✦ LIBER ✦

Stochastic Target Problems with Controlled Loss in Jump Diffusion Models

✍ Scribed by Moreau, Ludovic

Book ID: 118205861
Publisher: Society for Industrial and Applied Mathematics
Year: 2011
Tongue: English
Weight: 360 KB
Volume: 49
Category: Article
ISSN: 0363-0129
DOI: 10.1137/100802268

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Stochastic Target Problems with Controll

Stochastic Target Problems with Controlled Loss

✍ Bouchard, Bruno; Elie, Romuald; Touzi, Nizar 📂 Article 📅 2010 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 335 KB

Pricing Stock Options in a Jump-Diffusio

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

✍ Louis O. Scott 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 108 KB

AUTOMATIC TIME STEP CONTROL IN TLM DIFFU

AUTOMATIC TIME STEP CONTROL IN TLM DIFFUSION MODELLING FOR PROBLEMS WITH TIME-VARYING LOAD CONDITIONS

✍ IAN A. D. RUSSELL; P. W. WEBB 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 996 KB

Existing methods for time step control in TLM diffusion modelling that are based on the 'm' parameter introduced by Pulko are shown to be inappropriate for problems where the load conditions are arbitrarily time-varying. A new parameter is proposed for monitoring the error in the TLM diffusion model

092014 (M10, M22) Hedging in jump-diffus

092014 (M10, M22) Hedging in jump-diffusion models with application in insurance : Hipp C., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 95 KB