Pub Date : 2017-07-13DOI: 10.1186/s41546-018-0028-9
C. Hillairet, Y. Jiao, Anthony Reveillac
{"title":"Pricing formulae for derivatives in insurance using Malliavin calculus","authors":"C. Hillairet, Y. Jiao, Anthony Reveillac","doi":"10.1186/s41546-018-0028-9","DOIUrl":"https://doi.org/10.1186/s41546-018-0028-9","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"1 1","pages":"1-19"},"PeriodicalIF":1.5,"publicationDate":"2017-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74399317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-26DOI: 10.1186/S41546-017-0020-9
Stefan Weber, Kerstin Weske
{"title":"The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks","authors":"Stefan Weber, Kerstin Weske","doi":"10.1186/S41546-017-0020-9","DOIUrl":"https://doi.org/10.1186/S41546-017-0020-9","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"29 1","pages":"1-38"},"PeriodicalIF":1.5,"publicationDate":"2017-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87047808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-26DOI: 10.1186/S41546-017-0019-2
C. Albanese, Simone Caenazzo, S. Crépey
{"title":"Credit, funding, margin, and capital valuation adjustments for bilateral portfolios","authors":"C. Albanese, Simone Caenazzo, S. Crépey","doi":"10.1186/S41546-017-0019-2","DOIUrl":"https://doi.org/10.1186/S41546-017-0019-2","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"3 1","pages":"1-26"},"PeriodicalIF":1.5,"publicationDate":"2017-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78721705","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-16DOI: 10.1186/S41546-019-0036-4
C. Profeta, F. Vrins
{"title":"Piecewise constant martingales and lazy clocks","authors":"C. Profeta, F. Vrins","doi":"10.1186/S41546-019-0036-4","DOIUrl":"https://doi.org/10.1186/S41546-019-0036-4","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"23 1","pages":"1-27"},"PeriodicalIF":1.5,"publicationDate":"2017-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79678601","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-05DOI: 10.1186/S41546-017-0018-3
M. Cesa
{"title":"A brief history of quantitative finance","authors":"M. Cesa","doi":"10.1186/S41546-017-0018-3","DOIUrl":"https://doi.org/10.1186/S41546-017-0018-3","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"281 1","pages":"1-16"},"PeriodicalIF":1.5,"publicationDate":"2017-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76353628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-04-06DOI: 10.1186/S41546-017-0024-5
Dirk Becherer, Klebert Kentia
{"title":"Good deal hedging and valuation under combined uncertainty about drift and volatility","authors":"Dirk Becherer, Klebert Kentia","doi":"10.1186/S41546-017-0024-5","DOIUrl":"https://doi.org/10.1186/S41546-017-0024-5","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"32 1","pages":"1-40"},"PeriodicalIF":1.5,"publicationDate":"2017-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81204051","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-03-01DOI: 10.1186/S41546-017-0014-7
Mingshang Hu
{"title":"Stochastic global maximum principle for optimization with recursive utilities","authors":"Mingshang Hu","doi":"10.1186/S41546-017-0014-7","DOIUrl":"https://doi.org/10.1186/S41546-017-0014-7","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"155 1","pages":"1-20"},"PeriodicalIF":1.5,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83833174","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-01-29DOI: 10.1186/S41546-018-0027-X
T. Bielecki, Igor Cialenco, M. Rutkowski
{"title":"Arbitrage-free pricing of derivatives in nonlinear market models","authors":"T. Bielecki, Igor Cialenco, M. Rutkowski","doi":"10.1186/S41546-018-0027-X","DOIUrl":"https://doi.org/10.1186/S41546-018-0027-X","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"29 1","pages":"1-56"},"PeriodicalIF":1.5,"publicationDate":"2017-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78191170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2016-12-01DOI: 10.1186/S41546-016-0009-9
Jianhui Huang, Shujun Wang, Zhen Wu
{"title":"Backward-forward linear-quadratic mean-field games with major and minor agents","authors":"Jianhui Huang, Shujun Wang, Zhen Wu","doi":"10.1186/S41546-016-0009-9","DOIUrl":"https://doi.org/10.1186/S41546-016-0009-9","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":"18 1","pages":"1-27"},"PeriodicalIF":1.5,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85298863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：