Title | Journal | Journal Categories | Citations | Publication Date |
---|---|---|---|---|
Title | American Economic Review |
| 1993 | |
10.3386/w9423 | ||||
10.1007/978-3-662-13043-8 | ||||
10.1007/978-1-4684-0302-2 | ||||
Market Price of Risk Specifications for Affine Models: Theory and Evidence | SSRN Electronic Journal | 25 | 2003 |
Title | Journal | Journal Categories | Citations | Publication Date |
---|---|---|---|---|
Pricing levered warrants under the CEV diffusion model | Review of Derivatives Research |
| 2024 | |
Martingale defects in the volatility surface and bubble conditions in the underlying | Review of Derivatives Research |
| 2024 | |
Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model | Computational and Applied Mathematics |
| 2024 | |
Finite maturity caps and floors on continuous flows under the constant elasticity of variance process | European Journal of Operational Research |
| 2024 | |
Functional Stochastic Discount Factors in the Stochastic Volatility Model | SSRN Electronic Journal | 2024 |