Pathwise superreplication via Vovk’s outer measure by Beiglböck, M, Cox, A, Huesmann, M, Perkowski, N, Prömel, D

“…<br/> Using Vovk’s approach to mathematical finance, we derive a model-independent superreplication theorem in continuous time, given information on finitely many marginals. …”

Data driven approach to robust pricing, hedging and risk management and its dynamics in time by Wiesel, JCW

“…<p>Model-independent mathematical finance is a relatively young research field, which aims to quantify Knightian uncertainty on the choice of pricing models. …”

Cost Engineering & Computational Finance (Concepts and Applications) / by Swan, Rylee, author 650992, Nagel, Lorwetta, author 650991

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Reinsurance Policy under Interest Force and Bankruptcy Prohibition by Yangmin Zhong, Huaping Huang

“…In this paper, we solve an optimal reinsurance problem in the mathematical finance area. We assume that the surplus process of the insurance company follows a controlled diffusion process and the constant interest rate is involved in the financial model. …”
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Optimal Investment, Consumption and Leisure with an Option to File for Bankruptcy by Byung Hwa Lim, Ho-Seok Lee

“…This paper is based on a mathematical finance model that assumes a Black-Scholes financial market and describes a decision problem as an expected discounted utility maximization problem. …”
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A Multidisciplinary Approach to Decompose Decision-making Process in the Context of Intertemporal Choices by Roberta Martino, Viviana Ventre

“…This paper takes place in the context of intertemporal choices through a multidisciplinary approach involving behavioral finance, mathematical finance, temperament theory and  multicriteria models of decision support techniques. …”
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Distribution regression for sequential data by Lemercier, M, Salvi, C, Damoulas, T, Bonilla, EV, Lyons, T

“…We provide theoretical results on the universality of both approaches and demonstrate empirically their robustness to irregularly sampled multivariate time-series, achieving state-of-the-art performance on both synthetic and real-world examples from thermodynamics, mathematical finance and agricultural science.…”

Discretely sampled signals and the rough Hoff process by Flint, G, Hambly, B, Lyons, T

“…Such random ODEs have a natural interpretation in the context of mathematical finance.…”

Distribution regression for sequential data by Lemercier, M, Salvi, C, Damoulas, T, Bonilla, EV, Lyons, T

“…We provide theoretical results on the universality of both approaches and demonstrate empirically their robustness to irregularly sampled multivariate time-series, achieving state-of-the-art performance on both synthetic and real-world examples from thermodynamics, mathematical finance and agricultural science.…”

Optimal stopping via distribution regression: a higher rank signature approach by Horvath, B, Lemercier, M, Liu, C, Lyons, T, Salvi, C

“…However, this approach fails for Optimal Stopping Problems arising from mathematical finance, such as the pricing of American options, because the corresponding value functions are in general discontinuous with respect to the weak topology. …”

Partial Differential Equations : An Introduction to Analytical and Numerical Methods / by Arendt, Wolfgang, 1950-, author 298021, Urban, Karsten, author 651726, Kennedy, J. B., translator 259344, SpringerLink (Online service)

“…The Black-Scholes equation from mathematical finance is one of several opportunities for extension. …”
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High-order filtered schemes for time-dependent second order HJB equations by Bokanowski, O, Picarelli, A, Reisinger, C

“…We give theoretical proofs of these claims and illustrate the behaviour with numerical tests from mathematical finance, focussing also on the use of backward difference formulae (BDF) for constructing the high order schemes.…”

A PENALTY METHOD FOR THE NUMERICAL SOLUTION OF HAMILTON-JACOBI-BELLMAN (HJB) EQUATIONS IN FINANCE by Witte, J, Reisinger, C

“…We include a number of examples from mathematical finance for which the described approach yields a rigorous numerical scheme and present numerical results. © 2011 Society for Industrial and Applied Mathematics.…”

Sensitivity analysis of Wasserstein distributionally robust optimization problems by Bartl, D, Drapeau, S, Obloj, J, Wiesel, J

“…We present applications to statistics, machine learning, mathematical finance and uncertainty quantification. In particular, we provide an explicit first-order approximation for square-root LASSO regression coefficients and deduce coefficient shrinkage compared to the ordinary least-squares regression. …”

High-order filtered schemes for time-dependent second order HJB equations by Bokanowski, O, Picarelli, A, Reisinger, C

“…We give theoretical proofs of these claims and illustrate the behaviour with numerical tests from mathematical finance, focussing also on the use of backward differencing formulae for constructing the high order schemes.…”

An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model by Wu, Simin, Md Yusof, Zahayu, Misiran, Masnita

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An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model by Wu, Simin, Md Yusof, Zahayu, Misiran, Masnita

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Numerical Investigation of the Three-Dimensional HCIR Partial Differential Equation Utilizing a New Localized RBF-FD Method by Xiaoxia Ma, Malik Zaka Ullah, Stanford Shateyi

“…This work is concerned with the computational solution of the time-dependent 3D parabolic Heston–Cox–Ingersoll–Ross (HCIR) PDE, which is of practical importance in mathematical finance. The HCIR dynamic states that the model follows randomness for the underlying asset, the volatility and the rate of interest. …”
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A Monotone Discretization for the Fractional Obstacle Problem and Its Improved Policy Iteration by Rubing Han, Shuonan Wu, Hao Zhou

“…In recent years, the fractional Laplacian has attracted the attention of many researchers, the corresponding fractional obstacle problems have been widely applied in mathematical finance, particle systems, and elastic theory. …”
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Approximate Solution for Barrier Option Pricing Using Adaptive Differential Evolution With Learning Parameter by Werry Febrianti, Kuntjoro Adji Sidarto, Novriana Sumarti

“… Black-Scholes (BS) equations, which are in the form of stochastic partial differential equations, are fundamental equations in mathematical finance, especially in option pricing. Even though there exists an analytical solution to the standard form, the equations are not straightforward to be solved numerically. …”
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