Applied Mathematical Finance

Title Publication Date Language Citations
Pricing and hedging derivative securities in markets with uncertain volatilities1995/06/01English352
Optimal execution with nonlinear impact functions and trading-enhanced risk2003/01/01English305
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality2005/12/01English287
On modelling and pricing weather derivatives2002/03/01English209
Uncertain volatility and the risk-free synthesis of derivatives1995/06/01English180
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing2007/05/01English162
Volatility skews and extensions of the Libor market model2000/03/01English131
Calibrating volatility surfaces via relative-entropy minimization1997/03/01English127
Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives2005/03/01English116
Multigrid for American option pricing with stochastic volatility1999/09/01English113
Binomial models for option valuation - examining and improving convergence1996/12/01English98
Optimal Basket Liquidation for CARA Investors is Deterministic2010/04/20English97
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching2007/02/01English93
General Black-Scholes models accounting for increased market volatility from hedging strategies1998/03/01English88
Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing2008/04/01English87
Equivalent Black volatilities1999/09/01English84
Energy futures prices: term structure models with Kalman filter estimation2002/03/01English84
Analysis of Fourier Transform Valuation Formulas and Applications2010/06/16English83
Bivariate option pricing with copulas2002/06/01English83
Interpolation Methods for Curve Construction2006/06/01English81
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model1996/03/01English75
On the pricing and hedging of volatility derivatives2004/12/01English68
Optimal Financial Portfolios2007/12/01English67
Optimal exercise boundary for an American put option1998/06/01English65
Stock market bubbles in the laboratory1994/12/01English61
Toward real-time pricing of complex financial derivatives1996/03/01English61
Pricing Asset Scheduling Flexibility using Optimal Switching2008/12/01English59
Two extensions to barrier option valuation1995/09/01English55
On Markov‐modulated Exponential‐affine Bond Price Formulae2009/02/01English55
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs1994/12/01English54