Narrow search
Showing 1 - 10 of 1,974
Cover Image
Solution method and parameter estimation of uncertain partial differential equation with application to China's population
Yang, Lu; Liu, Yang - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 1, pp. 155-177
Persistent link: https://www.econbiz.de/10014500867
Cover Image
A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
Cover Image
Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647
Cover Image
Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
Cover Image
Hedging under generalized good-deal bounds and model uncertainty
Becherer, Dirk; Kentia Tonleu, Klébert - In: Mathematical methods of operations research 86 (2017) 1, pp. 171-214
Persistent link: https://www.econbiz.de/10011714399
Cover Image
Uncertain partial differential equation with application to heat conduction
Yang, Xiangfeng; Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 3, pp. 379-403
Persistent link: https://www.econbiz.de/10011805645
Cover Image
The study of dynamics for credit default risk by backward stochastic differential equation method
Tian, Kun; Xiong, Dewen; Yan, Wenchao; Yuan, George Xianzhi - In: International journal of financial engineering 5 (2018) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10012028824
Cover Image
Backward nonlinear expectation equations
Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas - In: Mathematics and financial economics 12 (2018) 1, pp. 111-134
Persistent link: https://www.econbiz.de/10011963319
Cover Image
Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...
Persistent link: https://www.econbiz.de/10012293125
Cover Image
European option pricing model based on uncertain fractional differential equation
Lu, Ziqiang; Yan, Hongyan; Zhu, Yuanguo - In: Fuzzy optimization and decision making : a journal of … 18 (2019) 2, pp. 199-217
Persistent link: https://www.econbiz.de/10012228556