VALUATION

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Generalized valuations on MTL-algebras
《Frontiers of Mathematics in China》2022年第4期521-543,共23页Juntao WANG Pengfei HE 
supported by the National Natural Science Foundation of China(Grant Nos.12001423,12171294,61976244,11961016);Natural Science Foundation of Shaanxi Province(Grant Nos.2020JQ-762,2021JQ-580,2021JQ-579);Natural Science Foundation of Education Committee of Shannxi Province(Grant No.19JK0626);Fundamental Research Funds for the Central Universities(Grant Nos.GK202003003,GK200101009).
In this paper,we study some kinds of generalized valuations on MTL-algebras,discuss the relationship between the cokernel of generalized valuations and types of filters on MTL-algebras.Then,we give some equivalent cha...
关键词：Fuzzy logic MTL-algebra generalized valuation filter 
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
《Frontiers of Mathematics in China》2017年第5期1085-1112,共28页Yinghui DONG Kam Chuen YUEN Guojing WANG 
The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20170064） and QingLan project. The research of Kam Chuen Yuen was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China （Project No. HKU17329216）, and the CAE 2013 research grant from the Society of Actuaries-any opinions, finding, and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the SOA. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274）.
We study the counterparty risk for a credit default swap （CDS） in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes wit...
关键词：Credit default swap （CDS） bilateral credit valuation adjustment Markov chain common shock regime-switching shot noise process 
Valuation of correlation options under a stochastic interest rate model with regime switching被引量：1
《Frontiers of Mathematics in China》2017年第5期1113-1130,共18页Kun FAN Rongming WANG 
This work was supported by the National Natural Science Foundation of China （Grant Nos. 11501211, 11571113, 11231005）, the Program of Shanghai Subject Chief Scientist （14XD1401600）, the 111 Project （B14019）, the Shanghai Pujiang Program （15PJC026）, the Shanghai Philosophy Social Science Planning Office Project （2015EJB002）, the China Postdoctoral Science Foundation （2015M581564）, and the Shanghai Chenguang Plan （15CG22）.
We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by ...
关键词：Correlation option stochastic interest rate regime-switching forward measure fast Fourier transform （FFT） 
ψValuation ideals and primary w-ideals
《Frontiers of Mathematics in China》2016年第4期829-844,共16页Gyu Whan CHANG Hwaukoo KIM 
Let D be an integral domain, ψ（D） （resp., t-ψ（D）） be the set of all valuation （resp., t-valuation） ideals of D, and w-P（D） be the set of primary w-ideals of D. Let D[X] be the polynomial ring over 19, c（f...
关键词：t-Valuation ideal primary w-ideal PVMD UMT-domain D[X]Nv 
Utility indifference valuation of corporate bond with rating migration risk被引量：3
《Frontiers of Mathematics in China》2015年第6期1389-1400,共12页Jin LIANG Xudan ZHANG Yuejuan ZHAO 
Acknowledgements This work was supported by the National Natural Science Foundation of China （Grant No. 11271287）.
A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a mul...
关键词：Utility indifference price credit rating migration HJB equation Markov-modulated 
Weak Galerkin finite element method for valuation of American options被引量：3
《Frontiers of Mathematics in China》2014年第2期455-476,共22页Ran ZHANG Haiming SONG Nana LUAN 
Acknowledgements The authors would like to thank the anonymous referees for their careflll reading of the manuscript and their valuable comments. The authors also wish to thank the High Performance Computing Center of Jilin University and C, omputing Center of ,lilin Province for essential support. This work was supported by the National Natural Science Foundation of China Grant Nos. 11271157, 11371171）, the Open Project Program of the State Key Lab of CAD＆CG （A1302） of Zhejiang University, the Scientific Research Foundation for bleturned Scholars, Ministry of Education of China. and UIBE （11QD17）.
We introduce a weak Galerkin finite element method for the valuation of American options governed by the Black-Scholes equation. In order to implement, we need to solve the optimal exercise boundary and then introduce...
关键词：American option optimal exercise boundary weak Galerkin finite element method 
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