Optimal Execution with Identity Optionality

JOURNAL ARTICLE published 4 July 2022 in Applied Mathematical Finance

Research funded by Air Force Office of Scientific Research (FA9550-19-1-0291)

Authors: René Carmona | Claire Zeng

Stochastic volatility Gaussian Heath-Jarrow-Morton models

JOURNAL ARTICLE published December 2004 in Applied Mathematical Finance

Authors: Stoyan Valchev

Two Exotic Lookback Options

JOURNAL ARTICLE published August 2008 in Applied Mathematical Finance

Authors: Hans‐Peter Bermin | Peter Buchen | Otto Konstandatos

Interest rate futures: estimation of volatility parameters in an arbitrage-free framework

JOURNAL ARTICLE published December 1997 in Applied Mathematical Finance

Authors: Ramaprasad Bhar | Carl Chiarella

Models of information aggregation in financial markets: a review

JOURNAL ARTICLE published June 1996 in Applied Mathematical Finance

Authors: Michel Habib | Narayan Naik

Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion

JOURNAL ARTICLE published 26 August 2009 in Applied Mathematical Finance

Authors: Jaehyuk Choi | Kwangmoon Kim | Minsuk Kwak

Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes

JOURNAL ARTICLE published 3 May 2016 in Applied Mathematical Finance

Research funded by Federal Foreign Office of Germany through a program of the German Academic Exchange Service (57070585)

Authors: Ernst Eberlein | M’hamed Eddahbi | S. M. Lalaoui Ben Cherif

A Series Solution for Bermudan Options

JOURNAL ARTICLE published December 2005 in Applied Mathematical Finance

Authors: Ingmar Evers

The affine inflation market models

JOURNAL ARTICLE published 4 July 2017 in Applied Mathematical Finance

Authors: Stefan Waldenberger

Robust Hedging and Pathwise Calculus

JOURNAL ARTICLE published July 2013 in Applied Mathematical Finance

Authors: Heikki Tikanmäki

Multiple time scales in volatility and leverage correlations: a stochastic volatility model

JOURNAL ARTICLE published March 2004 in Applied Mathematical Finance

Authors: Josep Perelló | Jaume Masoliver | Jean‐Philippe Bouchaud

Optimal Selling of an Asset with Jumps Under Incomplete Information

JOURNAL ARTICLE published December 2013 in Applied Mathematical Finance

Authors: Bing Lu

The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books

JOURNAL ARTICLE published July 2011 in Applied Mathematical Finance

Authors: Damien Challet

Characterization of the American Put Option Using Convexity

JOURNAL ARTICLE published September 2011 in Applied Mathematical Finance

Authors: Dejun Xie | David A. Edwards | Gilberto Schleiniger | Qinghua Zhu

Strategic Pricing of Commodities

JOURNAL ARTICLE published 11 November 2009 in Applied Mathematical Finance

Authors: Kurt Jörnsten | Jan Ub⊘e

Pricing stock and bond derivatives with a multi-factor Gaussian model

JOURNAL ARTICLE published September 1998 in Applied Mathematical Finance

Authors: Isabelle Bajeux-Besnainou | Roland Portait

Estimating fees for managed futures: a continuous-time model with a knockout feature

JOURNAL ARTICLE published June 2000 in Applied Mathematical Finance

Authors: Francisca G.-C. Richter | B. Wade Brorsen

Neural networks and some applications to finance

JOURNAL ARTICLE published March 1995 in Applied Mathematical Finance

Authors: K. Feldman | J. Kingdon

Indexes to Volume 10 (2003)

JOURNAL ARTICLE published December 2003 in Applied Mathematical Finance

A generalized bootstrap method to determine the yield curve

JOURNAL ARTICLE published December 2000 in Applied Mathematical Finance

Authors: Richard Deaves | Mahmut Parlar