• case-insensitive prefix search: default
  e.g., sig matches "SIGIR" as well as "signal"
• exact word search: append dollar sign ($) to word
  e.g., graph$ matches "graph", but not "graphics"
• boolean and: separate words by space
  e.g., codd model
• boolean or: connect words by pipe symbol (|)
  e.g., graph|network

Update May 7, 2017: Please note that we had to disable the phrase search operator (.) and the boolean not operator (-) due to technical problems. For the time being, phrase search queries will yield regular prefix search result, and search terms preceded by a minus will be interpreted as regular (positive) search terms.

found 149 matches

• 2021
• 
  Oscar López, Gerardo Oleaga, Alejandra Sánchez:
  Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. Appl. Math. Comput. 395: 125854 (2021)
• 
  Puneet Pasricha, Xiaoping Lu, Song-Ping Zhu:
  A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes". J. Comput. Appl. Math. 381: 113037 (2021)
• 2020
• 
  Pushpak Jagtap, Majid Zamani:
  Symbolic models for retarded jump-diffusion systems. Autom. 111 (2020)
• 
  Yingxu Tian, Haoyan Zhang:
  European option pricing under stochastic volatility jump-diffusion models with transaction cost. Comput. Math. Appl. 79(9): 2722-2741 (2020)
• 
  Claude Rodrigue Bambe Moutsinga, Edson Pindza, Eben Maré:
  A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models. Commun. Nonlinear Sci. Numer. Simul. 84: 105159 (2020)
• 
  Guohe Deng:
  Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model. Complex. 2020: 1960121:1-1960121:15 (2020)
• 
  Tianshun Yan, Yanyong Zhao, Wentao Wang:
  Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate. Comput. Stat. 35(2): 539-557 (2020)
• 
  Zhuo Jin, Guo Liu, Hailiang Yang:
  Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. Eur. J. Oper. Res. 280(3): 1130-1143 (2020)
• 
  Josef Danek, Jan Pospisil:
  Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models. Int. J. Comput. Math. 97(6): 1268-1292 (2020)
• 
  Nawdha Thakoor, Dhiren Kumar Behera, Désiré Yannick Tangman, Muddun Bhuruth:
  Howard's algorithm for high-order approximations of American options under jump-diffusion models. Int. J. Data Sci. Anal. 10(2): 193-203 (2020)
• 
  Lynn Boen:
  European rainbow option values under the two-asset Merton jump-diffusion model. J. Comput. Appl. Math. 364 (2020)
• 
  Cailing Li, Zaiming Liu, Jinbiao Wu, Xiang Huang:
  The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance. J. Syst. Sci. Complex. 33(1): 26-42 (2020)
• 
  Yongwu Li, Zhongfei Li, Shouyang Wang, Zuo Quan Xu:
  Dividend optimization for jump-diffusion model with solvency constraints. Oper. Res. Lett. 48(2): 170-175 (2020)
• 
  Jean-François Bégin, Diego Amaya, Geneviève Gauthier, Marie-Ève Malette:
  On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach. SIAM J. Financial Math. 11(4): 1168-1208 (2020)
• 
  Karel Janecek, Zheng Li, Mihai Sîrbu:
  Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model. SIAM J. Financial Math. 11(3): 750-787 (2020)
• 
  Josef Danek, Jan Pospisil:
  Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models. CoRR abs/2006.13181 (2020)
• 2019
• 
  João Janela, João Guerra, Gilson Silva:
  Option pricing under a jump-telegraph diffusion model with jumps of random size. Int. J. Comput. Math. 96(11): 2229-2244 (2019)
• 
  Kamran Kazmi:
  An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models. Int. J. Comput. Math. 96(6): 1137-1157 (2019)
• 
  Lourdes Gómez-Valle, Julia Martínez-Rodríguez:
  The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes. J. Comput. Appl. Math. 347: 49-61 (2019)
• 
  Walter Mudzimbabwe:
  A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model. J. Comput. Appl. Math. 360: 55-61 (2019)
• 
  Kenichiro Shiraya, Akihiko Takahashi:
  Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models. Math. Oper. Res. 44(1): 303-333 (2019)
• 
  Dana Cerná:
  Quadratic Spline Wavelets for Sparse Discretization of Jump-Diffusion Models. Symmetry 11(8): 999 (2019)
• 
  Ziyi Wang, Grady Williams, Evangelos A. Theodorou:
  Information Theoretic Model Predictive Control on Jump Diffusion Processes. ACC 2019: 1663-1670
• 
  Yoshinobu Tamura, Hironobu Sone, Kodai Sugisaki, Shigeru Yamada:
  A Method of Parameter Estimation in Flexible Jump Diffusion Process Models for Open Source Maintenance Effort Management. IEEM 2019: 1134-1138
• 
  Lynn Boen, Karel J. in 't Hout:
  Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. CoRR abs/1912.06809 (2019)
• 2018
• 
  Chuan-Ju Wang, Tian-Shyr Dai:
  An Accurate Lattice Model for Pricing Catastrophe Equity Put Under the Jump-Diffusion Process. IEEE Comput. Intell. Mag. 13(4): 35-45 (2018)
• 
  Majid Haghi, Reza Mollapourasl, Michèle Vanmaele:
  An RBF-FD method for pricing American options under jump-diffusion models. Comput. Math. Appl. 76(10): 2434-2459 (2018)
• 
  M. Yousuf, A. Q. M. Khaliq, Salah Alrabeei:
  Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model. Comput. Math. Appl. 75(8): 2989-3001 (2018)
• 
  Yi Hong, Xing Jin:
  Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. Eur. J. Oper. Res. 265(1): 389-398 (2018)
• 
  A. Chunxiang, Yongzeng Lai, Yi Shao:
  Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model. J. Comput. Appl. Math. 342: 317-336 (2018)

skipping 119 more matches