Uniqueness of Viscosity Solutions for Optimal Multi-Modes Switching Problem with Risk of default [PDF]
, 2012 In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary.
Asri, Brahim El
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On the rank-deficient canonical correlation technique solved by analytic spectral decomposition. [PDF]
J Appl Stat, 2022 Malec L.
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Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach [PDF]
Variable annuities (VAs) represent a marked change from earlier life products in the guarantees that they offer and it is no longer possible to manage the risks of these liabilities using traditional actuarial methods.
Eckhard Platen, S. Jaschke, T. Marquardt
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Estimating correlations between vaccine clinical trial outcomes. [PDF]
J Appl Stat, 2022 Rey A, Rozanova O, Zhuk S.
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Effect of substrate on the proliferation of Myxobolus cerebralis in the mitochondrial lineages of the Tubifex tubifex host. [PDF]
Parasitol Res, 2022 Baxa DV, Nehring RB.
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The world trade network: country centrality and the COVID-19 pandemic. [PDF]
Appl Netw Sci, 2022 Antonietti R +4 more
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Nonparametric methods for volatility density estimation
, 2009 Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process.
Spreij, Peter +2 more
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A Fourier transform method for nonparametric estimation of multivariate volatility
, 2009 We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis.
Malliavin, Paul, Mancino, Maria Elvira
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Who determines United States Healthcare out-of-pocket costs? Factor ranking and selection using ensemble learning. [PDF]
Health Inf Sci Syst, 2021 Zhang C, Ding Y, Peng Q.
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On the Pricing and Hedging of Long Dated Zero Coupon Bonds [PDF]
The pricing and hedging of long dated derivative contracts is a challenging area of research. As a result of utility indifference pricing for general payoffs the growth optimal portfolio turns out to be the appropriate numeraire or benchmark with the ...
Eckhard Platen
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