Applied Mathematical Finance

Title Publication Date Language Citations
Risk-Neutral Pricing and Hedging of In-Play Football Bets2018/07/04English1
Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions2018/10/04English1
Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence2018/01/02English1
Eurodollar futures pricing in log-normal interest rate models in discrete time2016/11/01English1
Electricity Price Forecasting with Neural Networks on EPEX Order Books2020/05/03English1
A Mathematical Analysis of Technical Analysis2019/01/02English1
Two extensions for fitting discrete time term structure models with normally distributed factors2004/09/01English1
The role of index bonds in universal currency hedging2000/12/01English1
Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality2019/09/03English1
Risk measuring under liquidity risk2017/05/04English1
The affine inflation market models2017/07/04English1
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus2018/05/04English1
Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model2018/07/09English1
Optimal Decisions in a Time Priority Queue2018/03/04English1
Detecting and Repairing Arbitrage in Traded Option Prices2020/09/02English1
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model2016/09/02English1
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models2016/03/03English1
Log-Optimal Portfolios with Memory Effect2018/11/02English1
Estimating fees for managed futures: a continuous-time model with a knockout feature2000/06/01English1
Finite‐dimensional Realizations of Regime‐switching HJM Models2008/07/15English1
Models of information aggregation in financial markets: a review1996/06/01English1
The British Put Option2011/12/01English1
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies2013/11/01English1
American Strangle Options2020/05/03English1
Utility Indifference Pricing: A Time Consistent Approach2013/09/01English1
Strategic Pricing of Commodities2009/11/11English1
Pricing Equity Swaps in an Economy with Jumps2013/04/01English1
Joint Modelling of Gas and Electricity Spot Prices2013/03/01English1
Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives2010/02/11English1
Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs2012/07/01English1