Similar Search Results

Arbitrage-free multifactor term structure models : a theory based on stochastic control

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010187681

On ruin probabilities with investments in a risky asset with a regime-switching price

Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897

Persistent link: https://www.econbiz.de/10013440255

Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

Neykova, Daniela - 2016

This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...

Persistent link: https://www.econbiz.de/10011475639

Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152

Persistent link: https://www.econbiz.de/10011442729

Using a mean changing stochastic processes exit-entry model for stock market long-short prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Persistent link: https://www.econbiz.de/10012520206

Using a mean changing stochastic processes exit-entry model for stock market longshort prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Persistent link: https://www.econbiz.de/10012534838

Pricing credit derivatives under incomplete information : a nonlinear-filtering approach

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526

Persistent link: https://www.econbiz.de/10008823701

Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133

Persistent link: https://www.econbiz.de/10009423247

On the price of risk under a regime switching CGMY process

Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, … - In: Asia-Pacific financial markets 23 (2016) 4, pp. 305-335

Persistent link: https://www.econbiz.de/10011619970

Stochastic dividend discount model : covariance of random stock prices

Agosto, Arianna; Mainini, Alessandra; Moretto, Enrico - In: Journal of economics and finance 43 (2019) 3, pp. 552-568

Persistent link: https://www.econbiz.de/10012171498