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MODELING THE RECOVERY RATE IN...
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Option pricing theory
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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2
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
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3
Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng
;
Li, Zhongfei
;
Zeng, Yan
- In:
IMA journal of management mathematics
26
(
2015
)
1
,
pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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4
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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5
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
-
2023
Persistent link: https://www.econbiz.de/10014336459
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6
Irreversible investment with regime shifts
Guo, Xin
(
contributor
);
Miao, Jianjun
(
contributor
); …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001865012
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7
Irreversible investment with regime shifts
Guo, Xin
;
Miao, Jianjun
;
Morellec, Erwan
- In:
Journal of economic theory
122
(
2005
)
1
,
pp. 37-59
Persistent link: https://www.econbiz.de/10002825135
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8
Carbon bond pricing and model selection
Feng, Jianfen
;
Huang, Xiaowei
;
Hou, Juyue
;
Wang, Chunxia
; …
- In:
The Singapore economic review : journal of the Economic …
63
(
2018
)
2
,
pp. 465-481
Persistent link: https://www.econbiz.de/10011856933
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9
The no-arbitrage pricing of non-traded assets
Jarrow, Robert A.
- In:
Annals of finance
19
(
2023
)
3
,
pp. 401-418
Persistent link: https://www.econbiz.de/10014380572
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10
Convenience yields
Jarrow, Robert A.
- In:
Review of derivatives research
13
(
2010
)
1
,
pp. 25-43
Persistent link: https://www.econbiz.de/10008695502
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