Applied Mathematical Finance

Title Publication Date Language Citations
Trading volume in models of financial derivatives2001/05/01English13
Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism1998/03/01English13
A Structural Model with Unobserved Default Boundary2008/04/01English13
Passport options with stochastic volatility2001/05/01English13
Fast numerical valuation of American, exotic and complex options1997/03/01English13
The pricing of derivatives on assets with quadratic volatility2001/12/01English13
Prices and Asymptotics for Discrete Variance Swaps2013/08/01English13
Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants1995/03/01English12
Variance-Optimal Hedging for Time-Changed Lévy Processes2011/02/17English12
Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets2009/04/01English12
Time Charters with Purchase Options in Shipping: Valuation and Risk Management2010/09/28English12
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model2014/01/15English12
A note on adjusting correlation matrices2002/03/01English11
Tail behaviour of credit loss distributions for general latent factor models2003/12/01English11
Multi‐asset barrier options and occupation time derivatives2003/09/01English11
Implied Volatility of Leveraged ETF Options2014/11/20English11
Orderings and Probability Functionals Consistent with Preferences2009/02/01English11
Statistical inference and modelling of momentum in stock prices1995/10/01English11
Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion2009/08/26English11
Displaced Diffusion as an Approximation of the Constant Elasticity of Variance2009/08/26English11
Numerical Procedure for Calibration of Volatility with American Options2005/09/01English10
On pricing and reserving with-profits life insurance contracts2001/09/01English10
Mean Variance Hedging in a General Jump Model2010/02/11English10
Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes2006/12/01English10
A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model2007/09/01English10
Interest rate model calibration using semidefinite Programming2003/09/01English10
Utility-Based Valuation and Hedging of Basis Risk With Partial Information2010/06/02English10
Modelling day‐ahead electricity prices2003/06/01English10
Valuation formulae for window barrier options2001/12/01English10
Enhancing trading strategies with order book signals2018/01/02English9