Similar Search Results

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

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/10013165295

A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers

Alia, Ishak; Chighoub, Farid; Sohail, Ayesha - In: Insurance / Mathematics & economics 68 (2016), pp. 212-223

Persistent link: https://www.econbiz.de/10011493837

Approximate option pricing under a two-factor Heston-Kou stochastic volatility model

El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014393433

Calibration of stochastic volatility models via second order approximation : the Heston model case

Alòs, Elisa; Santiago, Rafael de; Vives, Josep - 2012

Persistent link: https://www.econbiz.de/10009724303

Calibration of stochastic volatility models via second-order approximation : the Heston case

Alòs, Elisa; Santiago Hernando, Rafael de; Vives, Josep - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-31

Persistent link: https://www.econbiz.de/10011403898

Decomposition formula for jump diffusion models

Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10011970979

High-order approximations to call option prices in the Heston model

Gulisashvili, Archil; Lagunas-Merino, Marc; Merino, Raúl; … - In: The journal of computational finance 24 (2020) 1, pp. 83-102

Persistent link: https://www.econbiz.de/10012421960

Decomposition formula for rough Volterra stochastic volatility models

Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; … - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-47

Persistent link: https://www.econbiz.de/10012650356

A hybrid stochastic volatility model in a Lévy market

El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235

Persistent link: https://www.econbiz.de/10014424191

Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric

Díaz Lozano, Pere; Lozano Bagén, Toni; Vives, Josep - In: The journal of computational finance : JFC 27 (2023) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10014486922