Results 11 to 20 of about 2,723,796 (303)
CONVERGENCE OF NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN MATHEMATICAL FINANCE [PDF]
, 2012 Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in textbooks, i.e., their coefficients and the corresponding derivatives ...
P. Kloeden, A. Neuenkirch
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Applied Sciences, 2023 Monitoring and assessing the severity of the pandemic situation is one of the key challenges that public officials faced during the COVID-19 pandemic.
Michel Kschonnek +3 more
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Automated Generation of Test Cases for Smart Contract Security Analyzers
IEEE Access, 2020 We address the absence of reliable tests on contract analyzers of smart contracts and present a systematic method to diversify test cases by combining smart-contract-specific bugs and static analysis barriers in this paper.
Ki Byung Kim, Jonghyup Lee
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Forecasting, 2021 This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data.
Monica Defend +5 more
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Quadrinomial trees with stochastic volatility to value real options [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose – The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination.
Freddy H. Marín-Sánchez +2 more
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Establishing cryptocurrency equilibria through game theory
AIMS Mathematics, 2019 We utilize optimization methods to determine equilibria of cryptocurrencies. A core group, the wealthy, fears the loss of assets that can be seized by a government. Volatility may be influenced by speculators. The wealthy must divide their assets between
Carey Caginalp, Gunduz Caginalp
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Sensitivities via Rough Paths [PDF]
, 2014 Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations.
Marie, Nicolas
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Optimal Per-Loss Reinsurance for a Risk Model with a Thinning-Dependence Structure
Mathematics, 2022 In this paper, we consider the optimal reinsurance problem for a risk model with a thinning-dependence structure, where the stochastic sources related to claim occurrence are classified into different groups, and each group may cause a claim in each ...
Fudong Wang, Zhibin Liang
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Maximizing the goal-reaching probability before drawdown with borrowing constraint
AIMS Mathematics, 2021 We study the optimal investment problem in a constrained financial market,where the proportion of borrowed amount to the current wealth level is no more than a given constant.
Yu Yuan, Qicai Li
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Probabilistic Interpretation of Solutions of Linear Ultraparabolic Equations
Mathematics, 2018 We demonstrate the existence, uniqueness and Galerkin approximatation of linear ultraparabolic terminal value/infinite-horizon problems on unbounded spatial domains.
Michael D. Marcozzi
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