| On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates | 2012/02/01 | English | 9 |
| Computing the Volume ofn-Dimensional Copulas | 2009/10/01 | English | 9 |
| Markov interest rate models | 1999/12/01 | English | 9 |
| Optimal Trade Execution Under Stochastic Volatility and Liquidity | 2014/01/31 | English | 9 |
| Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives | 2009/10/01 | English | 8 |
| Static Replication of Forward-Start Claims and Realized Variance Swaps | 2010/04/01 | English | 8 |
| Option pricing for large agents | 2002/12/01 | English | 8 |
| Optimal hedging strategies for misspecified asset price models | 1999/09/01 | English | 8 |
| Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis | 2007/02/01 | English | 8 |
| Hedging quantos, differential swaps and ratios | 1994/09/01 | English | 8 |
| The pricing of Asian options under stochastic interest rates | 1996/09/01 | English | 8 |
| Misspecified asset price models and robust hedging strategies | 1997/03/01 | English | 8 |
| Some applications of L2-hedging with a non-negative wealth process | 1997/03/01 | English | 8 |
| Hydropower with Financial Information* | 2008/12/01 | English | 7 |
| Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage | 2007/09/01 | English | 7 |
| A square root interest rate model fitting discrete initial term structure data | 2000/09/01 | English | 7 |
| Exact Superreplication Strategies for a Class of Derivative Assets | 2006/03/01 | English | 7 |
| A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models | 2006/03/01 | English | 7 |
| Modelling credit default swap spreads by means of normal mixtures and copulas | 2004/06/01 | English | 7 |
| Pitfalls of the Fourier Transform Method in Affine Models, and Remedies | 2016/03/03 | English | 7 |
| Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process | 2015/09/03 | English | 7 |
| Unstructured meshing for two asset barrier options | 2000/03/01 | English | 7 |
| Estimation of stochastic volatility in the Hull-White model | 2000/09/01 | English | 7 |
| Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model | 2007/02/01 | English | 7 |
| Pricing Options on Defaultable Stocks* | 2008/06/01 | English | 7 |
| Local Volatility Pricing Models for Long-Dated FX Derivatives | 2013/09/01 | English | 6 |
| Closed Form Approximations for Spread Options | 2011/11/01 | English | 6 |
| Short Positions, Rally Fears and Option Markets | 2010/02/11 | English | 6 |
| Statistical bootstrapping methods in VaR calculation | 2001/09/01 | English | 6 |
| Two Exotic Lookback Options | 2008/07/15 | English | 6 |