Arbitrage Theory in Continuous Time
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Publication:5710171
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Cited in
(only showing first 100 items - show all)- Testing the martingale restriction for option implied densities
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Zero coupon bonds and affine term structures: Reconsidering the one-factor model
- The dynamics of implied volatilities: a common principal components approach
- A numerical scheme for BSDEs
- Arbitrage and universal pricing.
- Stochastic string models with continuous semimartingales
- Multi-asset Black-Scholes model as a variable second class constrained dynamical system
- The stochastic string model as a unifying theory of the term structure of interest rates
- Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
- Hiring, firing, and relocation under employment protection
- Arbitrage without borrowing or short selling?
- Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
- The use of power numeraires in option pricing
- Opaque bank assets and optimal equity capital
- An analysis of transaction costs in participating life insurance under mean-variance preferences
- On the zeros of the Pearcey integral and a Rayleigh-type equation
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Efficient calibration of trinomial trees for one-factor short rate models
- Weak time-derivatives and no-arbitrage pricing
- Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
- The optimal-drift model: an accelerated binomial scheme
- Unifying exotic option closed formulas
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Integro-differential equations generated by stochastic problems
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
- How to handle negative interest rates in a CIR framework
- American options and stochastic interest rates
- Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
- Valuation of caps and swaptions under a stochastic string model
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
- High order splitting schemes with complex timesteps and their application in mathematical finance
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
- Market selection of constant proportions investment strategies in continuous time
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
- Valuing currency swap contracts in uncertain financial market
- Calculating the index of volatility in inhomogeneous Levy models
- Algorithm for determining the volatility function in the Black-Scholes model
- Valuation and pricing of electricity delivery contracts: the producer's view
- A multicurve cross-currency LIBOR market model
- Monte Carlo Euler approximations of HJM term structure financial models
- Benchmark-based evaluation of portfolio performance: a characterization
- An extension of Heston's SV model to stochastic interest rates
- Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
- A comonotonicity-based valuation method for guaranteed annuity options
- Optimal derivatives design for mean-variance agents under adverse selection
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- A continuous time model to price commodity-based swing options
- The mathematics of arbitrage
- A theory of stochastic integration for bond markets
- Dynamic Greeks
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- On volatility smile and an investment strategy with out-of-the-money calls
- Maximizing expected utility in the arbitrage pricing model
- A semi-Markov modulated interest rate model
- Duality in option pricing based on prices of other derivatives
- The Heston stochastic volatility model has a boundary trace at zero volatility
- Model-independent no-arbitrage conditions on American put options
- BENCHOP -- the benchmarking project in option pricing
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- From market data to agent-based models and stochastic differential equations
- Arbitrage-free multifactor term structure models: a theory based on stochastic control
- Performance measurement of pension strategies: a case study of Danish life cycle products
- Performance measurement of pension strategies: a case study of Danish life-cycle products
- Introduction to the mathematics of finance. Arbitrage and option pricing.
- Good-deal bounds in a regime-switching diffusion market
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility
- Heat kernel models for asset pricing
- Coherent foreign exchange market models
- On the arbitrage price of European call options
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
- On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
- A finite-dimensional HJM model: How important is arbitrage-free evolution?
- Investing for retirement through a with-profits pension scheme: a client's perspective
- Pricing equity swaps in an economy with jumps
- A new elementary geometric approach to option pricing bounds in discrete time models
- Integral identity for a class of ill-posed problems generated by a parabolic equation
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- AN INFINITE FACTOR MODEL FOR CREDIT RISK
- A continuous-time model for reinvestment risk in bond markets
- OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
- Barrier options and their static hedges: simple derivations and extensions
- Hedging pure endowments with mortality derivatives
- Surplus-linked life insurance
- A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- A note on the optimal portfolio problem in discrete processes
- COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
- Arbitrage pricing of financial assets
- A multilevel approach to solving the Black-Scholes equation
- Quadratic hedging: an actuarial view extended to solvency control
- Quadratic Optimization of Life and Pension Insurance Payments
- Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
- A structural risk-neutral model of electricity prices
- Arbitrage-free interpolation of the swap curve
- Fast orthogonal transforms and generation of Brownian paths
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