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Source: Theory of probability and its applications. 2020. Vol. 65, № 2. P. 224-248
Type: статьи в журналах
Date: 2020
Description:
We study a problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming
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Source: Annals of the Institute of Statistical Mathematics. 2020. Vol. 72, № 5. P. 1205-1235
Type: статьи в журналах
Date: 2020
Description:
We develop a new model selection method for an adaptive robust efficient nonparametric
Type: учебные издания
Date: 2020
Description:
The goal of the course is to study the main tools of the renewal theory and their applications to some problems of the actuarial analysis for insurance companies in the framework of the Cremer - Lundb
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Source: Finance and stochastics. 2020. Vol. 24, № 1. P. 39-69
Type: статьи в журналах
Date: 2020
Description:
We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Levy processes. Our main ´ interest is the model describing the evolu
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