Matches in SemOpenAlex for { <https://semopenalex.org/work/W3012316552> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W3012316552 endingPage "375" @default.
- W3012316552 startingPage "331" @default.
- W3012316552 abstract "We use a powerful extension of the classical method of heat potentials, recently developed by the present author and his collaborators, to solve several significant problems of financial mathematics. We consider the following problems in detail: (A) calibrating the default boundary in the structural default framework to a constant default intensity; (B) calculating default probability for a representative bank in the mean-field framework; (C) finding the hitting time probability density of an Ornstein-Uhlenbeck process. Several other problems, including pricing American put options and finding optimal mean-reverting trading strategies, are mentioned in passing. Besides, two non-financial applications -- the supercooled Stefan problem and the integrate-and-fire neuroscience problem -- are briefly discussed as well." @default.
- W3012316552 created "2020-03-23" @default.
- W3012316552 creator A5075376959 @default.
- W3012316552 date "2023-01-01" @default.
- W3012316552 modified "2023-09-27" @default.
- W3012316552 title "Old Problems, Classical Methods, New Solutions" @default.
- W3012316552 cites W1498168521 @default.
- W3012316552 cites W1516955418 @default.
- W3012316552 cites W1603846250 @default.
- W3012316552 cites W1962503717 @default.
- W3012316552 cites W1996097431 @default.
- W3012316552 cites W1999583668 @default.
- W3012316552 cites W2006804758 @default.
- W3012316552 cites W2009803015 @default.
- W3012316552 cites W2018881312 @default.
- W3012316552 cites W2025870159 @default.
- W3012316552 cites W2026549506 @default.
- W3012316552 cites W2030765885 @default.
- W3012316552 cites W2035360021 @default.
- W3012316552 cites W2037247210 @default.
- W3012316552 cites W2056550744 @default.
- W3012316552 cites W2083953899 @default.
- W3012316552 cites W2084538588 @default.
- W3012316552 cites W2105973145 @default.
- W3012316552 cites W2108487867 @default.
- W3012316552 cites W2131913615 @default.
- W3012316552 cites W2134852050 @default.
- W3012316552 cites W2162337502 @default.
- W3012316552 cites W2461214097 @default.
- W3012316552 cites W254472683 @default.
- W3012316552 cites W2567883305 @default.
- W3012316552 cites W2783841579 @default.
- W3012316552 cites W2785022322 @default.
- W3012316552 cites W2805382960 @default.
- W3012316552 cites W2810185570 @default.
- W3012316552 cites W2883813405 @default.
- W3012316552 cites W2895508653 @default.
- W3012316552 cites W2913408906 @default.
- W3012316552 cites W2963715400 @default.
- W3012316552 cites W2963967209 @default.
- W3012316552 cites W2968584812 @default.
- W3012316552 cites W3005413475 @default.
- W3012316552 cites W3007785493 @default.
- W3012316552 cites W3008426976 @default.
- W3012316552 cites W3021895250 @default.
- W3012316552 cites W3023127472 @default.
- W3012316552 cites W3122814119 @default.
- W3012316552 cites W3123848600 @default.
- W3012316552 cites W3125083748 @default.
- W3012316552 cites W586097531 @default.
- W3012316552 cites W592693156 @default.
- W3012316552 cites W622437874 @default.
- W3012316552 doi "https://doi.org/10.1142/9789811259142_0016" @default.
- W3012316552 hasPublicationYear "2023" @default.
- W3012316552 type Work @default.
- W3012316552 sameAs 3012316552 @default.
- W3012316552 citedByCount "1" @default.
- W3012316552 countsByYear W30123165522020 @default.
- W3012316552 crossrefType "book-chapter" @default.
- W3012316552 hasAuthorship W3012316552A5075376959 @default.
- W3012316552 hasBestOaLocation W30123165522 @default.
- W3012316552 hasConcept C41008148 @default.
- W3012316552 hasConceptScore W3012316552C41008148 @default.
- W3012316552 hasLocation W30123165521 @default.
- W3012316552 hasLocation W30123165522 @default.
- W3012316552 hasOpenAccess W3012316552 @default.
- W3012316552 hasPrimaryLocation W30123165521 @default.
- W3012316552 hasRelatedWork W2130043461 @default.
- W3012316552 hasRelatedWork W2350741829 @default.
- W3012316552 hasRelatedWork W2358668433 @default.
- W3012316552 hasRelatedWork W2376932109 @default.
- W3012316552 hasRelatedWork W2382290278 @default.
- W3012316552 hasRelatedWork W2390279801 @default.
- W3012316552 hasRelatedWork W2748952813 @default.
- W3012316552 hasRelatedWork W2899084033 @default.
- W3012316552 hasRelatedWork W3004735627 @default.
- W3012316552 hasRelatedWork W2530322880 @default.
- W3012316552 isParatext "false" @default.
- W3012316552 isRetracted "false" @default.
- W3012316552 magId "3012316552" @default.
- W3012316552 workType "book-chapter" @default.