| Stochastic Volatility Effects on Defaultable Bonds | 2006/09/01 | English | 54 |
| An explicit finite difference approach to the pricing of barrier options | 1998/03/01 | English | 53 |
| Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model | 2011/02/17 | English | 52 |
| Stochastic volatility, smile & asymptotics | 1999/06/01 | English | 52 |
| Stochastic Volatility Model with Time‐dependent Skew | 2005/06/01 | English | 52 |
| The Dynamic Interaction of Speculation and Diversification | 2005/03/01 | English | 50 |
| Bond, futures and option evaluation in the quadratic interest rate model | 1996/06/01 | English | 48 |
| On the Distributional Characterization of Daily Log‐Returns of a World Stock Index | 2006/03/01 | English | 47 |
| The predictive power of price patterns | 1998/09/01 | English | 46 |
| Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model | 2007/09/01 | English | 44 |
| Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection | 2005/03/01 | English | 42 |
| On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion | 2003/12/01 | English | 41 |
| The use and pricing of convertible bonds | 1996/09/01 | English | 41 |
| Multiple time scales in volatility and leverage correlations: a stochastic volatility model | 2004/03/01 | English | 41 |
| Efficient Pricing of Derivatives on Assets with Discrete Dividends | 2006/09/01 | English | 40 |
| A framework for valuing corporate securities | 1998/09/01 | English | 39 |
| Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing | 2008/07/15 | English | 39 |
| A note on arbitrage‐free pricing of forward contracts in energy markets | 2003/12/01 | English | 39 |
| Lookback options with discrete and partial monitoring of the underlying price | 1995/10/01 | English | 38 |
| A finite element approach to the pricing of discrete lookbacks with stochastic volatility | 1999/06/01 | English | 38 |
| Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals | 2009/11/11 | English | 38 |
| Sharp Upper and Lower Bounds for Basket Options | 2005/09/01 | English | 36 |
| Phenomenology of the interest rate curve | 1999/09/01 | English | 36 |
| Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree | 2008/04/01 | English | 35 |
| General Lower Bounds for Arithmetic Asian Option Prices | 2008/04/01 | English | 35 |
| Optimal Quantization for the Pricing of Swing Options | 2009/04/01 | English | 34 |
| On American Options Under the Variance Gamma Process | 2007/05/01 | English | 34 |
| Delta, gamma and bucket hedging of interest rate derivatives | 1994/09/01 | English | 33 |
| A simple class of square-root interest-rate models | 1995/03/01 | English | 33 |
| Convex Hedging in Incomplete Markets | 2007/12/01 | English | 33 |