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Probability Uncertainty and Quantitative Risk最新文献

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Pricing formulae for derivatives in insurance using Malliavin calculus 用马氏微积分计算保险衍生品的定价公式
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-07-13 DOI: 10.1186/s41546-018-0028-9
C. Hillairet, Y. Jiao, Anthony Reveillac
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引用次数: 7
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios 双边投资组合的信贷、融资、保证金和资本估值调整
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-06-26 DOI: 10.1186/S41546-017-0019-2
C. Albanese, Simone Caenazzo, S. Crépey
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引用次数: 23
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks 破产成本、贱卖和交叉持有对金融网络系统风险的共同影响
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-06-26 DOI: 10.1186/S41546-017-0020-9
Stefan Weber, Kerstin Weske
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引用次数: 66
Piecewise constant martingales and lazy clocks 分段常数鞅和延时时钟
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-06-16 DOI: 10.1186/S41546-019-0036-4
C. Profeta, F. Vrins
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引用次数: 1
A brief history of quantitative finance 数量金融简史
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-06-05 DOI: 10.1186/S41546-017-0018-3
M. Cesa
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引用次数: 4
Good deal hedging and valuation under combined uncertainty about drift and volatility 在漂移和波动的不确定性下进行对冲和估值的好交易
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-04-06 DOI: 10.1186/S41546-017-0024-5
Dirk Becherer, Klebert Kentia
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引用次数: 9
Stochastic global maximum principle for optimization with recursive utilities 具有递归效用的随机全局最大值优化原理
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-03-01 DOI: 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":null,"pages":null},"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}
引用次数: 65
Implied fractional hazard rates and default risk distributions 隐含的部分风险率和违约风险分布
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-03-01 DOI: 10.1186/S41546-017-0015-6
C. Tapiero, P. Vallois
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引用次数: 4
Arbitrage-free pricing of derivatives in nonlinear market models 非线性市场模型中衍生品的无套利定价
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-01-29 DOI: 10.1186/S41546-018-0027-X
T. Bielecki, Igor Cialenco, M. Rutkowski
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引用次数: 21
Backward-forward linear-quadratic mean-field games with major and minor agents 具有主要和次要代理人的前向线性二次平均场对策
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-12-01 DOI: 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":null,"pages":null},"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}
引用次数: 16
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