Ausgabe 1/2022
Inhalt (16 Artikel)
Open Access
Calibration to FX triangles of the 4/2 model under the benchmark approach
Alessandro Gnoatto, Martino Grasselli, Eckhard Platen
Open Access
Monetary risk measures for stochastic processes via Orlicz duality
Christos E. Kountzakis, Damiano Rossello
Expressions of forward starting option price in Hull–White stochastic volatility model
Hiroaki Hata, Nien-Lin Liu, Kazuhiro Yasuda
Bias-optimal vol-of-vol estimation: the role of window overlapping
Giacomo Toscano, Maria Cristina Recchioni
Portfolio choice in the model of expected utility with a safety-first component
Dennis W. Jansen, Liqun Liu
Open Access
A new class of multidimensional Wishart-based hybrid models
Gaetano La Bua, Daniele Marazzina
Open Access
Beating the market? A mathematical puzzle for market efficiency
Michael Heinrich Baumann
Grey Verhulst model and its chaotic behaviour with application to Bitcoin adoption
P. Gatabazi, J. C. Mba, E. Pindza
Ramsey rule with forward/backward utility for long-term yield curves modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
Open Access
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
Paolo De Angelis, Roberto De Marchis, Antonio L. Martire, Emilio Russo
Correction
Correction to: Semi-analytical prices for lookback and barrier options under the Heston model
Luca De Gennaro Aquino, Carole Bernard