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Showing results for ISSN matching 0219-0249

DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS

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

Authors: CHUANG YI

https://doi.org/10.1142/s0219024911006395 Actions

THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL

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

Authors: RÉMY CHICHEPORTICHE | JEAN-PHILIPPE BOUCHAUD

https://doi.org/10.1142/s0219024912500197 Actions

EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES

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

Authors: L. A. BORDAG | A. Y. CHMAKOVA

https://doi.org/10.1142/s021902490700407x Actions

OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM

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

Authors: GABRIELE STABILE

https://doi.org/10.1142/s0219024906003524 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

EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS

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

Authors: MATTHIAS SCHERER | THORSTEN SCHULZ

https://doi.org/10.1142/s0219024916500424 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

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

FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

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

Authors: RICCARDO REBONATO

https://doi.org/10.1142/s0219024906003767 Actions

DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS

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

Authors: R. MERINO | J. POSPÍŠIL | T. SOBOTKA | J. VIVES

https://doi.org/10.1142/s0219024918500528 Actions

BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS

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

Authors: LUCA DE GENNARO AQUINO | CAROLE BERNARD

https://doi.org/10.1142/s0219024920500508 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

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

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

PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES

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

Authors: ALAN DE GENARO | MARCO AVELLANEDA

https://doi.org/10.1142/s0219024918500371 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

REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK

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

Authors: JOHN DRIFFILL | TURALAY KENC | MARTIN SOLA

https://doi.org/10.1142/s0219024913500283 Actions

FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

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

Authors: REHEZ AHLIP

https://doi.org/10.1142/s0219024908004804 Actions

LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS

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

Authors: DORJE C. BRODY | LANE P. HUGHSTON | DAVID M. MEIER

https://doi.org/10.1142/s0219024918500267 Actions
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