132 results in 91Gxx
The Markov consistency of Archimedean survival processes
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- Journal of Applied Probability / Volume 53 / Issue 2 / June 2016
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- 21 June 2016, pp. 392-409
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- June 2016
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Markov decision process algorithms for wealth allocation problems with defaultable bonds
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- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
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- 10 June 2016, pp. 392-405
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- June 2016
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Continuous affine processes: transformations, Markov chains and life insurance
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- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
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- 10 June 2016, pp. 423-442
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- June 2016
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Optimal importance sampling for the Laplace transform of exponential Brownian functionals
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- Journal of Applied Probability / Volume 53 / Issue 2 / June 2016
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- 21 June 2016, pp. 531-542
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- June 2016
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Optimal financing and dividend distribution in a general diffusion model with regime switching
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- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
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- 10 June 2016, pp. 406-422
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- June 2016
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Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
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- Advances in Applied Probability / Volume 48 / Issue 1 / March 2016
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- 24 March 2016, pp. 274-297
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- March 2016
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BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 19 February 2016, pp. 299-318
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HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 17 February 2016, pp. 319-338
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CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 10 February 2016, pp. 207-221
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SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 28 January 2016, pp. 339-351
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A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 27 January 2016, pp. 244-268
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AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 27 January 2016, pp. 269-279
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APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY
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- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
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- 22 January 2016, pp. 222-243
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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
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- Journal of Applied Probability / Volume 52 / Issue 4 / December 2015
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- 30 March 2016, pp. 1076-1096
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- December 2015
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On the singular components of a copula
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- Journal of Applied Probability / Volume 52 / Issue 4 / December 2015
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- 30 March 2016, pp. 1175-1182
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- December 2015
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On spherical Monte Carlo simulations for multivariate normal probabilities
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
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- 21 March 2016, pp. 817-836
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- September 2015
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Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 771-785
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- September 2015
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HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
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- The ANZIAM Journal / Volume 56 / Issue 4 / April 2015
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- 02 July 2015, pp. 359-372
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American Option Valuation under Continuous-Time Markov Chains
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- Advances in Applied Probability / Volume 47 / Issue 2 / June 2015
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- 22 February 2016, pp. 378-401
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- June 2015
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Sticky Continuous Processes have Consistent Price Systems
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 586-594
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- June 2015
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