Applied Mathematical Finance

Titel Veröffentlichungsdatum Sprache Zitate
Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options2010/09/28English
Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model2010/07/27English
Book Reviews1994/09/01English
Book Reviews1994/09/01English
Indexes to Volume 10 (2003)2003/12/01English
Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy2005/06/01English
Arithmetic Asian Options under Stochastic Delay Models2011/11/01English
Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory2014/04/14English
Market calibration under a long memory stochastic volatility model2016/09/02English
The British Lookback Option with Fixed Strike2015/03/12English
Editorial Board2014/09/18English
Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures2014/09/15English
A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions2015/11/02English
Perpetual Exchange Options under Jump-Diffusion Dynamics2015/09/03English
Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model2015/11/02English
Indifference fee rate for variable annuities2016/07/03English
Forward Variance Dynamics: Bergomi’s Model Revisited2013/07/26English
Optimal Selling of an Asset with Jumps Under Incomplete Information2013/07/01English
Perpetual Options on Multiple Underlyings2013/09/02English
Liquidity Costs: A New Numerical Methodology and an Empirical Study2016/01/02English
Skewness Term-Structure Tests2016/11/01English
Optimal Hedging in Incomplete Markets2020/07/03English
A Copula-based Markov Reward Approach to the Credit Spread in the European Union2019/07/04English
High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control2019/07/04English
Trading Signals in VIX Futures2021/05/04English
Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models2020/03/03English
KrigHedge: Gaussian Process Surrogates for Delta Hedging2021/07/04English
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading2020/11/01English
Non-parametric Pricing and Hedging of Exotic Derivatives2020/11/01English
Smart Indexing Under Regime-Switching Economic States2020/09/02English