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Showing results for ISSN matching 0219-0249

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

SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES

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

Authors: TOMMASO PELLEGRINO

https://doi.org/10.1142/s0219024920500211 Actions

RISKY OPTIONS SIMPLIFIED

JOURNAL ARTICLE published January 1999 in International Journal of Theoretical and Applied Finance

Authors: MARTIN SCHWEIZER

https://doi.org/10.1142/s0219024999000054 Actions

TRADING MULTIPLE MEAN REVERSION

JOURNAL ARTICLE published February 2022 in International Journal of Theoretical and Applied Finance

Research funded by Russian Science Foundation (20-68-47030)

Authors: ELENA BOGUSLAVSKAYA | MICHAEL BOGUSLAVSKY | DMITRY MURAVEY

https://doi.org/10.1142/s0219024922500066 Actions

OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP

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

Authors: ROMAN V. IVANOV

https://doi.org/10.1142/s0219024918500188 Actions

PHASE TRANSITION IN A TOY MARKET

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

Authors: DAMIEN CHALLET | MATTEO MARSILI | RICCARDO ZECCHINA

https://doi.org/10.1142/s021902490000036x Actions

THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST

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

Authors: PAUL MAGIS | ALESSANDRO SBUELZ

https://doi.org/10.1142/s021902490600372x Actions

ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS

JOURNAL ARTICLE published February 2017 in International Journal of Theoretical and Applied Finance

Authors: NORMAN JOSEPHY | LUCIA KIMBALL | VICTORIA STEBLOVSKAYA

https://doi.org/10.1142/s0219024917500029 Actions

A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT

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

Authors: L. GARDIOL | R. GIBSON | P.-A. BARES | R. CONT | S. GYGER

https://doi.org/10.1142/s021902490000053x Actions

Optimal Asset Allocation with Asymptotic Criteria

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

Authors: Slava Karguine

https://doi.org/10.1142/s0219024903002080 Actions

MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS

JOURNAL ARTICLE published September 2005 in International Journal of Theoretical and Applied Finance

Authors: L. A. GIL-ALANA

https://doi.org/10.1142/s0219024905003207 Actions

BARRIER PROBABILITIES AND MAXIMUM SEVERITY OF RUIN FOR A RENEWAL RISK MODEL

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

Authors: K. K. THAMPI | M. J. JACOB | N. RAJU

https://doi.org/10.1142/s0219024907004482 Actions

PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS

JOURNAL ARTICLE published May 2014 in International Journal of Theoretical and Applied Finance

Authors: HANNAH DYRSSEN | ERIK EKSTRÖM | JOHAN TYSK

https://doi.org/10.1142/s0219024914500198 Actions

CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET

JOURNAL ARTICLE published May 2023 in International Journal of Theoretical and Applied Finance

Research funded by Institute of Mathematics for Industry, Joint Usage/Research Center in Kyushu University (20120005)

Authors: YOHJI AKAMA

https://doi.org/10.1142/s0219024923500061 Actions

EDITORIAL

JOURNAL ARTICLE published May 2023 in International Journal of Theoretical and Applied Finance

https://doi.org/10.1142/s0219024923010021 Actions

SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED

JOURNAL ARTICLE published June 2015 in International Journal of Theoretical and Applied Finance

Authors: VINCENT VARGAS | TUNG-LAM DAO | JEAN-PHILIPPE BOUCHAUD

https://doi.org/10.1142/s0219024915500223 Actions

SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS

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

Authors: M. ALESSANDRA CRISAFI | ANDREA MACRINA

https://doi.org/10.1142/s0219024916500552 Actions

A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK

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

Authors: TOMASZ R. BIELECKI | IGOR CIALENCO | SHIBI FENG

https://doi.org/10.1142/s0219024918500504 Actions

STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD

JOURNAL ARTICLE published March 2014 in International Journal of Theoretical and Applied Finance

Authors: HIDEYUKI TANAKA | TOSHIHIRO YAMADA

https://doi.org/10.1142/s0219024914500149 Actions

Author Index Volume 13 (2010)

JOURNAL ARTICLE published December 2010 in International Journal of Theoretical and Applied Finance

https://doi.org/10.1142/s0219024910006224 Actions
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