Applied Mathematical Finance

Title Publication Date Language Citations
Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes2021/01/02English
Markovian spot rate dynamics with stochastic volatility structures1997/07/01English
On the Minimal Entropy Martingale Measure and Multinomial Lattices with Cumulants2013/09/01English
Boundaries of Correlation Adjustment with Applications to Financial Risk Management2013/09/01English
Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization2013/04/01English
Compound and exchange options in the affine term structure model1996/03/01English
Corrections to the Prices of Derivatives due to Market Incompleteness2011/02/17English
A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps2007/12/01English
Hedging Large Portfolios of Options in Discrete Time*2008/06/01English
Partial Hedging in Financial Markets with a Large Agent2009/10/01English
INTRODUCTION2008/12/01English
Optimum Constrained Portfolio Rules in a Diffusion Market2006/12/01English
Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model2011/12/01English
The Effect of Correlation and Transaction Costs on the Pricing of Basket Options2012/04/01English
Comparison of Two Methods for Superreplication2012/04/01English
A generalized bootstrap method to determine the yield curve2000/12/01English
Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence2019/11/02English
Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets2021/09/03English
Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals2022/11/02English
Obtaining distributional information from valuation lattices2000/06/01English
Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’2022/09/03English
On Regularized Optimal Execution Problems and Their Singular Limits2022/03/04English
Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction2022/03/04English
The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives2022/03/04English
On the Valuation of Discrete Asian Options in High Volatility Environments2021/11/02English
Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets2023/03/04English
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates1999/12/01English
Optimal Execution: A Review2022/05/04English
Valuation of European Options Under an Uncertain Market Price of Volatility Risk2022/05/04English
Robust Risk-Aware Option Hedging2023/05/04English