Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control
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Published By WORLD SCIENTIFIC

9789814383301, 9789814383318

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A dynamic portfolio approach to asset markets and monetary policy

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0015 ◽

2012 ◽

pp. 347-373 ◽

Cited By ~ 1

Author(s):

Eckhard Platen ◽

Willi Semmler

Keyword(s):

Monetary Policy ◽

Asset Markets ◽

Dynamic Portfolio ◽

Portfolio Approach

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Optimization of stochastic uncertain systems: Entropy rate functionals, minimax games and robustness

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0020 ◽

2012 ◽

pp. 465-502

Author(s):

Farzad Rezaei ◽

Charalambos D. Charalambous ◽

N. U. Ahmed

Keyword(s):

Uncertain Systems ◽

Entropy Rate

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Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0022 ◽

2012 ◽

pp. 549-569

Author(s):

Xiaojing Xi ◽

Marianito R. Rodrigo ◽

Rogemar S. Mamon

Keyword(s):

Parameter Estimation ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Moment Approach

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A functional transformation approach to interest rate modelling

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0013 ◽

2012 ◽

pp. 303-315

Author(s):

Shunlong Luo ◽

Jia-an Yan ◽

Qiang Zhang

Keyword(s):

Interest Rate ◽

Functional Transformation ◽

Transformation Approach

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On optimal dividend strategies in insurance with a random time horizon

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0007 ◽

2012 ◽

pp. 157-179 ◽

Cited By ~ 5

Author(s):

Hansjörg Albrecher ◽

Stefan Thonhauser

Keyword(s):

Time Horizon ◽

Random Time ◽

Optimal Dividend ◽

Random Time Horizon

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Independence of some multiple Poisson stochastic integrals with variable-sign kernels

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0004 ◽

2012 ◽

pp. 73-86

Author(s):

Nicolas Privault

Keyword(s):

Stochastic Integrals ◽

Variable Sign

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Stochastic linear-quadratic control revisited

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0019 ◽

2012 ◽

pp. 451-463

Author(s):

Tyrone E. Duncan

Keyword(s):

Linear Quadratic Control ◽

Linear Quadratic

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Hedging portfolio loss derivatives with CDS's

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0010 ◽

2012 ◽

pp. 235-257

Author(s):

Areski Cousin ◽

Monique Jeanblanc

Keyword(s):

Hedging Portfolio ◽

Portfolio Loss

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S&P 500 index option surface drivers and their risk neutral and real world quadratic covariations

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0014 ◽

2012 ◽

pp. 317-345

Author(s):

Dilip B. Madan

Keyword(s):

Real World ◽

Risk Neutral ◽

Index Option

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On the Polynomial–Normal model and option pricing

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control ◽

10.1142/9789814383318_0012 ◽

2012 ◽

pp. 285-302 ◽

Cited By ~ 2

Author(s):

Hao Li ◽

Alexander Melnikov

Keyword(s):

Option Pricing ◽

Normal Model

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Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and ControlLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By WORLD SCIENTIFIC

A dynamic portfolio approach to asset markets and monetary policy

Optimization of stochastic uncertain systems: Entropy rate functionals, minimax games and robustness

Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach

A functional transformation approach to interest rate modelling

On optimal dividend strategies in insurance with a random time horizon

Independence of some multiple Poisson stochastic integrals with variable-sign kernels

Stochastic linear-quadratic control revisited

Hedging portfolio loss derivatives with CDS's

S&P 500 index option surface drivers and their risk neutral and real world quadratic covariations

On the Polynomial–Normal model and option pricing

Advances in Statistics, Probability and Actuarial Science - Stochastic Processes, Finance and Control
Latest Publications