Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model.
Ann. Oper. Res., March, 2024
Optimal renewable resource harvesting model using price and biomass stochastic variations: a utility based approach.
Math. Methods Oper. Res., 2022
A fuzzy multifactor asset pricing model.
Ann. Oper. Res., 2022
S-ARMA Model and Wold Decomposition for Covariance Stationary Interval-Valued Time Series Processes.
New Math. Nat. Comput., 2021
On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return.
Ann. Oper. Res., 2021
The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection.
New Math. Nat. Comput., 2020
Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns.
J. Oper. Res. Soc., 2017
Generalized Integral Transforms with the Homotopy Perturbation Method.
J. Math. Model. Algorithms Oper. Res., 2014
Sharp estimates for the CDF of quadratic forms of MPE random vectors.
J. Multivar. Anal., 2010
Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options.
Comput. Stat. Data Anal., 2008
Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors
CoRR, 2003