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CNKI学位论文(139)
知网期刊论文(164)
在“
SpringerLink电子期刊
”中,
命中:
59
条,耗时:小于0.01 秒
在所有数据库中总计命中:
307
条
1.
Dynamic Robust Duality in Utility Maximization
作者:
Bernt Øksendal
;
Agnès Sulem
关键词:
Robust portfolio optimization
;
Robust duality
;
Dynamic duality method
;
Stochastic maximum principle
;
Backward stochastic differential equation
;
Itô
;
Lévy
market
刊名:Applied Mathematics & Optimization
出版年:2017
2.
Forward pricing in the shipping freight
market
作者:
Che Mohd Imran Che Taib
关键词:
Freight
market
;
Forward price
;
Lévy
processes
;
Normal inverse Gaussian distribution
;
Stochastic volatility
;
Autoregressive moving average
;
97K60
;
60G10
;
60G51
刊名:Japan Journal of Industrial and Applied Mathematics
出版年:2016
3.
Valuation of asset and volatility derivatives using decoupled time-changed
Lévy
processes
作者:
Lorenzo Torricelli
关键词:
Derivative pricing
;
Time changes
;
Lévy
processes
;
Joint asset and volatility derivatives
;
Target volatility option
;
Wishart process
刊名:Review of Derivatives Research
出版年:2016
4.
On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential
Lévy
Model
作者:
Romuald Hervé Momeya
;
Manuel Morales
关键词:
Regime
;
switching Levy process
;
Incomplete
market
s
;
Equivalent martingale measure
;
Insurance and finance applications
刊名:Methodology and Computing in Applied Probability
出版年:2016
5.
Superreplication when trading at
market
indifference prices
作者:
Peter Bank
;
Selim Gökay
关键词:
Utility indifference prices
;
Large investor
;
Liquidity
;
Superreplication
;
Monotone exponential tails
;
52A41
;
60G35
;
90C30
;
91G20
;
97M30
;
G11
;
G12
;
G13
;
C61
刊名:Finance and Stochastics
出版年:2016
6.
On the Price of Risk Under a Regime Switching CGMY Process
作者:
Pious Asiimwe
;
Charles Wilson Mahera…
关键词:
Option pricing
;
Regime switching risk
;
Exponential
Lévy
model
;
Regime switching Esscher transform
刊名:Asia-Pacific Financial
Market
s
出版年:2016
7.
Consumption-investment problem with transaction costs for
Lévy
-driven price processes
作者:
Dimitri De Vallière
;
Yuri Kabanov
;
Emmanuel Lépinette
刊名:Finance and Stochastics
出版年:2016
8.
Risk minimization in financial
market
s modeled by It?-
Lévy
processes
作者:
Bernt ?ksendal
;
Agnès Sulem
关键词:
Convex risk measure
;
Risk minimization
;
Recursive utility
;
Utility optimization
;
It?
;
Lévy
process
;
Backward stochastic differential equation
;
The maximum principle for stochastic control of FBSDE’s
;
Stochastic differential game
;
HJBI equation
;
60H10
;
60H20
;
60J75
;
93E20
;
91G80
;
91G10
;
91A23
;
91B70
;
91B30
刊名:Afrika Matematika
出版年:2015
9.
Dimension Reduction for Pricing Options Under Multidimensional
Lévy
Processes
作者:
Junichi Imai
关键词:
Dimension reduction method
;
Multidimensional
Lévy
process
;
Quasi
;
Monte Carlo
;
Normal variance–mean mixture
刊名:Asia-Pacific Financial
Market
s
出版年:2015
10.
Additive subordination and its applications in finance
作者:
Jing Li
;
Lingfei Li
;
Rafael Mendoza-Arriaga
刊名:Finance and Stochastics
出版年:2016
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