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Preface
Remarks on some short rate term structure models
1. | Department of Mathematics, University of Central Florida, Orlando, FL 32816 |
[1] |
Yumo Zhang. Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022121 |
[2] |
Linlin Tian, Xiaoyi Zhang, Yizhou Bai. Optimal dividend of compound poisson process under a stochastic interest rate. Journal of Industrial and Management Optimization, 2020, 16 (5) : 2141-2157. doi: 10.3934/jimo.2019047 |
[3] |
Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial and Management Optimization, 2016, 12 (1) : 187-209. doi: 10.3934/jimo.2016.12.187 |
[4] |
Yan Zhang, Yonghong Wu, Benchawan Wiwatanapataphee, Francisca Angkola. Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework. Journal of Industrial and Management Optimization, 2020, 16 (1) : 71-101. doi: 10.3934/jimo.2018141 |
[5] |
María Teresa V. Martínez-Palacios, Adrián Hernández-Del-Valle, Ambrosio Ortiz-Ramírez. On the pricing of Asian options with geometric average of American type with stochastic interest rate: A stochastic optimal control approach. Journal of Dynamics and Games, 2019, 6 (1) : 53-64. doi: 10.3934/jdg.2019004 |
[6] |
Marianito R. Rodrigo, Rogemar S. Mamon. Bond pricing formulas for Markov-modulated affine term structure models. Journal of Industrial and Management Optimization, 2021, 17 (5) : 2685-2702. doi: 10.3934/jimo.2020089 |
[7] |
Lihua Bian, Zhongfei Li, Haixiang Yao. Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate. Journal of Industrial and Management Optimization, 2021, 17 (3) : 1383-1410. doi: 10.3934/jimo.2020026 |
[8] |
Qigang Yuan, Yutong Sun, Jingli Ren. How interest rate influences a business cycle model. Discrete and Continuous Dynamical Systems - S, 2020, 13 (11) : 3231-3251. doi: 10.3934/dcdss.2020190 |
[9] |
Michael Scheutzow. Exponential growth rate for a singular linear stochastic delay differential equation. Discrete and Continuous Dynamical Systems - B, 2013, 18 (6) : 1683-1696. doi: 10.3934/dcdsb.2013.18.1683 |
[10] |
Beatris Adriana Escobedo-Trujillo, José Daniel López-Barrientos. Nonzero-sum stochastic differential games with additive structure and average payoffs. Journal of Dynamics and Games, 2014, 1 (4) : 555-578. doi: 10.3934/jdg.2014.1.555 |
[11] |
Beatris Adriana Escobedo-Trujillo, Alejandro Alaffita-Hernández, Raquiel López-Martínez. Constrained stochastic differential games with additive structure: Average and discount payoffs. Journal of Dynamics and Games, 2018, 5 (2) : 109-141. doi: 10.3934/jdg.2018008 |
[12] |
Cuilian You, Le Bo. Pricing of European call option under fuzzy interest rate. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022033 |
[13] |
Nguyen Dinh Cong, Nguyen Thi Thuy Quynh. Coincidence of Lyapunov exponents and central exponents of linear Ito stochastic differential equations with nondegenerate stochastic term. Conference Publications, 2011, 2011 (Special) : 332-342. doi: 10.3934/proc.2011.2011.332 |
[14] |
Yulan Lu, Minghui Song, Mingzhu Liu. Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments. Discrete and Continuous Dynamical Systems - B, 2019, 24 (2) : 695-717. doi: 10.3934/dcdsb.2018203 |
[15] |
Tian Zhang, Chuanhou Gao. Stability with general decay rate of hybrid neutral stochastic pantograph differential equations driven by Lévy noise. Discrete and Continuous Dynamical Systems - B, 2022, 27 (7) : 3725-3747. doi: 10.3934/dcdsb.2021204 |
[16] |
Tien-Yu Lin, Ming-Te Chen, Kuo-Lung Hou. An inventory model for items with imperfect quality and quantity discounts under adjusted screening rate and earned interest. Journal of Industrial and Management Optimization, 2016, 12 (4) : 1333-1347. doi: 10.3934/jimo.2016.12.1333 |
[17] |
Lin Xu, Rongming Wang. Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate. Journal of Industrial and Management Optimization, 2006, 2 (2) : 165-175. doi: 10.3934/jimo.2006.2.165 |
[18] |
Philipp Fuchs, Ansgar Jüngel, Max von Renesse. On the Lagrangian structure of quantum fluid models. Discrete and Continuous Dynamical Systems, 2014, 34 (4) : 1375-1396. doi: 10.3934/dcds.2014.34.1375 |
[19] |
Wolfgang Walter. Nonlinear parabolic differential equations and inequalities. Discrete and Continuous Dynamical Systems, 2002, 8 (2) : 451-468. doi: 10.3934/dcds.2002.8.451 |
[20] |
Nhu N. Nguyen, George Yin. Stochastic partial differential equation models for spatially dependent predator-prey equations. Discrete and Continuous Dynamical Systems - B, 2020, 25 (1) : 117-139. doi: 10.3934/dcdsb.2019175 |
2021 Impact Factor: 1.411
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