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Transition probabilities for diffusion equations by means of path integrals

Goovaerts, Marc J.; De Schepper, Ann; Decamps, Marc - 2002

Persistent link: https://www.econbiz.de/10001696849

Solution of the Fokker-Planck equation with boundary conditions by Feynman-Kac integration

Decamps, Marc; Goovaerts, Marc J.; De Schepper, Ann - 2003

Persistent link: https://www.econbiz.de/10001747960

Path integrals as a tool for pricing interest rate contingent claims : the case of reflecting and absorbing boundaries

Decamps, Marc (contributor); De Schepper, Ann (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001950835

Spectral decomposition of optimal assetliability management

Decamps, Marc; De Schepper, Ann; Goovaerts, Marc J. - In: Journal of economic dynamics & control 33 (2009) 3, pp. 710-724

Persistent link: https://www.econbiz.de/10003817998

Spectral Decomposition of Optimal Asset-Liability Management

De Schepper, Ann; Goovaerts, Marc J.; Decamps, Marc - 2009

This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu (2003). In a first part, we apply singular stochastic control techniques to derive a free boundary equation for...

Persistent link: https://www.econbiz.de/10014214155