المؤلفون: Filipović, Damir, Larsson, Martin, Pulido, Sergio

المساهمون: Ecole Polytechnique Fédérale de Lausanne (EPFL), Department of Mathematics ETH Zurich (D-MATH), Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Martin Larsson gratefully acknowledges support from SNF Grant 205121163425. The research of Sergio Pulido benefited from the support of the Chair Marketsin Transition (Fédération Bancaire Française) and the project ANR 11-LABX-0019. The research leading to these results has received funding from the European Research Council under the European Union’s Seventh Framework Programme (FP/2007-2013) /ERC Grant Agreement n. 307465-POLYTE., ANR-11-LABX-0019,LABEX FCD,LABEX Finance & Croissance Durable(2011), European Project: 307465,EC:FP7:ERC,ERC-2012-StG_20111012,POLYTE(2012)

المصدر: ISSN: 0304-4149.

مصطلحات موضوعية: American options, transition rate matrix, cubature rule, asymptotic moments, Polynomial process, transition probabilities, MSC 2010: 60G07, 60J25, 60J27, 60J28, 60J10, 91G60, 65C20,65C30, 60H35, 60F99, 60J60, 60J75, 60H10, 60H20, 60H30, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1707.06849; info:eu-repo/grantAgreement/EC/FP7/307465/EU/Polynomial term structure models/POLYTE; hal-01418755; https://hal.science/hal-01418755Test; https://hal.science/hal-01418755v2/documentTest; https://hal.science/hal-01418755v2/file/MarkovCubature.pdfTest; ARXIV: 1707.06849

الإتاحة: https://doi.org/10.1016/j.spa.2019.06.010Test
https://hal.science/hal-01418755Test
https://hal.science/hal-01418755v2/documentTest
https://hal.science/hal-01418755v2/file/MarkovCubature.pdfTest

المؤلفون: Filipović, Damir, Larsson, Martin

مصطلحات موضوعية: Quantitative Finance - Mathematical Finance, Quantitative Finance - Pricing of Securities, 60H30, 91G20

العلاقة: http://arxiv.org/abs/1711.08043Test

الإتاحة: http://arxiv.org/abs/1711.08043Test

المؤلفون: Filipović, Damir, Larsson, Martin, Pulido, Sergio

مصطلحات موضوعية: Mathematics - Probability, Quantitative Finance - Mathematical Finance, 60G07, 60J25, 60J27, 60J28, 60J10, 91G60, 65C20, 65C30, 60H35, 60F99, 60J60, 60J75, 60H10, 60H20, 60H30

العلاقة: http://arxiv.org/abs/1707.06849Test

الإتاحة: http://arxiv.org/abs/1707.06849Test

المؤلفون: Acciaio, Beatrice¹ b.acciaio@lse.ac.uk, Larsson, Martin² martin.larsson@math.ethz.ch, Schachermayer, Walter walter.schachermayer@univie.ac.at

المصدر: Finance & Stochastics. Jul2017, Vol. 21 Issue 3, p741-751. 11p.

مصطلحات موضوعية: Mathematical models of finance, Investments, Securities trading, Finance, Economics

المؤلفون: Filipović, Damir¹, Larsson, Martin² martin.larsson@math.ethz.ch

المصدر: Finance & Stochastics. Oct2016, Vol. 20 Issue 4, p931-972. 42p.

مصطلحات موضوعية: Finance, Moment problems (Mathematics), Mathematical models of diffusion, Financial markets, Interest rates, Credit risk, Arbitrage

المؤلفون: Cuchiero, Christa, Larsson, Martin, Svaluto-Ferro, Sara

مصطلحات موضوعية: Polynomial processes, unit simplex, stochastic models with jumps, Wright–Fisher diffusion, stochastic invariance, 60J25, 60H30

وصف الملف: application/pdf

العلاقة: https://projecteuclid.org/euclid.aoap/1533780278Test; Ann. Appl. Probab. 28, no. 4 (2018), 2451-2500

الإتاحة: https://doi.org/10.1214/17-AAP1363Test
https://projecteuclid.org/euclid.aoap/1533780278Test