Applied Mathematical Finance

Titel Veröffentlichungsdatum Sprache Zitate
ADI Schemes for Pricing American Options under the Heston Model2015/02/20English4
A theoretical analysis of trading rules: an application to the moving average case with Markovian returns1997/09/01English4
The Lévy Swap Market Model2007/05/01English4
Liquidity Risk with Coherent Risk Measures2006/06/01English4
An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling2006/12/01English4
Market Influence of Portfolio Optimizers2008/02/01English4
Robust barrier option pricing by frame projection under exponential Lévy dynamics2017/07/04English4
Estimating volatility on overlapping returns when returns are autocorrelated2002/09/01English4
Real-World Pricing for a Modified Constant Elasticity of Variance Model2010/04/01English4
Risk Minimization for a Filtering Micromovement Model of Asset Price2010/04/01English4
The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities2012/11/01English4
Investment diversification and investment specialization and the assumed holding period1996/06/01English4
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis2005/06/01English4
Neural networks and some applications to finance1995/03/01English4
Empirical Evaluation of Hybrid Defaultable Bond Pricing Models2008/06/01English4
Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes2013/03/01English4
A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures2018/01/02English4
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs2016/01/02English4
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method2016/05/03English4
Stock options as barrier contingent claims2003/06/01English4
A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap2014/11/03English3
Optimal Execution and Block Trade Pricing: A General Framework2015/06/02English3
On an investment-consumption model with transaction costs: an asymptotic analysis1997/07/01English3
A multiplicative model for volume and volatility1995/09/01English3
Return and Value at Risk using the Dirichlet Process2008/06/01English3
Calculating hedge fund risk: the draw down and the maximum draw down2004/09/01English3
The European options hedge perfectly in a Poisson-Gaussian stock market model2002/06/01English3
American options under uncertain volatility2002/06/01English3
Money, prices and interest rates in a non-aggregate stochastic general equilibrium model2004/12/01English3
Optimal market making2017/03/04English3