Hedging quantos, differential swaps and ratios

JOURNAL ARTICLE published September 1994 in Applied Mathematical Finance

Authors: Farshid Jamshidian

Comparison of Two Methods for Superreplication

JOURNAL ARTICLE published April 2012 in Applied Mathematical Finance

Authors: Erik Ekström | Johan Tysk

Hybrid Lévy Models: Design and Computational Aspects

JOURNAL ARTICLE published 2 November 2018 in Applied Mathematical Finance

Authors: Ernst Eberlein | Marcus Rudmann

Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes

JOURNAL ARTICLE published 2 January 2021 in Applied Mathematical Finance

Authors: Piergiacomo Sabino | Nicola Cufaro Petroni

Modelling Credit Risk in the Jump Threshold Framework

JOURNAL ARTICLE published 2 November 2018 in Applied Mathematical Finance

Research funded by Simons Foundation (316999)

Authors: Chun-Yuan Chiu | Alec Kercheval

On pricing and reserving with-profits life insurance contracts

JOURNAL ARTICLE published September 2001 in Applied Mathematical Finance

Authors: David Prieul | Vladislav Putyatin | Tarek Nassar

Stochastic Models for Oil Prices and the Pricing of Futures on Oil

JOURNAL ARTICLE published 4 March 2015 in Applied Mathematical Finance

Authors: Mohammed A. Aba Oud | Joanna Goard

INTRODUCTION

JOURNAL ARTICLE published December 2008 in Applied Mathematical Finance

Authors: Hélyette Geman

Risk-Neutral Pricing and Hedging of In-Play Football Bets

JOURNAL ARTICLE published 4 July 2018 in Applied Mathematical Finance

Research funded by Economic and Social Research Council (ES/K002309/1)

Authors: Peter Divos | Sebastian Del Bano Rollin | Zsolt Bihari | Tomaso Aste

Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models

JOURNAL ARTICLE published 4 May 2021 in Applied Mathematical Finance

Authors: Dilip B. Madan | King Wang

Statistical inference and modelling of momentum in stock prices

JOURNAL ARTICLE published October 1995 in Applied Mathematical Finance

Authors: G. Caginalp | G. Constantine

On American Options Under the Variance Gamma Process

JOURNAL ARTICLE published May 2007 in Applied Mathematical Finance

Authors: Ariel Almendral | Cornelis W. Oosterlee

Extended Gini-Type Measures of Risk and Variability

JOURNAL ARTICLE published 4 May 2018 in Applied Mathematical Finance

Authors: Mohammed Berkhouch | Ghizlane Lakhnati | Marcelo Brutti Righi

Maxentropic construction of risk neutral measures: discrete market models

JOURNAL ARTICLE published December 2000 in Applied Mathematical Finance

Authors: Henryk Gzyl

Option Replication in Discrete Time with Illiquidity

JOURNAL ARTICLE published April 2013 in Applied Mathematical Finance

Authors: Koichi Matsumoto

Option pricing in incomplete discrete markets

JOURNAL ARTICLE published September 1998 in Applied Mathematical Finance

Authors: Grazyna Wolczynska

Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models

JOURNAL ARTICLE published September 2007 in Applied Mathematical Finance

Authors: Oh Kang Kwon

Optimum Constrained Portfolio Rules in a Diffusion Market

JOURNAL ARTICLE published December 2006 in Applied Mathematical Finance

Authors: Fernando J. Durrell

Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis

JOURNAL ARTICLE published December 2012 in Applied Mathematical Finance

Authors: Álvaro Cartea | Dimitrios Karyampas

Valuing catastrophe bonds by Monte Carlo simulations

JOURNAL ARTICLE published January 2003 in Applied Mathematical Finance

Authors: Victor E. Vaugirard