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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL

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

Authors: MICHELE LEONARDO BIANCHI | GIAN LUCA TASSINARI | FRANK J. FABOZZI