Applied Mathematical Finance

Title Publication Date Language Citations
An E-ARCH model for the term structure of implied volatility of FX options1997/07/01English19
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options2007/02/01English18
Statistical properties of the sample semi-variance2002/12/01English18
Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives2008/02/01English17
A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices2005/03/01English17
Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints2003/06/01English17
Laplace transforms and American options2000/12/01English16
Pricing American currency options in an exponential Lévy model2004/09/01English16
Mean–Variance Optimal Adaptive Execution2011/11/01English15
Numerical Methods for Non-Linear Black–Scholes Equations2010/02/11English15
A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model2006/03/01English15
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach2003/01/01English15
Hedging lookback and partial lookback options using Malliavin calculus2000/06/01English15
Random walk duality and the valuation of discrete lookback options1998/09/01English15
Numerical Methods and Volatility Models for Valuing Cliquet Options2006/12/01English15
Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion2010/07/27English14
Sato Processes in Default Modelling2010/09/28English14
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*2007/07/01English14
The Implied Market Price of Weather Risk2012/02/01English14
Various passport options and their valuation1999/12/01English14
Stochastic volatility Gaussian Heath-Jarrow-Morton models2004/12/01English14
Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework2013/07/01English14
Hedging of Spatial Temperature Risk with Market-Traded Futures2011/02/17English14
Option pricing with hedging at fixed trading dates1996/06/01English14
A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates1996/12/01English14
Closed Formula for Options with Discrete Dividends and Its Derivatives2009/11/11English14
Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options1999/03/01English13
A PDE approach to risk measures of derivatives2000/09/01English13
Modelling Asset Prices for Algorithmic and High-Frequency Trading2013/05/07English13
Liquidity and credit risk2001/05/01English13