A dynamical system model-driven approach to pricing with smart volatility: a case study of catastrophe bonds pricing for China’s flood

[1] S. P. Azizi, Chien Yi Huang, Ti An Chen, Shu Chuan Chen, Amirhossein Nafei, Bitcoin
Volatility Forecasting: An Artificial Differential Equation Neural Network, AIMS Mathematics, 8 (2023), No. 6, pp. 13907-13922.
[2] T. Bjork ¨ , Arbitrage Theory in Continuous Time, 2009, Oxford University Press.
[3] K. Burnecki, M. N. Giuricich, Stable Weak Approximation at Work in Index-linked Catastrophe Bond Pricing, Risks, 5 (2017), No. 4, Art. 64.
[4] G. Castellacci, Y. Choi, Financial Instability Contagion: A Dynamical Systems Approach,
Quantitative Finance, 14 (2014), pp. 1243-1255.
[5] V. Cheriyan, A. J. Kleywegt, A Dynamical Systems Model of Price Bubbles and Cycles,
Quantitative Finance, 16 (2016), pp. 309-336.
[6] Y. Choi, Masked Instability: Within-Sector Financial Risk in the Presence of Wealth Inequality, Risks, 6 (2018), No. 3, Art. 65.
[7] Y. Choi, R. Douady, Financial Crisis Dynamics: Attempt to Define a Market Instability
Indicator, Quantitative Finance, 12 (2012), pp. 1351-1365.
[8] F. A. De Scally, Evaluation of Storm Surge Risk: A Case Study from Rarotonga, Cook
Islands, International Journal of Disaster Risk Reduction, 7 (2014), pp. 9-27.
[9] R. GhasemPour, S. Pourmohammad Azizi, Sajad Ahmad Waloo, LOEX Option: A
Combination of Exchange Option and Lookback Option, Management Analytics and Social
Insights, 1 (2024), No. 1, pp. 50-58.
[10] J. C. Hull, Options, Futures and Other Derivatives, 2003, Pearson Education India.
[11] E. Jondeau, S. Poon, M. Rockinger, Financial Modeling Under Non-Gaussian Distributions, 2007, Springer Science & Business Media.
[12] F. C. Klebaner, Introduction to Stochastic Calculus with Applications, World Scientific
Publishing Company, 2012.
[13] Z. Ma, C. Ma, Pricing Catastrophe Risk Bonds: A Mixed Approximation Method, Insurance:
Mathematics and Economics, 52 (2013), pp. 243-254.
[14] T. Mai, S. Mushtaq, K. Reardon-Smith, P. Webb, R. Stone, J. Kath, Duc-Anh An-Vo,
Defining Flood Risk Management Strategies: A Systems Approach, International Journal of
Disaster Risk Reduction, 47 (2020), pp. 101550.
[15] A. J. McNeil, R. Frey, P. Embrechts, Quantitative Risk Management: Concepts, Techniques and Tools - Revised Edition, 2015, Princeton University Press.
[16] E. G. Mehlabani, A. Chandramohanan, Intersecting Realms: Analyzing Impediments to
Efficient Transit Operations in Maritime Ports, Management Analytics and Social Insights,
1 (2024), No. 1, pp. 28-39.
[17] A. Nafei, C. Huang, S. Chen, Kuang-Zong Huo, Yi-Ching Lin, Hadi Nasseri, Neutrosophic Autocratic Multi-Attribute Decision-Making Strategies for Building Material Supplier
Selection, Buildings, 13 (2023), No. 6, pp. 1373.
[18] M. Nezhadkian, M. Quan, S. M. Azimi, An Optimal Strategy to Change the NonChangeable Assets, Management Analytics and Social Insights, 1 (2024), No. 1, pp. 17-27.
[19] S. Pourmohammad Azizi, Abdolsadeh Neisy, A New Approach in Geometric Brownian
Motion Model, In Fuzzy Information and Engineering and Decision, 2017, Springer, pp. 336-
342.
[20] S. Pourmohammad Azizi, Abdolsadeh Neisy, Sajad Ahmad Waloo, A Dynamical Systems Approach to Machine Learning, International Journal of Computational Methods,
(2023), pp. 2350007.
[21] A. J. Unger, Pricing Index-based Catastrophe Bonds: Part 1: Formulation and Discretization Issues using a Numerical PDE Approach, Computers & Geosciences, 36 (2010), pp.
139-149.
[22] S. Wiggins, Introduction to Applied Nonlinear Dynamical Systems and Chaos, Volume 2,
2003, Springer Science & Business Media.