International Journal of Theoretical and Applied Finance

Titel Veröffentlichungsdatum Sprache Zitate
EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS2013/05/01English12
TENOR SPECIFIC PRICING2012/09/01English12
THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY2006/02/01English12
A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS2009/02/01English12
COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA2013/03/01English12
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME2011/02/01English12
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES2008/08/01English12
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS2012/05/01English12
PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES2008/09/01English11
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS2004/03/01English11
MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS2003/06/01English11
The Pricing of Country Funds from Emerging Markets: Theory and Evidence1998/01/01English11
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL2012/11/01English11
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS2011/09/01English11
A CLOSER LOOK AT THE EPPS EFFECT2003/02/01English10
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES2009/05/01English10
Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model2003/08/01English10
AUTOMATED OPTION PRICING: NUMERICAL METHODS2013/12/01English9
METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES2014/07/28English9
BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY2001/12/01English9
A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD2012/09/01English9
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL2010/06/01English9
THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES1999/04/01English9
High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation2003/11/01English9
PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS2012/02/01English9
ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS2007/03/01English9
FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES2002/09/01English9
RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY2013/09/01English9
AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA2010/09/01English9
FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES2009/03/01English9