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在“Elsevier电子期刊”中，命中：166条，耗时：0.1489583 秒

在所有数据库中总计命中：478条

1.Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

作者：Chun-Sung Huang^a ; ^e ; ^{Chun-Sung.Huang@uct.ac.za" class="auth_mail" title="E-mail the corresponding author} ; John G. O&rsquo ; Hara^b ; ^d ; Sure Mataramvura^c ; ^e

关键词：Arithmetic Asian options ; Fourier-cosine expansions ; Fast Fourier transform ; Mean reverting process ; Jump&ndash ; diffusion

刊名：Journal of Computational and Applied Mathematics

出版年：2017

2.Dynamical behavior of a stochastic two-species Monod competition chemostat model

作者：Shulin Sun^a ; ^{sunshulin2013@163.com} ; Yaru Sun^a ; Guang Zhang ; ^b ; ^{lxyzhg@tjcu.edu.cn} ; Xinzhi Liu^c

关键词：Stochastic chemostat model ; Mean reverting process ; Itô ; &rsquo ; s formula ; Asymptotic behavior ; Stationary distribution

刊名：Applied Mathematics and Computation

出版年：2017

3.On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models

作者：Pavel V. Gapeev^a ; ^{p.v.gapeev@lse.ac.uk} ; Yavor I. Stoev^b ; ^{ystoev@umich.edu}

关键词：primary ; 60J75 ; 60G40 ; 60E10 ; secondary ; 34B05 ; 60J60 ; 60G51

刊名：Statistics & Probability Letters

出版年：2017

4.A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches

作者：Catalin Cantia ; Radu Tunaru ; ^{r.tunaru@kent.ac.uk}

关键词：G12 ; C51 ; C63

刊名：Insurance: Mathematics and Economics

出版年：2017

5.Pure jump models for pricing and hedging VIX derivatives

作者：Jing Li^a ; ^{cuhklijing@gmail.com} ; Lingfei Li^b ; ^{lfli@se.cuhk.edu.hk} ; Gongqiu Zhang^b ; ^{gqzhang@se.cuhk.edu.hk}

关键词：VIX derivatives ; 3/2 diffusion ; Time change ; Pure jump ; Infinite activity ; Option pricing ; Hedging ; Eigenfunction expansions

刊名：Journal of Economic Dynamics and Control

出版年：2017

6.An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model

作者：Junkee Jeon^a ; ^{hollman@snu.ac.kr} ; Ji-Hun Yoon^b ; ^{yssci99@pusan.ac.kr} ; Chang-Rae Park^c ; ^d

关键词：Double-barrier option ; Stochastic volatility ; Asymptotic analysis ; Mellin transform method

刊名：Journal of Mathematical Analysis and Applications

出版年：2017

7.Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process

作者：Daniel Wei-Chung Miao^a ; ^b ; ^{miao@mail.ntust.edu.tw" class="auth_mail" title="E-mail the corresponding author} ; Xenos Chang-Shuo Lin^c ; Wan-Ling Chao^a

关键词：Markov-modulated Poisson process (MMPP) ; Cox process ; Diffusion process ; Geometric mean-reverting (GMR) ; Markovian queueing systems ; Matrix geometric method

刊名：Computers and Operations Research

出版年：2016

8.Optimal switching strategy of a mean-reverting asset over multiple regimes

作者：Kiyoshi Suzuki¹ ; ^{abbeyroad20@outlook.com" class="auth_mail" title="E-mail the corresponding author}Author Vitae

关键词：Optimal multiple switching problem ; Hamilton&ndash ; Jacobi&ndash ; Bellman (HJB) variational inequality ; Switching regions ; Viscosity solutions ; Ornstein&ndash ; Uhlenbeck process ; Hermite function ; Pairs trading strategy

刊名：Automatica

出版年：2016

9.Optimal switching for the pairs trading rule: A viscosity solutions approach

作者：Minh-Man Ngo^a ; ^{man.ngo@jvn.edu.vn" class="auth_mail" title="E-mail the corresponding author} ; Huyê ; n Pham^b ; ^a ; ^{pham@math.univ-paris-diderot.fr" class="auth_mail" title="E-mail the corresponding author}

关键词：Pairs trading ; Optimal switching ; Mean-reverting process ; Viscosity solutions

刊名：Journal of Mathematical Analysis and Applications

出版年：2016

10.Leveraged investments and agency conflicts when cash flows are mean reverting

作者：Kristoffer J. Glover^a ; ^b ; ^{kristoffer.glover@uts.edu.au" class="auth_mail" title="E-mail the corresponding author} ; Gerhard Hambusch^a ; ^b ; ^c

关键词：G13 ; G32 ; G33 ; G38

刊名：Journal of Economic Dynamics and Control

出版年：2016

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