On a Neural Network to Extract Implied Information from American Options

JOURNAL ARTICLE published 3 September 2021 in Applied Mathematical Finance

Authors: Shuaiqiang Liu | Álvaro Leitao | Anastasia Borovykh | Cornelis W. Oosterlee

Delta, gamma and bucket hedging of interest rate derivatives

JOURNAL ARTICLE published September 1994 in Applied Mathematical Finance

Authors: Robert A. Jarrow | Stuart M. Turnbull

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

Electricity Price Forecasting with Neural Networks on EPEX Order Books

JOURNAL ARTICLE published 3 May 2020 in Applied Mathematical Finance

Research funded by Bundesministerium für Bildung und Forschung (05M18AMC) | Bundesministerium für Wirtschaft und Energie (01186724/1)

Authors: Simon Schnürch | Andreas Wagner

Option Pricing in Illiquid Markets with Jumps

JOURNAL ARTICLE published 4 July 2018 in Applied Mathematical Finance

Research funded by Universidade de Lisboa (PHD grants 2015)

Authors: José M. T. S. Cruz | Daniel Ševčovič

The predictive power of price patterns

JOURNAL ARTICLE published September 1998 in Applied Mathematical Finance

Authors: G. Caginalp | H. Laurent

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

JOURNAL ARTICLE published December 2005 in Applied Mathematical Finance

Authors: Álvaro Cartea | Marcelo G. Figueroa

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

Hedging quantos, differential swaps and ratios

JOURNAL ARTICLE published September 1994 in Applied Mathematical Finance

Authors: Farshid Jamshidian

Optimal Basket Liquidation for CARA Investors is Deterministic

JOURNAL ARTICLE published 28 September 2010 in Applied Mathematical Finance

Authors: Alexander Schied | Torsten Schöneborn | Michael Tehranchi

On the Implied Volatility of Asian Options Under Stochastic Volatility Models

JOURNAL ARTICLE published 12 May 2024 in Applied Mathematical Finance

Research funded by Ayudas Fundacion BBVA (PGC2018-101643-B-I00)

Authors: Elisa Alòs | Eulalia Nualart | Makar Pravosud

Prices and Asymptotics for Discrete Variance Swaps

JOURNAL ARTICLE published 4 March 2014 in Applied Mathematical Finance

Authors: Carole Bernard | Zhenyu Cui

Robust Risk-Aware Option Hedging

JOURNAL ARTICLE published 4 May 2023 in Applied Mathematical Finance

Authors: David Wu | Sebastian Jaimungal

Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures

JOURNAL ARTICLE published 2 January 2015 in Applied Mathematical Finance

Authors: Rohini Kumar

Statistical properties of the sample semi-variance

JOURNAL ARTICLE published December 2002 in Applied Mathematical Finance

Authors: Shaun A. Bond | Stephen E. Satchell

Electricity Intraday Price Modelling with Marked Hawkes Processes

JOURNAL ARTICLE published 4 July 2022 in Applied Mathematical Finance

Authors: Thomas Deschatre | Pierre Gruet

Markov interest rate models

JOURNAL ARTICLE published December 1999 in Applied Mathematical Finance

Authors: Patrick S. Hagan | Diana E. Woodward

Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs

JOURNAL ARTICLE published 28 September 2010 in Applied Mathematical Finance

Authors: Emmanuel Denis