Entity usage

This page lists pages that use the given entity (e.g. Q42). The list is sorted by descending page ID, so that newer pages are listed first.

Showing below up to 50 results in range #201 to #250.

A perturbative approach to Bermudan options pricing with applications: Label: en
The representation of American options prices under stochastic volatility and jump-diffusion dynamics: Label: en
Asset pricing with disequilibrium price adjustment: theory and empirical evidence: Label: en
Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas: Label: en
Fractional differencing in discrete time: Label: en
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance: Label: en
Smoothed safety first and the holding of assets: Label: en
The buy-and-hold horizon and portfolio choice: Label: en
American step-up and step-down default swaps under Lévy models: Label: en
The valuation of structured products using Markov chain models: Label: en
Derivatives pricing with marked point processes using tick-by-tick data: Label: en
The British call option: Label: en
Optimal high-frequency trading with limit and market orders: Label: en
Modelling microstructure noise with mutually exciting point processes: Label: en
Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation: Label: en
The statistical properties of the innovations in multivariate ARCH processes in high dimensions: Label: en
Optimizing a basket against the efficient market hypothesis: Label: en
Empirical performance of models for barrier option valuation: Label: en
Short-horizon return predictability and oil prices: Label: en
Time-frequency analysis of crude oil and S&P500 futures contracts: Label: en
Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market: Label: en
Analyzing the dynamics of the refining margin: implications for valuation and hedging: Label: en
An empirical study of the impact of skewness and kurtosis on hedging decisions: Label: en
Pricing and hedging of long-term futures and forward contracts by a three-factor model: Label: en
Determinants of oil futures prices and convenience yields: Label: en
An experimental study on real-options strategies: Label: en
The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure: Label: en
Testing for a rational bubble under long memory: Label: en
Truncation and acceleration of the Tian tree for the pricing of American put options: Label: en
Options on realized variance by transform methods: a non-affine stochastic volatility model: Label: en
Pricing the Chicago Board of Trade T-Bond futures: Label: en
Robust and adaptive algorithms for online portfolio selection: Label: en
Optimal insurance contract and coverage levels under loss aversion utility preference: Label: en
Firm size, information acquisition and price efficiency: Label: en
A new method for generating approximation algorithms for financial mathematics applications: Label: en
Fast simulations in credit risk: Label: en
Dynamical clustering of exchange rates: Label: en
Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger: Label: en
Capital regulation and auditing: Label: en
The valuation of clean spread options: linking electricity, emissions and fuels: Label: en
Modeling the distribution of day-ahead electricity returns: a comparison: Label: en
Editorial: Label: en
Optimal portfolios with a positive lower bound on final wealth: Label: en
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility: Label: en
Pricing inflation-indexed derivatives: Label: en
A Markov model for valuing asset prices in a dynamic bargaining market: Label: en
Pairs trading: Label: en
PDE approach to valuation and hedging of credit derivatives: Label: en
Discrete credit barrier models: Label: en
Waiting for returns: using space–time duality to calibrate financial diffusions: Label: en