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Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18
In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is...
Persistent link: https://www.econbiz.de/10012391761
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Numerical Methods in Computational Finance : A Partial Differential Equation (PDE/FDM) Approach
Duffy, Daniel J. - 2022
for One‐Factor Problems -- CHAPTER 1 Real Analysis Foundations for this Book -- 1.1 Introduction and Objectives -- 1 …
Persistent link: https://www.econbiz.de/10013171962
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Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
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Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick; Sabate-Vidales, Marc; Siska, David; … - In: The journal of computational finance 26 (2022) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
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Finanzderivate mit MATLAB : mathematische Modellierung und numerische Simulation
Günther, Michael; Jüngel, Ansgar - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001768648
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Finanzderivate mit MATLAB® : Mathematische Modellierung und numerische Simulation
Günther, Michael - 2010 - 2., überarbeitete und erweiterte Auflage
für Analysis und Scientific Computing. …
Persistent link: https://www.econbiz.de/10013517186
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Finanzderivate mit MATLAB® : mathematische Modellierung und numerische Simulation
Günther, Michael; Jüngel, Ansgar - 2010 - 2., überarb. und erw. Aufl.
Persistent link: https://www.econbiz.de/10003909742
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Contract theory in continuous-time models
Cvitanić, Jakša; Jianfeng Zhang; Zhang, Jianfeng - 2013
Persistent link: https://www.econbiz.de/10009628203
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Differential equations, discrete systems and control : economic models
Halanay, Aristide; Samuel, Judita - 1997
Persistent link: https://www.econbiz.de/10009700777