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Journal of mathematical finance
European journal of operational research : EJOR
623
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ECONIS (ZBW)
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1
A clustering method to solve backward stochastic differential equations with jumps
Zhang, Liangliang
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10012545300
Saved in:
2
The barrier binary options
Gao, Min
;
Wei, Zhenfeng
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10012545572
Saved in:
3
Optimal entry and exit strategy under uncertainty with stochastic volatility
Huang, Jinwu
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 157-172
Persistent link: https://www.econbiz.de/10012545586
Saved in:
4
Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
Saved in:
5
An approach of price process, risk measures and European option pricing taking into account the rating
Tadmon, Calvin
;
Njike-Tchaptchet, Eric Rostand
- In:
Journal of mathematical finance
10
(
2020
)
2
,
pp. 306-333
Persistent link: https://www.econbiz.de/10012545718
Saved in:
6
The pricing of dual-expiry exotics with mean reversion and jumps
Tong, Kevin Z.
;
Hou, Dongping
;
Guan, Jianhua
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 25-41
Persistent link: https://www.econbiz.de/10012116663
Saved in:
7
A cost of carry-based framework for the Bitcoin futures price modeling
Lian, Yu-Min
;
Cheng, Chi-Hung
;
Lin, Shih-Hsun
;
Lin, …
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 42-53
Persistent link: https://www.econbiz.de/10012116666
Saved in:
8
The British binary option
Gao, Min
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 747-762
Persistent link: https://www.econbiz.de/10012433492
Saved in:
9
Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 229-238
Persistent link: https://www.econbiz.de/10012210157
Saved in:
10
Optimal investment and risk control strategies for an insurance fund in stochastic framework
Mwanakatwe, Patrick Kandege
;
Wang, Xiaoguang
;
Su, Yue
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 254-265
Persistent link: https://www.econbiz.de/10012210171
Saved in:
11
Effect of feedback on eBay sellers' business using Markov Chain
Dib, Y. M.
;
Roumieh, N.
;
Saab, G.
;
Maroun, M.
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 325-344
Persistent link: https://www.econbiz.de/10012210203
Saved in:
12
Optimal portfolio choice in a jump-diffusion model with self-exciting
Bian, Baojun
;
Chen, Xinfu
;
Zeng, Xudong
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 345-367
Persistent link: https://www.econbiz.de/10012210282
Saved in:
13
A valuation model for callable eurobonds
Hooper, Vincent J.
;
Pointon, John
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 394-401
Persistent link: https://www.econbiz.de/10012210334
Saved in:
14
Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Pellegrino, Tommaso
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 455-493
Persistent link: https://www.econbiz.de/10012210363
Saved in:
15
Credit scoring with ego-network data
Sewe, Stanley
;
Ngare, Philip
;
Weke, Patrick
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 522-534
Persistent link: https://www.econbiz.de/10012210386
Saved in:
16
Optimal investment strategy for defined contribution pension scheme under the Heston volatility model
Okonkwo, Chidi U.
;
Osu, Bright O.
;
Ihedioha, Silas A.
; …
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 613-622
Persistent link: https://www.econbiz.de/10012016220
Saved in:
17
Mixed fractional Merton model to evaluate European options with transaction costs
Shokrollahi, Foad
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 623-639
Persistent link: https://www.econbiz.de/10012016527
Saved in:
18
Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market
Urama, Thomas Chinwe
;
Ezepue, Patrick Oseloka
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 640-667
Persistent link: https://www.econbiz.de/10012016532
Saved in:
19
Constrained Wiener processes and their financial applications
Leung, Andrew
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 690-709
Persistent link: https://www.econbiz.de/10012016547
Saved in:
20
Option portfolio management in a risk-neutral world
Golembiovsky, Dmitry Jurievich
;
Abramov, Anatoly Markovich
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 710-733
Persistent link: https://www.econbiz.de/10012016559
Saved in:
21
Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 283-301
Persistent link: https://www.econbiz.de/10011874735
Saved in:
22
Optimization of cash management fluctuation through stochastic processes
Dib, Youssef M.
;
Kmeid, Najat
;
Greige, Hanna
;
Raffoul, …
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 408-425
Persistent link: https://www.econbiz.de/10011875270
Saved in:
23
Extended model of stock price behaviour
Koning, Nico
;
Cassidy, Daniel T.
;
Ouyed, Rachid
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011846103
Saved in:
24
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
Saved in:
25
An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana
;
Colin, Fabrice
;
Moutari, Salissou
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
Saved in:
26
Nonparametric model calibration for derivatives
Abergel, Frédéric
;
Tachet des Combes, Rémy
;
Zaatour, …
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 571-596
Persistent link: https://www.econbiz.de/10011752333
Saved in:
27
Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah
;
Ackora-Prah, Joseph
; …
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 633-656
Persistent link: https://www.econbiz.de/10011752419
Saved in:
28
CVA under Bates model with stochastic default intensity
Feng, Yaqin
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 682-698
Persistent link: https://www.econbiz.de/10011752457
Saved in:
29
Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang
;
Shao, Yi
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
Saved in:
30
Effect of extra contribution on stochastic optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
Njoku, K. N. C.
;
Osu, Bright O.
;
Akpanibah, Edikan E.
; …
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 821-833
Persistent link: https://www.econbiz.de/10011789083
Saved in:
31
Application of fast N-body algorithm to option pricing under CGMY model
Sakuma, Takayuki
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 308-318
Persistent link: https://www.econbiz.de/10011673900
Saved in:
32
Optimal investment strategy under stochastic interest rates
Mtunya, Adeline Peter
;
Ngare, Philip
;
Nkansah-Gyekye, Yaw
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 319-332
Persistent link: https://www.econbiz.de/10011673904
Saved in:
33
Mathematical analysis of financial model on market price with stochastic volatility
Mondal, Mitun Kumar
;
Alim, Md. Abdul
;
Rahman, Md. Faizur
; …
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 351-365
Persistent link: https://www.econbiz.de/10011673935
Saved in:
34
A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang
;
Liu, Allen
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
Saved in:
35
The stochastic volatility model, regime switching and value-at-risk (VaR) in international equity markets
Assaf, Ata
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 491-512
Persistent link: https://www.econbiz.de/10011674013
Saved in:
36
On the stochastic dominance of portfolio insurance strategies
Maalej, Hela
;
Prigent, Jean-Luc
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
Saved in:
37
Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
Saved in:
38
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
39
A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.
;
Offen, Elias R.
;
Kunda, Douglas
; …
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
Saved in:
40
Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing
;
Liu, Yinglin
;
Hao, Ruili
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
Saved in:
41
A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
Saved in:
42
On steady dividend payment under functional mean reversion speed
Mtunya, Adeline Peter
;
Ngare, Philip
;
Nkansah-Gyekye, Yaw
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 368-377
Persistent link: https://www.econbiz.de/10011583486
Saved in:
43
Implementation of stochastic yield curve duration and portfolio immunization strategies
Duedahl, Sindre
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 401-415
Persistent link: https://www.econbiz.de/10011583529
Saved in:
44
About stochastic calculus in presence of jumps at predictable stopping times
Galtchouk, Leonid
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 443-456
Persistent link: https://www.econbiz.de/10011583560
Saved in:
45
Optimal portfolio strategy with discounted stochastic cash inflows when the stock price is a semimartingale
Baraedi, Onthusitse
;
Offen, Elias
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 660-684
Persistent link: https://www.econbiz.de/10011656991
Saved in:
46
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
Saved in:
47
Foreign exchange derivative pricing with stochastic correlation
Nabirye, Topilista
;
Ngare, Philip
;
Mungatu, Joseph
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 887-899
Persistent link: https://www.econbiz.de/10011658109
Saved in:
48
Valuating new product development project with a stochastic volatility model
Hu, Chengru
;
Jun, Chulhee
;
Foley, Maggie
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 975-1001
Persistent link: https://www.econbiz.de/10011658165
Saved in:
49
Conditional law of the hitting time for a Lévy process in incomplete observation
Ngom, Waly
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 505-524
Persistent link: https://www.econbiz.de/10011440708
Saved in:
50
Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph
- In:
Journal of mathematical finance
5
(
2015
)
1
,
pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
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