Sanae Rujivan

Available identifiers

zbMath Open rujivan.sanaeMaRDI QIDQ712572

List of research outcomes

Publication	Date of Publication	Type
Simple analytical formulas for pricing and hedging moment swaps	2022-10-18	Paper
Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case	2022-10-06	Paper
Closed-form formula for conditional moments of generalized nonlinear drift CEV process	2022-06-03	Paper
https://portal.mardi4nfdi.de/entity/Q5080606	2022-05-31	Paper
Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process	2022-01-25	Paper
Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields	2021-12-08	Paper
An analytical option pricing formula for mean-reverting asset with time-dependent parameter	2021-10-26	Paper
Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives	2021-05-14	Paper
Stochastic model for gold prices and its application for no-arbitrage pricing	2018-08-21	Paper
A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL	2017-10-17	Paper
A closed-form formula for pricing variance swaps on commodities	2017-06-23	Paper
Pricing discretely-sampled variance swaps on commodities	2017-05-26	Paper
A closed-form formula for the conditional moments of the extended CIR process	2015-12-14	Paper
https://portal.mardi4nfdi.de/entity/Q3451318	2015-11-13	Paper
A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model	2014-11-12	Paper
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility	2012-10-17	Paper
https://portal.mardi4nfdi.de/entity/Q5301587	2009-01-20	Paper
The Laplace transform dual reciprocity method for linear wave equations	2008-11-20	Paper
Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.	2008-03-13	Paper

Research outcomes over time

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