Applied Mathematical Finance

Title Publication Date Language Citations
Stochastic Expansion for the Pricing of Call Options with Discrete Dividends2012/07/01English
On the Spurious Correlation Between Sample Betas and Mean Returns2012/09/01English
Game Options Analysis of the Information Role of Call Policies in Convertible Bonds2015/05/21English
Pricing of Defaultable Bonds with Random Information Flow2015/06/12English
Good-Deal Bounds in a Regime-Switching Diffusion Market2011/12/01English
A possible way of estimating options with stable distributed underlying asset prices2004/03/01English
Hitting time and time change2004/03/01English
Valuing risky income streams in incomplete markets2004/09/01English
Insider Trading in Convergent Markets2005/09/01English
A Series Solution for Bermudan Options2005/12/01English
Erratum2005/09/01English
Modelling Specific Interest Rate Risk with Estimation of Missing Data2005/09/01English
Using Utility Functions to Model Risky Bonds2007/07/01English
Modelling Credit Risk in the Jump Threshold Framework2018/04/26English
Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model2016/01/02English
Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse2016/07/03English
Financial jeopardy2017/03/04English
Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling2018/06/18English
A moment-based analytic approximation of the risk-neutral density of American options2016/11/01English
Approximate indifference pricing in exponential Lévy models2016/05/03English
Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting2016/07/03English
Good point methods for computing prices and sensitivities of multi-asset European style options1998/06/01English
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework2023/07/04English
On the Skew and Curvature of the Implied and Local Volatilities2023/01/02English
Simulation of Arbitrage-Free Implied Volatility Surfaces2023/03/04English
Electricity Intraday Price Modelling with Marked Hawkes Processes2022/07/04English
Price Impact Without Averaging2023/07/04English
Pricing stock and bond derivatives with a multi-factor Gaussian model1998/09/01English
Option pricing in incomplete discrete markets1998/09/01English
Exchange Option Pricing Under Variance Gamma-Like Models2022/11/02English