scientific article

zbMath1050.91001MaRDI QIDQ3149692

S. N. Volkov, M. L. Nechaev, Alexander V. Melnikov

Publication date: 26 September 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic processeshedgingAmerican optionsinterest ratesBlack-Scholes modelinsurancecontingent claimsfinancial systeminvestment problemsimcomplete markets

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Singular initial-value and boundary-value problems for integrodifferential equations in dynamical insurance models with investments ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ Quantile hedging in models with dividends and application to equity-linked life insurance contracts ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Bachelier model with stopping time and its insurance application

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