Results 41 to 50 of about 211 (177)

Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

, 2008
Backward stochastic differential equations (BSDEs), Continuous filtration, Quadratic growth, Utility maximization, Portfolio constraints, 91B28, 91B16, 60H10, C60, G11,
Marie-Amélie Morlais, Morlais, Marie Amélie   +1 more
core   +1 more source

On Copula-Itô processes

Dependence Modeling, 2019
We study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copulas in
Jaworski Piotr
doaj   +1 more source

Cross hedging with stochastic correlation

, 2010
Cross hedging, Incomplete markets, Correlation, Local risk minimisation, BSDE, 91G20, 60H10, 60H07, C30, G13,
Stefan Ankirchner, Gregor Heyne
core   +1 more source

Functional integro‐differential stochastic evolution equations in Hilbert space

International Journal of Stochastic Analysis, Volume 16, Issue 2, Page 141-161, 2003., 2003
We investigate a class of abstract functional integro‐differential stochastic evolution equations in a real separable Hilbert space. Global existence results concerning mild and periodic solutions are formulated under various growth and compactness conditions.
David N. Keck, Mark A. McKibben
wiley   +1 more source

Pricing options under stochastic volatility: a power series approach

, 2009
Options, Stochastic volatility, SDEs, PDEs, Duhamel’s principle, 60H10, 91B24, C02, G13,
SCARLATTI S., Sergio Scarlatti, Fabio Antonelli, ANTONELLI, FABIO, Scarlatti, S, SCARLATTI, SERGIO, Antonelli, F, Antonelli, F.   +7 more
core   +1 more source

Arbitrage-free market models for option prices: the multi-strike case

, 2008
Option prices, Market model, Implied volatility, Static arbitrage, Dynamic arbitrage, Drift restrictions, Existence result, 60H10, 91B28, C60, G13,
Schweizer, Martin, Wissel, Johannes, Johannes Wissel, Martin Schweizer   +3 more
core   +1 more source

Periodicity in distribution. I. Discrete systems

International Journal of Mathematics and Mathematical Sciences, Volume 30, Issue 2, Page 65-127, 2002., 2002
We consider the existence of periodic in distribution solutions to the difference equations in a Banach space. A random process is called periodic in distribution if all its finite‐dimensional distributions are periodic with respect to shift of time with one period. Only averaged characteristics of a periodic process are periodic functions.
A. Ya. Dorogovtsev
wiley   +1 more source

Calibration and simulation of Heston model

Open Mathematics, 2017
We calibrate Heston stochastic volatility model to real market data using several optimization techniques. We compare both global and local optimizers for different weights showing remarkable differences even for data (DAX options) from two consecutive ...
Mrázek Milan, Pospíšil Jan
doaj   +1 more source

Discretizing a backward stochastic differential equation

International Journal of Mathematics and Mathematical Sciences, Volume 32, Issue 2, Page 103-116, 2002., 2002
We show a simple method to discretize Pardoux‐Peng′s nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi‐linear PDEs.
Yinnan Zhang, Weian Zheng
wiley   +1 more source

Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay

Open Mathematics
This article can be considered as a continuation of Petrović and Milošević [The truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay, Filomat 35 (2021), no.
Petrović Aleksandra M.
doaj   +1 more source