Sanae Rujivan

Available identifiers

zbMath Open rujivan.sanaeMaRDI QIDQ712572

List of research outcomes

Publication	Date of Publication	Type
https://portal.mardi4nfdi.de/entity/Q5040907	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
https://portal.mardi4nfdi.de/entity/Q4581788	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
https://portal.mardi4nfdi.de/entity/Q5346679	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
https://portal.mardi4nfdi.de/entity/Q3540306	2008-11-20	Paper
https://portal.mardi4nfdi.de/entity/Q5450644	2008-03-13	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Sanae Rujivan