Keywords: نرخ بهره تصادفی;
مقالات ISI ترجمه شده نرخ بهره تصادفی
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Keywords: نرخ بهره تصادفی; European option; Series solution; Stochastic interest rate; Convergence;
Keywords: نرخ بهره تصادفی; Asset-liability management; Expected utility maximization; Stochastic interest rate; Inflation risk; Optimal investment strategy;
Keywords: نرخ بهره تصادفی; Variable annuity; Living and death benefits; Stochastic interest rate; Optimal stochastic control; Guaranteed Minimum Withdrawal Benefit; Gauss-Hermite quadrature;
Keywords: نرخ بهره تصادفی; C61; G11; G12; Portfolio optimization; Stochastic interest rate; Inflation-indexed bonds; Incompleteness; Compensating variation;
Keywords: نرخ بهره تصادفی; Real estate derivatives; Option pricing; Stochastic interest rate; Finite difference method;
Keywords: نرخ بهره تصادفی; Asset-liability management; Liquidity constraint; Stochastic interest rate; Utility maximization criterion; Verification theorem; Optimal investment strategy;
Keywords: نرخ بهره تصادفی; Generalized Fourier transform; Heston–CIR hybrid model; Realized variance; Stochastic interest rate; Stochastic volatility; Variance swap1G30; 91G20; 91B70
Keywords: نرخ بهره تصادفی; Stochastic interest rate; Multi-period mean-variance portfolio selection; Uncontrollable liability; Dynamic programming; Lagrangian duality;
Keywords: نرخ بهره تصادفی; primary, 91G20; secondary, 60G15Averaging principle; Stochastic elasticity of variance; Stochastic interest rate; Implied volatility
Keywords: نرخ بهره تصادفی; Stock loans; Stochastic interest rate; The ADI method
Keywords: نرخ بهره تصادفی; Reinsurance and investment; Mean-variance criterion; Time-consistent strategy; Stochastic interest rate; Stochastic inflation index; Stochastic control;
Keywords: نرخ بهره تصادفی; Contingent claim; Early exercise; Retirement benefit; Simulation; Stochastic interest rate; C15; G13;
Keywords: نرخ بهره تصادفی; G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Optimal proportional reinsurance strategy; Optimal investment strategy; CRRA utility; Stochastic dynamic programming; Stochastic inflation index; Stochastic interest rat
Keywords: نرخ بهره تصادفی; Longevity bond; Stochastic interest rate; Stochastic mortality; Regime switching; Stochastic flows; Exponential affine form;
Keywords: نرخ بهره تصادفی; Asset-liability management; Mean-variance; Equilibrium strategy; Time-inconsistent control problem; Stochastic interest rate;
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Keywords: نرخ بهره تصادفی; Robust investment strategy; DC pension plan; Stochastic interest rate; Stochastic volatility; AAM;
Valuation of n-fold compound barrier options with stochastic interest rates
Keywords: نرخ بهره تصادفی; Barrier options; Compound options; Default; Stochastic interest rate;
Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
Keywords: نرخ بهره تصادفی; C61; G11; G23; Asset allocation; Defined contribution pension plan; Stochastic interest rate; Inflation-indexed bond; Minimum guarantee;
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Keywords: نرخ بهره تصادفی; C61; G11; G32; G02; 91B16; 91B30; 91G10; 93E20; IE12; IE13; IE43; IB81; Defined contribution pension plan; Portfolio choice; Stochastic interest rate; Stochastic contribution rate; Loss aversion; Value-at-Risk; Martingale method;
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Keywords: نرخ بهره تصادفی; Variable annuities; GLWB pricing; Stochastic volatility; Stochastic interest rate; Optimal withdrawal;
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Keywords: نرخ بهره تصادفی; G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 91G30; IB13; IE12; IE13; IE43; Defined contribution pension plan; Stochastic interest rate; Mean-reverting returns; Stochastic market price of risk; Mean-variance efficiency; Stochastic dynamic programming;
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Keywords: نرخ بهره تصادفی; C61; G11; G32; 91G30; 91G10; 93E20; 91B16; 90C39; 91B06; IE53; IE13; IB13; IE12; Defined contribution pension plan; CRRA utility; Stochastic dynamic programming; Stochastic interest rate; Stochastic volatility; Stochastic contribution rate; Minimum guaran
Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
Keywords: نرخ بهره تصادفی; Fast Fourier transform; Double exponential jump diffusion; Stochastic interest rate; Stochastic volatility
A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
Keywords: نرخ بهره تصادفی; Characteristic function; Fast Fourier transform; Double exponential jump diffusion; Stochastic interest rate; Stochastic volatility
Option pricing for a stochastic volatility Lévy model with stochastic interest rates
Keywords: نرخ بهره تصادفی; 60G20; 60G51Time-change Lévy process; Stochastic interest rate; Option pricing
Valuation of double trigger catastrophe options with counterparty risk
Keywords: نرخ بهره تصادفی; Catastrophe; Stochastic interest rate; Counterparty risk; Compound Poisson
Asset allocation under stochastic interest rate with regime switching
Keywords: نرخ بهره تصادفی; Stochastic interest rate; Regime-switching; Stochastic flows; Dynamic programming principle; HJB equation;
Valuation of equity-indexed annuity under stochastic mortality and interest rate
Keywords: نرخ بهره تصادفی; Equity-indexed annuity; Stochastic mortality; Stochastic interest rate;
Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
Keywords: نرخ بهره تصادفی; Compound binomial model; Delayed claim; Discounted dividend payments; Stochastic interest rate; Markov chain; Expected present value;
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
Keywords: نرخ بهره تصادفی; Pension funds; Stochastic control; Optimal portfolio; Stochastic interest rate
Analytical valuation of catastrophe equity options with negative exponential jumps
Keywords: نرخ بهره تصادفی; G13; G23; Catastrophe derivatives; Lévy process; Stochastic interest rate; Reinsurance; Option pricing;
A model for pricing real estate derivatives with stochastic interest rates
Keywords: نرخ بهره تصادفی; Real estate; Derivatives pricing; Stochastic interest rate; Bidimensional binomial lattice
A class of asset pricing models governed by subordinate processes that signal economic shocks
Keywords: نرخ بهره تصادفی; G12; G15; Mean reverting Ito process; Stochastic volatility; Economic shock process; Risk premia; Stochastic interest rate; Risk-neutral process; Subordinated processes; Brownian motion models; Foreign exchange markets; Incomplete/complete markets;
An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
Keywords: نرخ بهره تصادفی; C15; C63; E43; IM01; IM10; IE51; Present value; Stochastic interest rate; Hull and White model; Convex bounds; Value-at-Risk;