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A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
Diko, Peter; Usábel, Miguel - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 126-131
Persistent link: https://www.econbiz.de/10009157427
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Optimal monetary policy with state-dependent pricing
Nakov, Anton; Thomas, Carlos - 2011
Persistent link: https://www.econbiz.de/10009406464
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Optimal monetary policy with state-dependent pricing
Nakov, Anton; Thomas, Carlos - 2011
Persistent link: https://www.econbiz.de/10009409442
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Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations
Hepperger, Peter Thomas - 2011
Persistent link: https://www.econbiz.de/10009375794
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Wald tests for detecting multiple structural changes in persistence
Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing - In: Econometric theory 29 (2013) 2, pp. 289-323
Persistent link: https://www.econbiz.de/10009760008
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Nonlinear and stable perturbation-based approximations
Den Haan, Wouter J.; Wind, Joris de - In: Journal of economic dynamics & control 36 (2012) 10, pp. 1477-1497
Persistent link: https://www.econbiz.de/10009701975
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Numerical solution of dynamic portfolio optimization with transaction costs
Cai, Yongyang; Judd, Kenneth L.; Xu, Rong - 2013
Persistent link: https://www.econbiz.de/10009711772
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Economic growth : theory and numerical solution methods
Novales, Alfonso; Fernández, Esther; Ruíz, Jesús - 2014 - 2. ed.
Persistent link: https://www.econbiz.de/10010382248
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Optimal monetary policy with state-dependent pricing
Nakov, Anton; Thomas, Carlos - 2014
Persistent link: https://www.econbiz.de/10010342564
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Results on numerics for FBSDE with drivers of quadratic growth
Imkeller, Peter; Reis, Gonçalo dos; Zhang, Jianing - In: Contemporary quantitative finance : essays in honour of …, (pp. 159-182). 2010
Persistent link: https://www.econbiz.de/10008749283