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Variance Gamma process in the option pricing model
Drahokoupil, Jakub - 2021
Persistent link: https://www.econbiz.de/10012493120
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Variance swaps with mean reversion and multi-factor variance
Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
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Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
Zhang, Caibin; Liang, Zhibin; Yuan, Yu - In: European journal of operational research : EJOR 315 (2024) 1, pp. 213-227
Persistent link: https://www.econbiz.de/10014562822
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Estimating stochastic volatility : the rough side to equityreturns
Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 449-469
Persistent link: https://www.econbiz.de/10012127236
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Kernel convergence estimates for diffusions with continuous coefficients
Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004
Persistent link: https://www.econbiz.de/10009407684
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A successive linear programming algorithm with non-linear time series for the reservoir management problem
Gauvin, Charles; Delage, Erick; Gendreau, Michel - In: Computational Management Science : CMS 15 (2018) 1, pp. 55-86
Persistent link: https://www.econbiz.de/10011860866
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New reliability model for complex systems based on stochastic processes and survival signature
Chang, Miaoxin; Huang, Xianzhen; Coolen, Frank P. A.; … - In: European journal of operational research : EJOR 309 (2023) 3, pp. 1349-1364
Persistent link: https://www.econbiz.de/10014435017
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On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux
Ewald, Christian; Nolan, Charles - In: Journal of economic dynamics & control 162 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015050299
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On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Lleo, Sébastien; Runggaldier, Wolfgang J. - In: European journal of operational research : EJOR 316 (2024) 1, pp. 200-214
Persistent link: https://www.econbiz.de/10014573970
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Orbit while in service
Hanukov, Gabi; Yechiali, Uri - In: Operational research : an international journal 24 (2024) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10015135008