-
Previous Article
Ruin probability for renewal risk model with negative risk sums
- JIMO Home
- This Issue
-
Next Article
Option pricing under threshold autoregressive models by threshold Esscher transform
LIBOR market model with stochastic volatility
1. | Department of Mathematics, University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China, China |
[1] |
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued. Fast calibration of the Libor market model with stochastic volatility and displaced diffusion. Journal of Industrial and Management Optimization, 2020, 16 (4) : 1699-1729. doi: 10.3934/jimo.2019025 |
[2] |
Partha Sharathi Dutta, Soumitro Banerjee. Period increment cascades in a discontinuous map with square-root singularity. Discrete and Continuous Dynamical Systems - B, 2010, 14 (3) : 961-976. doi: 10.3934/dcdsb.2010.14.961 |
[3] |
Wan-Hua He, Chufang Wu, Jia-Wen Gu, Wai-Ki Ching, Chi-Wing Wong. Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility. Journal of Industrial and Management Optimization, 2022, 18 (3) : 2077-2094. doi: 10.3934/jimo.2021057 |
[4] |
Martino Bardi, Annalisa Cesaroni, Daria Ghilli. Large deviations for some fast stochastic volatility models by viscosity methods. Discrete and Continuous Dynamical Systems, 2015, 35 (9) : 3965-3988. doi: 10.3934/dcds.2015.35.3965 |
[5] |
Vincenzo Ambrosio, Giovanni Molica Bisci, Dušan Repovš. Nonlinear equations involving the square root of the Laplacian. Discrete and Continuous Dynamical Systems - S, 2019, 12 (2) : 151-170. doi: 10.3934/dcdss.2019011 |
[6] |
Theresa Lange, Wilhelm Stannat. Mean field limit of Ensemble Square Root filters - discrete and continuous time. Foundations of Data Science, 2021, 3 (3) : 563-588. doi: 10.3934/fods.2021003 |
[7] |
Juan H. Arredondo, Francisco J. Mendoza, Alfredo Reyes. On the norm continuity of the hk-fourier transform. Electronic Research Announcements, 2018, 25: 36-47. doi: 10.3934/era.2018.25.005 |
[8] |
Georgi Grahovski, Rossen Ivanov. Generalised Fourier transform and perturbations to soliton equations. Discrete and Continuous Dynamical Systems - B, 2009, 12 (3) : 579-595. doi: 10.3934/dcdsb.2009.12.579 |
[9] |
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli. Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model. Conference Publications, 2007, 2007 (Special) : 354-363. doi: 10.3934/proc.2007.2007.354 |
[10] |
Yan Wang, Lei Wang, Yanxiang Zhao, Aimin Song, Yanping Ma. A stochastic model for microbial fermentation process under Gaussian white noise environment. Numerical Algebra, Control and Optimization, 2015, 5 (4) : 381-392. doi: 10.3934/naco.2015.5.381 |
[11] |
Michael C. Fu, Bingqing Li, Rongwen Wu, Tianqi Zhang. Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model. Frontiers of Mathematical Finance, 2022, 1 (1) : 137-160. doi: 10.3934/fmf.2021005 |
[12] |
Ali Gholami, Mauricio D. Sacchi. Time-invariant radon transform by generalized Fourier slice theorem. Inverse Problems and Imaging, 2017, 11 (3) : 501-519. doi: 10.3934/ipi.2017023 |
[13] |
Michael Music. The nonlinear Fourier transform for two-dimensional subcritical potentials. Inverse Problems and Imaging, 2014, 8 (4) : 1151-1167. doi: 10.3934/ipi.2014.8.1151 |
[14] |
Jan-Cornelius Molnar. On two-sided estimates for the nonlinear Fourier transform of KdV. Discrete and Continuous Dynamical Systems, 2016, 36 (6) : 3339-3356. doi: 10.3934/dcds.2016.36.3339 |
[15] |
Matti Viikinkoski, Mikko Kaasalainen. Shape reconstruction from images: Pixel fields and Fourier transform. Inverse Problems and Imaging, 2014, 8 (3) : 885-900. doi: 10.3934/ipi.2014.8.885 |
[16] |
Barbara Brandolini, Francesco Chiacchio, Jeffrey J. Langford. Estimates for sums of eigenvalues of the free plate via the fourier transform. Communications on Pure and Applied Analysis, 2020, 19 (1) : 113-122. doi: 10.3934/cpaa.2020007 |
[17] |
Mourad Bellassoued, Raymond Brummelhuis, Michel Cristofol, Éric Soccorsi. Stable reconstruction of the volatility in a regime-switching local-volatility model. Mathematical Control and Related Fields, 2020, 10 (1) : 189-215. doi: 10.3934/mcrf.2019036 |
[18] |
Jia Yue, Nan-Jing Huang. Neutral and indifference pricing with stochastic correlation and volatility. Journal of Industrial and Management Optimization, 2018, 14 (1) : 199-229. doi: 10.3934/jimo.2017043 |
[19] |
Kais Hamza, Fima C. Klebaner, Olivia Mah. Volatility in options formulae for general stochastic dynamics. Discrete and Continuous Dynamical Systems - B, 2014, 19 (2) : 435-446. doi: 10.3934/dcdsb.2014.19.435 |
[20] |
Baoyin Xun, Kam C. Yuen, Kaiyong Wang. The finite-time ruin probability of a risk model with a general counting process and stochastic return. Journal of Industrial and Management Optimization, 2022, 18 (3) : 1541-1556. doi: 10.3934/jimo.2021032 |
2020 Impact Factor: 1.801
Tools
Metrics
Other articles
by authors
[Back to Top]