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A path integral approach to asset-liability management · Study

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ArticleA path integral approach to asset-liability management

Marc Decamps A2005

Article2005

A path integral approach to asset-liability management

Marc Decamps A · Ann De Schepper · Marc J. Goovaerts

24 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Risk and Portfolio Optimization Complex Systems and Time Series Analysis

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References

1999Continuous Martingales and Brownian Motion 1991Continuous Martingales and Brownian Motion 1997Controlled diffusion models for optimal dividend pay-out 1999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example 2000Optimal risk and dividend distribution control models for an insurance company 1992Reflected Brownian Motion in an Orthant: Numerical Methods for Steady-State Analysis 1997A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results 1991Steady-State Analysis of RBM in a Rectangle: Numerical Methods and A Queueing Application

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2015Path integral and asset pricing

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Year2005

Typearticle

Published2005-09-21

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physa.2005.08.059

openalex_workW2012759387

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