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THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS JOURNAL ARTICLE published August 2009 in International Journal of Theoretical and Applied Finance |
POLYNOMIAL UTILITY JOURNAL ARTICLE published November 2023 in International Journal of Theoretical and Applied Finance Research funded by Innovationsfonden (7076-00029) |
PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS JOURNAL ARTICLE published November 2023 in International Journal of Theoretical and Applied Finance |
DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION JOURNAL ARTICLE published June 2019 in International Journal of Theoretical and Applied Finance |
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES JOURNAL ARTICLE published December 2012 in International Journal of Theoretical and Applied Finance |
A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS JOURNAL ARTICLE published December 2013 in International Journal of Theoretical and Applied Finance |
PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION JOURNAL ARTICLE published February 2012 in International Journal of Theoretical and Applied Finance |
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 |
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS JOURNAL ARTICLE published November 2020 in International Journal of Theoretical and Applied Finance |
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 |
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 |
VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS JOURNAL ARTICLE published May 2019 in International Journal of Theoretical and Applied Finance |
CONIC TRADING IN A MARKOVIAN STEADY STATE JOURNAL ARTICLE published March 2017 in International Journal of Theoretical and Applied Finance |
ON THE OCCURENCE OF FINANCIAL CRASHES JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance |
OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES JOURNAL ARTICLE published November 2004 in International Journal of Theoretical and Applied Finance |
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL JOURNAL ARTICLE published March 2012 in International Journal of Theoretical and Applied Finance |
A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS JOURNAL ARTICLE published June 2005 in International Journal of Theoretical and Applied Finance |
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) |
LONG MEMORY IN STOCK TRADING JOURNAL ARTICLE published November 2004 in International Journal of Theoretical and Applied Finance |
INVENTORY HEDGING AND OPTION MARKET MAKING JOURNAL ARTICLE published November 2004 in International Journal of Theoretical and Applied Finance |