scientific article; zbMATH DE number 5206645

zbMath1311.91197MaRDI QIDQ5423050

Yuriy Kazmerchuk, Anatoliy Swishchuk, Jianhong Wu

Publication date: 30 October 2007

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50)

Related Items (16)

The pricing of European options on two underlying assets with delays ⋮ Robustness analysis on the pricing of some options on two assets with delays ⋮ Effect of time delay on flocking dynamics ⋮ An approximation scheme for Black-Scholes equations with delays ⋮ Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering ⋮ Delay Stochastic Models in Finance ⋮ Local lagged adapted generalized method of moments: an innovative estimation and forecasting approach and its applications ⋮ Moments of the asset price for the Barndorff-Nielsen and Shephard model ⋮ Stochastic systems with memory and jumps ⋮ Infinite-dimensional Black-Scholes equation with hereditary structure ⋮ Spectral approximation of infinite-dimensional Black-Scholes equations with memory ⋮ Pricing variance swaps for stochastic volatilities with delay and jumps ⋮ GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING ⋮ Data cloning estimation of GARCH and COGARCH models ⋮ Time-delayed stochastic volatility model ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

This page was built for publication: