Applied Mathematical Finance

Title Publication Date Language Citations
Implied Filtering Densities on the Hidden State of Stochastic Volatility2014/04/09English1
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk2014/09/09English1
Bonds and Options in Exponentially Affine Bond Models2012/12/01English1
Deep Q-Learning for Nash Equilibria: Nash-DQN2022/01/02English1
Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models2013/11/01English1
New Analytic Approach to Address Put–Call Parity Violation due to Discrete Dividends2012/02/01English1
Interest Guarantees in Banking2005/12/01English1
The Role of Binance in Bitcoin Volatility Transmission2022/01/02English1
Double Deep Q-Learning for Optimal Execution2021/07/04English1
A theoretical investigation of randomized asset allocation strategies1998/06/01English1
On the relative efficiency of nth order and DARA stochastic dominance rules1997/12/01English1
On the Approximation of the SABR Model: A Probabilistic Approach2012/12/01English1
Options on Realized Variance in Log-OU Models2012/11/01English1
Semi-Markov Model for Market Microstructure2015/05/04English1
Monte Carlo applied to exotic digital options2001/09/01English1
Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs2014/01/23English1
Tail VaR Measures in a Multi-period Setting2013/12/06English1
On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach2014/04/02English1
A Multivariate Default Model with Spread and Event Risk2013/06/18English1
Towards the determination of utility preference from optimal portfolio selections2001/03/01English1
Maxentropic construction of risk neutral measures: discrete market models2000/12/01English1
Expected Utility Theory on General Affine GARCH Models2021/11/02English1
Structural Clustering of Volatility Regimes for Dynamic Trading Strategies2021/05/04English1
A class of arbitrage-free log-normal-short-rate two-factor models1997/12/01English1
A hybrid method for pricing European options based on multiple assets with transaction costs1999/06/01English1
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution2006/06/01English1
Valuation of Performance‐Dependent Options2008/02/01English1
Spoofing and Price Manipulation in Order-Driven Markets2020/02/18English1
Price manipulation in a market impact model with dark pool2017/09/03English1
Hybrid Lévy Models: Design and Computational Aspects2018/10/30English1