos Reis, Gonçalo - 2010

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

Persistent link: https://www.econbiz.de/10010270699

Complete closed-form solution to a stochastic growth model and corresponding speed of economic recovery

Feicht, Robert; Stummer, Wolfgang - 2010

differential equations. For this framework, we solve completely explicitly the problem of a social planner who seeks to maximize …, effectiveness of labor A, and labor force L; the corresponding dynamics is modelled by a system of three interrelated stochastic …

Persistent link: https://www.econbiz.de/10010302618

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