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

Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models

JOURNAL ARTICLE published 2 January 2017 in Applied Mathematical Finance

Research funded by Deutsche Forschungsgemeinschaft (EB66/9-3)

Authors: David Criens | Kathrin Glau | Zorana Grbac

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

Consistency Problems for Jump‐diffusion Models

JOURNAL ARTICLE published June 2005 in Applied Mathematical Finance

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

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

Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*

JOURNAL ARTICLE published July 2007 in Applied Mathematical Finance

Authors: Alessio Sancetta | Steve E. Satchell

Two extensions to barrier option valuation

JOURNAL ARTICLE published September 1995 in Applied Mathematical Finance

Authors: P. Carr

Numerical Methods for Non-Linear Black–Scholes Equations

JOURNAL ARTICLE published 11 February 2010 in Applied Mathematical Finance

Authors: Pascal Heider

Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

JOURNAL ARTICLE published 3 March 2020 in Applied Mathematical Finance

Authors: Lina von Sydow | Johan Walden

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

Time Charters with Purchase Options in Shipping: Valuation and Risk Management

JOURNAL ARTICLE published 28 September 2010 in Applied Mathematical Finance

Authors: Peter Løchte Jørgensen | Domenico De Giovanni

Fast numerical valuation of American, exotic and complex options

JOURNAL ARTICLE published March 1997 in Applied Mathematical Finance

Authors: M. A. H. Dempster | J. P. Hutton

Optimal Trading with Differing Trade Signals

JOURNAL ARTICLE published 3 July 2020 in Applied Mathematical Finance

Authors: Ryan Donnelly | Matthew Lorig