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MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS JOURNAL ARTICLE published June 2019 in International Journal of Theoretical and Applied Finance Research funded by Fraunhofer-Gesellschaft (TALENTA) |
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 |
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS JOURNAL ARTICLE published November 2020 in International Journal of Theoretical and Applied Finance |
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL JOURNAL ARTICLE published May 2017 in International Journal of Theoretical and Applied Finance |
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 |
FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS JOURNAL ARTICLE published September 2005 in International Journal of Theoretical and Applied Finance |
INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS JOURNAL ARTICLE published August 2005 in International Journal of Theoretical and Applied Finance |
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 |
WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS JOURNAL ARTICLE published February 2001 in International Journal of Theoretical and Applied Finance |
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 |
WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS JOURNAL ARTICLE published February 2015 in International Journal of Theoretical and Applied Finance |
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) |
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 |
OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS JOURNAL ARTICLE published September 2018 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) |
MEASURING SHOCK IN FINANCIAL MARKETS JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance |
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL JOURNAL ARTICLE published August 2001 in International Journal of Theoretical and Applied Finance |
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING JOURNAL ARTICLE published December 2011 in International Journal of Theoretical and Applied Finance |