Search Results - subject_exact:"Mathematical analysis"

A new functional setting for term structure modeling using the Heath-Jarrow-Morton framework

Pokojovy, Michael; Nkum, Ebenezer; Fullerton, Thomas M. - 2026

The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640561

Rough PDEs for local stochastic volatility models

Bank, Peter; Bayer, Christian; Friz, Peter K.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460603

Fundamental valuation of patents in continuous time : a Note

Hariharan, Akila; Prabha, Megana; Srinivasan, Naveen; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463174

Discretization of fractional fully nonlinear equations by powers of discrete Laplacians

Chowdhury, Indranil; Jakobsen, Espen R.; Lien, Robin Ø - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015509354

Biodiversity linked bonds : an option pricing based valuation approach

Chan-Lau, Jorge A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015407861

Asymptotic expansions as control variates for deep solvers to fully-coupled forward-backward stochastic differential equations

Naito, Makoto; Saito, Taiga; Takahashi, Akihiko - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358031

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Asymptotic expansions as control variates for deep solvers to fully-coupled forward-backward stochastic differential equations

Naito, Makoto; Saito, Taiga; Takahashi, Akihiko; … - 2025

Book / Working Paper

Constant volatility estimation by classical and bayesian methods in a financial market : an application to Bancolombia's preferential prices

Cortés-García, Christian; Cangrejo-Esquivel, Alvaro - 2025

In this paper we propose methods, from a classical and Bayesian approach, to estimate the constant volatility of an asset when it is not appropriate to fit heteroscedastic or stochastic volatility models relative to the sample series of the asset where no large increase in volatility is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625862

Option pricing mechanisms driven by backward stochastic differential equations

Shi, Yufeng; Teng, Bin; Wang, Sicong - 2025

This study investigates an option pricing method called g-pricing based on backward stochastic differential equations combined with deep learning. We adopted a data-driven approach to find a market-appropriate generator of the backward stochastic differential equation, which is achieved by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557857

Multiscale stochastic models for bitcoin : fractional brownian motion and duration-based approaches

Carvalho, Arthur Rodrigues Pereira de; Quintino, Felipe; … - 2025

This study introduces and evaluates stochastic models to describe Bitcoin price dynamics at different time scales, using daily data from January 2019 to December 2024 and intraday data from 20 January 2025. In the daily analysis, models based on are introduced to capture long memory, paired with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015533849

Robust two-player differential investment game of defined contribution pension plans under multiple risks

Zhang, Yumo; Lind, Peter Pommergård; Xiang, Hanqing - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534470

Optimal consumption for recursive preferences with local substitution under risk

Li, Hanwu; Riedel, Frank - 2024

We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066357

Determination of the density of the surface which is exposed to various working bodies of the vibration plate VP-10

Yakovenko, Andrii; Vasyliev, Oleksii - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078516

A stochastically correlated bivariate square-root model

Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2024

We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636327

Modelling the industrial production of electric and gas utilities through the CIR3 model

Ceci, Claudia; Bufalo, Michele; Orlando, Giuseppe - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015045564

A fuzzy fractional power series approximation and Taylor expansion for solving fuzzy fractional differential equation

Singh, Payal; Gazi, Kamal Hossain; Rahaman, Mostafijur; … - 2024

Fuzzy fractional differential has the strength to capture the senses of memory and uncertainty simultaneously involved in dynamical systems. However, a solution for fuzzy fractional differential equations is not always found regularly. This paper discusses a numerical solution approach for the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014541871

A weak MLMC scheme for Lévy-Copula-Driven SDEs with applications to the pricing of credit, equity and interest rate derivatives

Mijatović, Aleksandar; Palfray, Romain - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015415705

A gentle introduction to matrix calculus

Magnus, Jan R. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015552399

Economic dynamics and distributions : differential equations, optimal control and applications

Brito, Paulo - 2026

This textbook introduces readers to the economic dynamics of growth and distribution and presents dynamic mathematical tools essential to understanding various economic phenomena. From ordinary differential equations to partial differential equations and stochastic differential equations, it...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628368

An inventory model for stock-dependent fluctuating demand and without shortages : stochastic differential equation approach

Nath, Sourav; Saha, Sumit - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593387

Economic analysis through mathematics : tools and techniques for decision making

Lukač, Zrinka - 2026

Matrices and types of matrices -- Basic matrix operations -- Determinants -- Systems of linear equations -- Vectors and Vector Spaces -- Applications of linear algebra in economics -- Real functions of one real variable -- The concept of a limit -- Continuous functions -- Single-Variable...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583346

Strong order-one-half convergence of the projected Euler–Maruyama method for the Cox–Ingersoll–Ross model

Tang, Yiyi - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655833

A neutrosophic differential equation approach for modelling glucose distribution in the bloodstream using neutrosophic sets

Acharya, Ashish; Mahata, Animesh; Mukherjee, Supriya; … - 2023

Neutrosophic sets are a generalization of fuzzy sets and intuitionistic fuzzy sets. They play an important role in addressing uncertainty, vagueness, and indeterminacy in problem-solving. Differential equations in a neutrosophic environment under Hukuhara differentiability are used to model the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014516474

A prey-refuge harvesting model using intuitionistic fuzzy sets

Acharya, Ashish; Mahata, Animesh; Sil, Nikhilesh; … - 2023

This study considers the classical Lotka-Volterra model for a prey-predator system with harvesting effort and catchability coefficients for both species incorporating a new prey-refuge parameter. Trapezoidal intuitionistic fuzzy numbers are considered to describe the initial values of the prey...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520206

Lanchester's differential equations as operational command decision making tools

Kostić, Mladen; Jovanović, Aca - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014307800

Credit risk pricing in a consumption-based equilibrium framework with incomplete accounting information

Ma, Junchi; Ogunsolu, Mobolaji; Qiu, Jinniao; Sezer, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014329901

A probabilistic solution to high-dimensional continuous-time macro and finance models

Ji, Huang - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014331249

New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014331906

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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023

Edition: This version: July 3, 2023

Book / Working Paper

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, ebvufind01.dmz1.zbw.eu/10014336459

Discount models

Filipović, Damir - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014426399

Solutions in multi-actor projects with collaboration and strategic incentives

Beek, Andries van - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014381487

Analysis of numerical integration schemes for the Heston model : a case study based on the pricing of investment certificates

Fusaro, Michelangelo; Giribone, Pier Giuseppe; Tissone, … - 2023

The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity, it calculates the pay-off for all the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014383148

The design and evaluation of a picture fuzzy mining safety system with picture fuzzy differential equations

Mondal, Debapriya; Garai, Totan; Roy, Gopal Chandra; … - 2023

The mining industry continues to play a significant role in developing the economy in developing countries. The need for minerals influences the magnitude of the mining industry, and safety concerns have taken on considerable importance in this sector. Equipment failure and breakdown will...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532356

An invitation to stochastic differential equations in healthcare

Breda, Dimitri; Canci, Jung Kyu; D'Ambrosio, Raffaele - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014226389

The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013489501

Application of Malliavin Calculus and Wiener Chaos to Option Pricing Theory (1st Phd Manuscript)

Benhamou, Eric - 2023

This dissertation provides a contribution to the option pricing literature by means of some recent developments in probability theory, namely the Malliavin Calculus and the Wiener chaos theory. It sheds new light on some old and complicated problems by means of these new techniques. It...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257546

Grassmannian Flows and Applications to Nonlinear Partial Differential Equations

Beck, Margaret; Doikou, Anastasia; Malham, Simon; … - 2023

We show how solutions to a large class of partial differential equations with nonlocal Riccati-type nonlinearities can be generated from the corresponding linearized equations, from arbitrary initial data. It is well known that evolutionary matrix Riccati equations can be generated by projecting...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014357803

Dynamic Risk Measures for Processes Via Reflected Backward Stochastic Differential Equations with Time Delayed Generators

Li, Zhimin; Zhou, Min; Yan, Rui - 2023

In this paper, we study the problem of dynamic convex risk measures via reflected backward stochastic differential equations with time delayed generators (RBSDEs with time delayed generators, in short). Under some assumptions on the generators of the equations, we prove that the RBSDEs with a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014261570