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Showing results for ISSN matching 0219-0249

MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS

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

Research funded by Fraunhofer-Gesellschaft (TALENTA)

Authors: RALF KORN | ELISABETH LEOFF

https://doi.org/10.1142/s0219024919500195 Actions

ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA STOCK EXCHANGE

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

Authors: MOHAMMAD S. HASAN

https://doi.org/10.1142/s0219024904002797 Actions

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

https://doi.org/10.1142/s0219024920500466 Actions

SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL

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

Authors: YUE LIU | NICOLAS PRIVAULT

https://doi.org/10.1142/s0219024917500182 Actions

PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

JOURNAL ARTICLE published November 2016 in International Journal of Theoretical and Applied Finance

Authors: ALET ROUX

https://doi.org/10.1142/s0219024916500436 Actions

FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

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

Authors: AXEL GRORUD | MONIQUE PONTIER

https://doi.org/10.1142/s0219024905003219 Actions

INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS

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

Authors: ADEL SHARKASI | HEATHER J. RUSKIN | MARTIN CRANE

https://doi.org/10.1142/s0219024905003190 Actions

KRIGING METHODS FOR MODELING SPATIAL BASIS RISK IN WEATHER INDEX INSURANCES: A TECHNICAL NOTE

JOURNAL ARTICLE published 18 April 2024 in International Journal of Theoretical and Applied Finance

Authors: YIPING GUO | JOHNNY SIU-HANG LI

https://doi.org/10.1142/s0219024923500346 Actions

WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

JOURNAL ARTICLE published February 2001 in International Journal of Theoretical and Applied Finance

Authors: MARCO AVELLANEDA | ROBERT BUFF | CRAIG FRIEDMAN | NICOLAS GRANDECHAMP | LUKASZ KRUK | JOSHUA NEWMAN

https://doi.org/10.1142/s0219024901000882 Actions

BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH

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

Authors: FRANCISCO VENEGAS-MARTÍNEZ

https://doi.org/10.1142/s0219024905002755 Actions

WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

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

Authors: CLAUDIO FONTANA

https://doi.org/10.1142/s0219024915500053 Actions

CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY

JOURNAL ARTICLE published November 2018 in International Journal of Theoretical and Applied Finance

Research funded by National Research Foundation of Korea (2017R1C1B5074398)

Authors: JIWOOK JANG | JONG JUN PARK | HYUN JIN JANG

https://doi.org/10.1142/s0219024918500413 Actions

CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS

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

Authors: FERNANDO CORDERO | LAVINIA PEREZ-OSTAFE

https://doi.org/10.1142/s0219024915500296 Actions

OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS

JOURNAL ARTICLE published September 2018 in International Journal of Theoretical and Applied Finance

Authors: JOSÉ AFONSO FAIAS | TIAGO CASTEL-BRANCO

https://doi.org/10.1142/s0219024918500437 Actions

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

https://doi.org/10.1142/s0219024912500161 Actions

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

https://doi.org/10.1142/s0219024905003116 Actions

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

https://doi.org/10.1142/s0219024920500302 Actions

MEASURING SHOCK IN FINANCIAL MARKETS

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

Authors: GILLES O. ZUMBACH | MICHEL M. DACOROGNA | JØRGEN L. OLSEN | RICHARD B. OLSEN

https://doi.org/10.1142/s0219024900000188 Actions

SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL

JOURNAL ARTICLE published August 2001 in International Journal of Theoretical and Applied Finance

Authors: TIM DUN | GEOFF BARTON | ERIK SCHLÖGL

https://doi.org/10.1142/s0219024901001127 Actions

A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

JOURNAL ARTICLE published December 2011 in International Journal of Theoretical and Applied Finance

Authors: GEORGI DIMITROFF | STEFAN LORENZ | ALEXANDER SZIMAYER

https://doi.org/10.1142/s021902491100653x Actions
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