The following pages link to (Q5423895):
Displayed 49 items.
- A jump model for fads in asset prices under asymmetric information (Q299877) (← links)
- Fourier transform of lookback option price (Q420203) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- Using the continuous price as control variate for discretely monitored options (Q433633) (← links)
- From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes (Q1620384) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
- Pricing external barrier options in a regime-switching model (Q1657586) (← links)
- Gram-Charlier processes and applications to option pricing (Q1658066) (← links)
- Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk (Q1741766) (← links)
- Comparison of least squares Monte Carlo methods with applications to energy real options (Q1752185) (← links)
- A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk (Q1955160) (← links)
- Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
- Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
- Extended gradient of convex function and capital allocation (Q2083970) (← links)
- Asset pricing under smooth ambiguity in continuous time (Q2088605) (← links)
- On the evaluation of an integral involving the Whittaker \(W\) function (Q2199771) (← links)
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach (Q2241128) (← links)
- Optimal liquidation problem in illiquid markets (Q2242363) (← links)
- Interest rate term structure modelling (Q2275618) (← links)
- American step options (Q2282524) (← links)
- Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063) (← links)
- Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients (Q2510016) (← links)
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks (Q2670553) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- Learning minimum variance discrete hedging directly from the market (Q4554484) (← links)
- Moments of renewal shot-noise processes and their applications (Q4562034) (← links)
- Jump locations of jump-diffusion processes with state-dependent rates (Q4595430) (← links)
- A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line (Q4618067) (← links)
- The survival probability of the SABR model: asymptotics and application (Q4619520) (← links)
- Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes (Q4633469) (← links)
- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604) (← links)
- ON BOUNCING GEOMETRIC BROWNIAN MOTIONS (Q5056633) (← links)
- Mean-Variance Portfolio Selection in Contagious Markets (Q5071496) (← links)
- Consistent utility of investment and consumption: a forward/backward SPDE viewpoint (Q5086452) (← links)
- (Q5093361) (← links)
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps (Q5120710) (← links)
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (Q5139218) (← links)
- m-Double Poisson Lévy markets (Q5139259) (← links)
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models (Q5162845) (← links)
- Filtering the Maximum Likelihood for Multiscale Problems (Q5251773) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- Voter models and external influence (Q5862189) (← links)
- Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
- In memoriam: Tomas Björk (1947--2021). On his career and beyond (Q6074004) (← links)
- Optimal investment and consumption for financial markets with jumps under transaction costs (Q6181518) (← links)