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

Comparison of Two Methods for Superreplication

JOURNAL ARTICLE published April 2012 in Applied Mathematical Finance

Authors: Erik Ekström | Johan Tysk

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

A Family of Maximum Entropy Densities Matching Call Option Prices

JOURNAL ARTICLE published December 2013 in Applied Mathematical Finance

Authors: Cassio Neri | Lorenz Schneider

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

Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

JOURNAL ARTICLE published November 2011 in Applied Mathematical Finance

Authors: Tomáš Bokes | Daniel Ševčovič

INTRODUCTION

JOURNAL ARTICLE published December 2008 in Applied Mathematical Finance

Authors: Hélyette Geman

Maxentropic construction of risk neutral measures: discrete market models

JOURNAL ARTICLE published December 2000 in Applied Mathematical Finance

Authors: Henryk Gzyl

Calibrating volatility surfaces via relative-entropy minimization

JOURNAL ARTICLE published March 1997 in Applied Mathematical Finance

Authors: Marco Avellaneda | Craig Friedman | Richard Holmes | Dominick Samperi

Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes

JOURNAL ARTICLE published 4 March 2015 in Applied Mathematical Finance

Authors: Yuji Umezawa | Akira Yamazaki

A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models

JOURNAL ARTICLE published 4 May 2014 in Applied Mathematical Finance

Authors: Raymond Brummelhuis | Ron T. L. Chan

Pitfalls of the Fourier Transform Method in Affine Models, and Remedies

JOURNAL ARTICLE published 3 March 2016 in Applied Mathematical Finance

Authors: Sergei Levendorskiĭ

Mean-Field Game Strategies for Optimal Execution

JOURNAL ARTICLE published 4 March 2019 in Applied Mathematical Finance

Authors: Xuancheng Huang | Sebastian Jaimungal | Mojtaba Nourian

Stock Loans in Incomplete Markets

JOURNAL ARTICLE published April 2013 in Applied Mathematical Finance

Authors: Matheus R. Grasselli | Cesar Gómez

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

Consistency Problems for Jump‐diffusion Models

JOURNAL ARTICLE published June 2005 in Applied Mathematical Finance

Authors: Erhan Bayraktar | Li Chen | H. Vincent Poor

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