THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS

JOURNAL ARTICLE published August 2009 in International Journal of Theoretical and Applied Finance

Authors: RICHARD JORDAN | CHARLES TIER

POLYNOMIAL UTILITY

JOURNAL ARTICLE published November 2023 in International Journal of Theoretical and Applied Finance

Research funded by Innovationsfonden (7076-00029)

Authors: ALEXANDER S. LOLLIKE | MOGENS STEFFENSEN

PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS

JOURNAL ARTICLE published November 2023 in International Journal of Theoretical and Applied Finance

Authors: MOHAMED EL JAMALI | HATIM TAYEQ

DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION

JOURNAL ARTICLE published June 2019 in International Journal of Theoretical and Applied Finance

Authors: PAVEL V. GAPEEV | MONIQUE JEANBLANC

RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES

JOURNAL ARTICLE published December 2012 in International Journal of Theoretical and Applied Finance

Authors: TIM LEUNG | PENG LIU

A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS

JOURNAL ARTICLE published December 2013 in International Journal of Theoretical and Applied Finance

Authors: HENRIK HULT | FILIP LINDSKOG | JOHAN NYKVIST

PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION

JOURNAL ARTICLE published February 2012 in International Journal of Theoretical and Applied Finance

Authors: PAVEL V. GAPEEV

CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

JOURNAL ARTICLE published June 2014 in International Journal of Theoretical and Applied Finance

Authors: FABIEN HEUWELYCKX

MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS

JOURNAL ARTICLE published November 2020 in International Journal of Theoretical and Applied Finance

Authors: JACQUES VAN APPEL | THOMAS A. MCWALTER

COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

JOURNAL ARTICLE published September 2013 in International Journal of Theoretical and Applied Finance

Authors: JANIS BACK | MARCEL PROKOPCZUK

AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA

JOURNAL ARTICLE published May 2009 in International Journal of Theoretical and Applied Finance

Authors: DON U. A. GALAGEDERA

OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS

JOURNAL ARTICLE published December 2015 in International Journal of Theoretical and Applied Finance

Authors: PATRICK ASSONKEN | G. S. LADDE

VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS

JOURNAL ARTICLE published May 2019 in International Journal of Theoretical and Applied Finance

Authors: OLIVER PFANTE | NILS BERTSCHINGER

CONIC TRADING IN A MARKOVIAN STEADY STATE

JOURNAL ARTICLE published March 2017 in International Journal of Theoretical and Applied Finance

Authors: DILIP B. MADAN | MARTIJN PISTORIUS | WIM SCHOUTENS

ON THE OCCURENCE OF FINANCIAL CRASHES

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: F. BRISBOIS | Ph. BOVEROUX | M. AUSLOOS | N. VANDEWALLE

OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES

JOURNAL ARTICLE published November 2004 in International Journal of Theoretical and Applied Finance

Authors: MASSIMILIANO ADAMO | ANNA LISA AMADORI | MASSIMO BERNASCHI | CLAUDIA LA CHIOMA | ALESSIA MARIGO | BENEDETTO PICCOLI | SIMONE SBARAGLIA | ADAMO UBOLDI | DAVIDE VERGNI | PAOLA FABBRI | DAVIDE IACOVONI | FRANCESCO NATALE | STEFANO SCALERA | LUCIA SPILOTRO | ANTONELLA VALLETTA

VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

JOURNAL ARTICLE published February 2007 in International Journal of Theoretical and Applied Finance

Authors: YINGZI ZHU | JIN E. ZHANG

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

JOURNAL ARTICLE published March 2012 in International Journal of Theoretical and Applied Finance

Authors: BIN CHEN | CORNELIS W. OOSTERLEE | HANS VAN DER WEIDE

A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS

JOURNAL ARTICLE published June 2005 in International Journal of Theoretical and Applied Finance

Authors: HIROSHI KONNO | REI YAMAMOTO

MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY

JOURNAL ARTICLE published August 2020 in International Journal of Theoretical and Applied Finance

Research funded by National Research foundation Korea (NRF-2017R1C1B2011652)

Authors: CHI TIM NG | YUE SHI | NGAI HANG CHAN