133 results in 91Gxx
ANALYTICALLY PRICING EUROPEAN OPTIONS UNDER A TWO-FACTOR STOCHASTIC INTEREST RATE MODEL WITH A STOCHASTIC LONG-RUN EQUILIBRIUM LEVEL
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- The ANZIAM Journal , First View
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- 19 September 2024, pp. 1-20
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Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
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- ASTIN Bulletin: The Journal of the IAA / Volume 54 / Issue 2 / May 2024
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- 11 April 2024, pp. 213-238
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- May 2024
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Super-replication of life-contingent options under the Black–Scholes framework
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- Journal of Applied Probability , First View
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- 05 April 2024, pp. 1-15
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Constrained optimal stopping under a regime-switching model
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- Journal of Applied Probability , First View
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- 27 March 2024, pp. 1-20
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Discounted densities of overshoot and undershoot for Lévy processes with applications in finance
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- Probability in the Engineering and Informational Sciences , First View
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- 19 March 2024, pp. 1-24
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On some semi-parametric estimates for European option prices
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- Journal of Applied Probability / Volume 61 / Issue 3 / September 2024
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- 14 February 2024, pp. 999-1009
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- September 2024
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An asymptotic approach to centrally planned portfolio selection
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- Advances in Applied Probability / Volume 56 / Issue 3 / September 2024
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- 08 February 2024, pp. 757-784
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- September 2024
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APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL
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- The ANZIAM Journal / Volume 65 / Issue 3 / July 2023
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- 15 January 2024, pp. 229-247
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Variational inequalities arising from credit rating migration with buffer zone
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- European Journal of Applied Mathematics , First View
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- 14 December 2023, pp. 1-18
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Detection and treatment of outliers for multivariate robust loss reserving
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- Annals of Actuarial Science / Volume 18 / Issue 1 / March 2024
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- 24 August 2023, pp. 102-125
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Duality theory for exponential utility-based hedging in the Almgren–Chriss model
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- Journal of Applied Probability / Volume 61 / Issue 2 / June 2024
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- 03 August 2023, pp. 420-438
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- June 2024
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PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS
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- Bulletin of the Australian Mathematical Society / Volume 108 / Issue 2 / October 2023
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- 23 June 2023, pp. 351-352
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- October 2023
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Monotonicity of implied volatility for perpetual put options
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- Journal of Applied Probability / Volume 61 / Issue 1 / March 2024
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- 19 June 2023, pp. 301-310
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- March 2024
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On Bayesian credibility mean for finite mixture distributions
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- Annals of Actuarial Science / Volume 18 / Issue 1 / March 2024
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- 29 March 2023, pp. 5-29
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Sandwiched SDEs with unbounded drift driven by Hölder noises
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- Advances in Applied Probability / Volume 55 / Issue 3 / September 2023
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- 08 March 2023, pp. 927-964
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- September 2023
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On extremes of random clusters and marked renewal cluster processes
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- Journal of Applied Probability / Volume 60 / Issue 2 / June 2023
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- 09 December 2022, pp. 367-381
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- June 2023
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Portfolio management under drawdown constraint in discrete-time financial markets
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- Journal of Applied Probability / Volume 60 / Issue 1 / March 2023
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- 09 December 2022, pp. 127-147
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- March 2023
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Tsallis value-at-risk: generalized entropic value-at-risk
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- Probability in the Engineering and Informational Sciences / Volume 38 / Issue 1 / January 2024
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- 29 November 2022, pp. 1-20
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VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
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- The ANZIAM Journal / Volume 64 / Issue 3 / July 2022
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- 26 September 2022, pp. 250-263
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Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
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- Advances in Applied Probability / Volume 55 / Issue 2 / June 2023
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- 23 September 2022, pp. 382-406
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- June 2023
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