Applied Mathematical Finance

Titel Veröffentlichungsdatum Sprache Zitate
Risk arbitrage in the Nikkei put warrant market of 1989–19901995/10/01English6
Arbitrage pricing with incomplete markets1996/12/01English6
Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models2004/06/01English6
Models of forward Libor and swap rates1999/03/01English6
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives2009/11/11English6
Optimal Market Making in the Foreign Exchange Market2010/07/27English6
Genetic algorithms and applications to finance1995/06/01English6
Mean-Variance Hedging with Uncertain Trade Execution2009/08/26English6
The Endogenous Price Dynamics of Emission Allowances and an Application to CO2Option Pricing2012/11/01English6
A valuation model for firms with stochastic earnings2003/09/01English6
A model of speculative behaviour with a strange attractor2002/09/01English6
Optimal Execution and Price Manipulations in Time-varying Limit Order Books2013/10/16English6
A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model2008/12/01English6
Pricing a European Basket Option in the Presence of Proportional Transaction Costs2006/09/01English6
Trader Behavior and its Effect on Asset Price Dynamics2009/04/01English5
Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps2012/04/01English5
Intertemporal portfolio optimization with small transaction costs and stochastic variance2003/12/01English5
Calibrating the Black-Derman-Toy model: some theoretical results2001/03/01English5
Exchange Options Under Jump-Diffusion Dynamics2011/07/01English5
Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs2010/07/27English5
PDE Models for Pricing Stocks and Options With Memory Feedback1995/10/01English5
Calibration of Stock Betas from Skews of Implied Volatilities2011/02/17English5
Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs2010/08/12English5
Exponential risk measure with application to UK asset allocation2000/06/01English5
Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach1998/06/01English5
Regime-switching stochastic volatility model: estimation and calibration to VIX options2017/01/02English5
The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX2011/07/01English4
American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations2013/03/01English4
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework1997/12/01English4
Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes2014/09/22English4