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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) |
Comparison of Two Methods for Superreplication JOURNAL ARTICLE published April 2012 in Applied Mathematical Finance |
Modelling Credit Risk in the Jump Threshold Framework JOURNAL ARTICLE published 2 November 2018 in Applied Mathematical Finance Research funded by Simons Foundation (316999) |
On pricing and reserving with-profits life insurance contracts JOURNAL ARTICLE published September 2001 in Applied Mathematical Finance |
A Family of Maximum Entropy Densities Matching Call Option Prices JOURNAL ARTICLE published December 2013 in Applied Mathematical Finance |
INTRODUCTION JOURNAL ARTICLE published December 2008 in Applied Mathematical Finance |
Maxentropic construction of risk neutral measures: discrete market models JOURNAL ARTICLE published December 2000 in Applied Mathematical Finance |
Calibrating volatility surfaces via relative-entropy minimization JOURNAL ARTICLE published March 1997 in Applied Mathematical Finance |
Prices and Asymptotics for Discrete Variance Swaps JOURNAL ARTICLE published 4 March 2014 in Applied Mathematical Finance |
Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes JOURNAL ARTICLE published 4 March 2015 in Applied Mathematical Finance |
A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models JOURNAL ARTICLE published 4 May 2014 in Applied Mathematical Finance |
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality JOURNAL ARTICLE published December 2005 in Applied Mathematical Finance |
Pitfalls of the Fourier Transform Method in Affine Models, and Remedies JOURNAL ARTICLE published 3 March 2016 in Applied Mathematical Finance |
Mean-Field Game Strategies for Optimal Execution JOURNAL ARTICLE published 4 March 2019 in Applied Mathematical Finance |
Stock Loans in Incomplete Markets JOURNAL ARTICLE published April 2013 in Applied Mathematical Finance |
Option Replication in Discrete Time with Illiquidity JOURNAL ARTICLE published April 2013 in Applied Mathematical Finance |
Option pricing in incomplete discrete markets JOURNAL ARTICLE published September 1998 in Applied Mathematical Finance |
Consistency Problems for Jump‐diffusion Models JOURNAL ARTICLE published June 2005 in Applied Mathematical Finance |
Optimum Constrained Portfolio Rules in a Diffusion Market JOURNAL ARTICLE published December 2006 in Applied Mathematical Finance |
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis JOURNAL ARTICLE published December 2012 in Applied Mathematical Finance |