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Showing results for ISSN matching 0219-0249

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

BARRIER OPTION PRICING BY BRANCHING PROCESSES

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

Authors: GEORGI K. MITOV | SVETLOZAR T. RACHEV | YOUNG SHIN KIM | FRANK J. FABOZZI

https://doi.org/10.1142/s0219024909005555 Actions

ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL

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

Research funded by Magyar Tudományos Akadémia (LP 2015-6/2015)

Authors: MIKLÓS RÁSONYI

https://doi.org/10.1142/s0219024916500473 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

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

A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING

JOURNAL ARTICLE published March 2003 in International Journal of Theoretical and Applied Finance

Authors: MOSHE A. MILEVSKY | STEVEN E. POSNER

https://doi.org/10.1142/s0219024903001888 Actions

A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS

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

Authors: WOLFGANG BREYMANN | SHOALEH GHASHGHAIE | PETER TALKNER

https://doi.org/10.1142/s021902490000019x 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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