Search Results - subject:"stochastic differential equations"

A review of tree-based approaches to solving forward-backward stochastic differential equations

Teng, Long - In: The journal of computational finance 25 (2021) 3, pp. 125-159

Persistent link: https://www.econbiz.de/10012873086

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-14

A trader wishes to execute a given number of shares of an illiquid asset. Since the asset price also depends on the trading behaviour, the trader main aim is to find the execution strategy that minimizes the related expected costs. We solve this problem in a discrete time framework, by modeling...

Persistent link: https://www.econbiz.de/10011988791

Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011886557

Stochastic processes of limited frequency and the effects of oversampling

Pollock, David Stephen G. - 2017

Persistent link: https://www.econbiz.de/10011581636

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

Optimal investment decision under switching regimes of subsidy support

Oliveira, Carlos; Perkowski, Nicolas - In: European journal of operational research : EJOR 285 (2020) 1, pp. 120-132

Persistent link: https://www.econbiz.de/10012239489

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

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

The voice of the customer : managing customer care in Twitter

Mousavi, Reza; Johar, Monica; Mookerjee, Vijay S. - In: Information systems research : ISR 31 (2020) 2, pp. 340-360

Persistent link: https://www.econbiz.de/10012294998

Backward stochastic differential equations

Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Operations research letters 48 (2020) 2, pp. 130-135

Persistent link: https://www.econbiz.de/10012254025