Applied Mathematical Finance

Title Publication Date Language Citations
Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes2016/05/03English
On the Method of Optimal Portfolio Choice by Cost-Efficiency2016/03/03English
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance2014/01/31English
Efficient option valuation using trees2002/09/01English
Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets2020/03/03English
Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing2019/05/04English
Polynomial Processes for Power Prices2019/09/03English
Option Pricing in Illiquid Markets with Jumps2018/07/04English
Network Effects in Default Clustering for Large Systems2019/11/02English
Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives2020/05/03English
Volatility Targeting Using Delayed Diffusions2018/05/04English
Static Replication of European Multi-Asset Options with Homogeneous Payoff2021/09/03English
Unbiased Deep Solvers for Linear Parametric PDEs2021/07/04English
Explicit Representations for Utility Indifference Prices2021/01/02English
On a Neural Network to Extract Implied Information from American Options2021/09/03English
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility2021/11/02English
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data2020/07/03English
Optimal Trading with Differing Trade Signals2020/07/03English
A Structural Approach to Default Modelling with Pure Jump Processes2021/01/02English
A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets2021/03/04English
Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation2011/11/01English
The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books2011/07/01English
Vulnerable Derivatives and Good Deal Bounds: A Structural Model2013/07/01English
Exponential Lévy Models Extended by a Jump to Default2013/07/01English
A Path-Independent Humped Volatility Model for Option Pricing2013/07/01English
Option Replication in Discrete Time with Illiquidity2013/04/01English
Stochastic Models for Oil Prices and the Pricing of Futures on Oil2015/02/04English
A Parametricn-Dimensional Markov-Functional Model in the Terminal Measure2013/09/01English
Default Times in a Continuous Time Markov Chain Economy2013/11/01English
Editorial Board2012/02/01English