THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

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

Authors: CHRISTOPHER BEVERIDGE | MARK JOSHI

PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS

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

Authors: FRED ESPEN BENTH | RODWELL KUFAKUNESU

THE BRITISH KNOCK-OUT PUT OPTION

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

Authors: LULUWAH AL-FAGIH

INCREASING SPOT RATES OF INTEREST: STRUCTURE OF THE PRICE OF A DEFAULT FREE DISCOUNT BOND

JOURNAL ARTICLE published May 2002 in International Journal of Theoretical and Applied Finance

Authors: SALVADOR CRUZ RAMBAUD | MARÍA DEL CARMEN VALLS MARTÍNEZ

EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS

JOURNAL ARTICLE published September 2010 in International Journal of Theoretical and Applied Finance

Authors: FERNANDA D'IPPOLITI | ENRICO MORETTO | SARA PASQUALI | BARBARA TRIVELLATO

SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION

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

Authors: DENIS BELOMESTNY | WOLFGANG KARL HÄRDLE | EKATERINA KRYMOVA

GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

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

Authors: FRANCESCA BIAGINI | ALESSANDRO GNOATTO | MAXIMILIAN HÄRTEL

OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS

JOURNAL ARTICLE published May 2002 in International Journal of Theoretical and Applied Finance

Authors: LORENZO CORNALBA | JEAN-PHILIPPE BOUCHAUD | MARC POTTERS

THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES

JOURNAL ARTICLE published November 2006 in International Journal of Theoretical and Applied Finance

Authors: LUCA CAPRIOTTI

APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL

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

Authors: ANDRZEJ DANILUK | RAFAŁ MUCHORSKI

NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES

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

Authors: LESLIE NG

A NEW ARGUMENT IN FAVOR OF HYPERBOLIC DISCOUNTING IN VERY LONG TERM PROJECT APPRAISAL

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

Authors: SALVADOR CRUZ RAMBAUD

CONIC CPPIs

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

Authors: INE MARQUET | WIM SCHOUTENS

ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE

JOURNAL ARTICLE published December 2008 in International Journal of Theoretical and Applied Finance

Authors: SHANE M. MILLER | ECKHARD PLATEN

FOREWORD

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

PREFACE — Special Issue on Computational Finance

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

TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE

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

Authors: STEFANO D'ADDONA | MATTIA CIPRIAN

OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS

JOURNAL ARTICLE published November 2006 in International Journal of Theoretical and Applied Finance

Authors: ERIK AURELL | PAOLO MURATORE-GINANNESCHI

CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING

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

Authors: OMAR EL HAJJAJI | ALEXANDER SUBBOTIN

EDITORIAL

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