Pages that link to "Item:Q665800"
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The following pages link to A PDE approach for risk measures for derivatives with regime switching (Q665800):
Displaying 17 items.
- Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
- A functional Itô's calculus approach to convex risk measures with jump diffusion (Q322579) (← links)
- Markovian forward-backward stochastic differential equations and stochastic flows (Q360694) (← links)
- Portfolio risk minimization and differential games (Q425781) (← links)
- Optimal asset allocation: a worst scenario expectation approach (Q438769) (← links)
- A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
- Risk measures for derivatives with Markov-modulated pure jump processes (Q2643673) (← links)
- Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics (Q3097537) (← links)
- A BSDE Approach to Convex Risk Measures for Derivative Securities (Q3145066) (← links)
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree (Q3449931) (← links)
- A PDE approach to risk measures of derivatives (Q4541597) (← links)
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
- OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR (Q5420701) (← links)
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options (Q5746994) (← links)
- Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (Q6157931) (← links)
