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Modeling positive electricity prices with arithmetic jump-diffusions

Hess, Markus - In: Energy economics 67 (2017), pp. 496-507

Persistent link: https://www.econbiz.de/10011898003

Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility

Sun, Zhongyang; Guo, Junyi - In: Mathematical methods of operations research 88 (2018) 1, pp. 59-79

Persistent link: https://www.econbiz.de/10011903385

Pricing temperature derivatives under weather forecasts

Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34

Persistent link: https://www.econbiz.de/10011903773

VIX-linked fees for GMWBs via explicit solution simulation methods

Kouritzin, Michael A.; MacKay, Anne - In: Insurance / Mathematics & economics 81 (2018), pp. 1-17

Persistent link: https://www.econbiz.de/10011904577

Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility

De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10011890181

Doubly reflected BSDEs and epsilon f-Dynkin games : beyond the right-continuous case

Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...

Persistent link: https://www.econbiz.de/10011892215