scholarly journals Minimax strategies and duality with applications in financial mathematics

2011 ◽  
Vol 105 (2) ◽  
pp. 291-303
Author(s):  
Alejandro Balbás ◽  
Raquel Balbás
Keyword(s):  
Financial Mathematics ◽  
Minimax Strategies

Using R for teaching financial mathematics and statistics

2011 ◽  
Vol 11 (1) ◽  
pp. 7-11
Author(s):  
Julian Stander ◽  
John Eales
Keyword(s):  
Financial Mathematics

scholarly journals Special Issue “Interplay between Financial and Actuarial Mathematics”

Risks ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 139
Author(s):  
Corina Constantinescu ◽  
Julia Eisenberg
Keyword(s):  
Machine Learning ◽  
Control Theory ◽  
Option Pricing ◽  
Interest Rates ◽  
Financial Mathematics ◽  
Special Issue ◽  
Actuarial Mathematics ◽  
Mortality Models ◽  
Low Interest Rates

The Special Issue aims to highlight the interaction between actuarial and financial mathematics, which, due to the recent low interest rates and implications of COVID-19, requires an interlace between actuarial and financial methods, along with control theory, machine learning, mortality models, option pricing, hedging, unit-linked contracts and drawdown analysis, among others [...]

scholarly journals Lie Symmetries of (1+2) Nonautonomous Evolution Equations in Financial Mathematics

Mathematics ◽  
2016 ◽  
Vol 4 (2) ◽  
pp. 34 ◽  
Author(s):  
Andronikos Paliathanasis ◽  
Richard Morris ◽  
Peter Leach
Keyword(s):  
Evolution Equations ◽  
Lie Symmetries ◽  
Financial Mathematics

scholarly journals On the First Passage time for Brownian Motion Subordinated by a Lévy Process

2009 ◽  
Vol 46 (1) ◽  
pp. 181-198 ◽  
Author(s):  
T. R. Hurd ◽  
A. Kuznetsov
Keyword(s):  
Brownian Motion ◽  
Approximation Scheme ◽  
First Passage Time ◽  
Gaussian Model ◽  
Passage Time ◽  
Financial Mathematics ◽  
First Passage ◽  
Financial Modeling ◽  
Motion Time ◽  
Normal Inverse Gaussian

In this paper we consider the class of Lévy processes that can be written as a Brownian motion time changed by an independent Lévy subordinator. Examples in this class include the variance-gamma (VG) model, the normal-inverse Gaussian model, and other processes popular in financial modeling. The question addressed is the precise relation between the standard first passage time and an alternative notion, which we call the first passage of the second kind, as suggested by Hurd (2007) and others. We are able to prove that the standard first passage time is the almost-sure limit of iterations of the first passage of the second kind. Many different problems arising in financial mathematics are posed as first passage problems, and motivated by this fact, we are led to consider the implications of the approximation scheme for fast numerical methods for computing first passage. We find that the generic form of the iteration can be competitive with other numerical techniques. In the particular case of the VG model, the scheme can be further refined to give very fast algorithms.

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