Applied Mathematical Finance

Title Publication Date Language Citations
Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models2008/12/01English32
On Modelling and Pricing Rainfall Derivatives with Seasonality2011/02/17English32
Dynamic programming and mean‐variance hedging in discrete time2004/03/01English31
Calibration of the SABR Model in Illiquid Markets2005/12/01English31
Multiscale Intensity Models for Single Name Credit Derivatives2008/02/01English29
Default risk and derivative products1996/03/01English29
A note on the Flesaker-Hughston model of the term structure of interest rates1997/09/01English29
Multi‐asset portfolio optimization with transaction cost2004/06/01English28
Level–Slope–Curvature – Fact or Artefact?2007/05/01English28
Modelling Electricity Prices with Forward Looking Capacity Constraints2009/04/01English27
Statistical modelling of asymmetric risk in asset returns1995/09/01English27
A numerical PDE approach for pricing callable bonds2001/03/01English25
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options2007/02/01English25
Basics of electricity derivative pricing in competitive markets2002/03/01English24
Stochastic equity volatility related to the leverage effect1994/09/01English24
Pricing of Swing Options in a Mean Reverting Model with Jumps2008/12/01English24
A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries2009/11/11English24
An Improved Binomial Lattice Method for Multi‐Dimensional Options2007/12/01English23
A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets2009/10/01English23
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility2010/06/16English23
Valuing catastrophe bonds by Monte Carlo simulations2003/01/01English23
Fuzzy measures and asset prices: accounting for information ambiguity1997/09/01English23
Market oscillations induced by the competition between value-based and trend-based investment strategies1994/12/01English22
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options2007/07/01English22
American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach2009/02/01English22
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory2003/01/01English21
Simulations of transaction costs and optimal rehedging1994/09/01English21
Approximate Formulas for Zero‐coupon Bonds2007/07/01English20
Indifference Pricing and Hedging for Volatility Derivatives2007/09/01English20
Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation2009/08/26English19