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Cited in
(only showing first 100 items - show all)- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Downside risk measurement in regime switching stochastic volatility
- Efficient exposure computation by risk factor decomposition
- A joint stock and bond market based on the hyperbolic Gaussian model
- Barrier option pricing by branching processes
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
- Default probabilities of a holding company, with complete and partial information
- Valuation of the prepayment option of a perpetual corporate loan
- `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
- Modelling the Uruguayan debt through Gaussians models
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Long-term risk with stochastic interest rates
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Discrete time stochastic multi-player competitive games with affine payoffs
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
- Almost sure optimal hedging strategy
- A closed-form formula for an option with discrete and continuous barriers
- Counterparty risk and funding: the four wings of the TVA
- Deep signature FBSDE algorithm
- Likelihood-based risk estimation for variance-gamma models
- On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation
- Pricing cross-currency interest rate swaps under the Lévy market model
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
- Pricing maturity guarantee under a refracted Brownian motion
- Option pricing: examples and open problems
- Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
- A new method of valuing American options based on Brownian models
- Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
- Static Replication of Forward-Start Claims and Realized Variance Swaps
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
- Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
- Liquidity costs: a new numerical methodology and an empirical study
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
- Pricing chained options with curved barriers
- Tools for computational finance.
- The affine rational potential model
- Pricing of volume-weighted average options: analytical approximations and numerical results
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
- Analytical Approximations of BSDEs with Nonsmooth Driver
- How to make Dupire's local volatility work with jumps
- On Gaussian HJM framework for Eurodollar futures
- Stochastic volatility and stochastic leverage
- AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
- Mixture dynamics and regime switching diffusions with application to option pricing
- American-type basket option pricing: a simple two-dimensional partial differential equation
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- A mean-field extension of the LIBOR market model
- A general HJM framework for multiple yield curve modelling
- Rational term structure models with geometric Lévy martingales
- Option pricing in subdiffusive Bachelier model
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
- Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
- A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates
- Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics
- A comonotonicity-based valuation method for guaranteed annuity options
- Regime-switching recombining tree for option pricing
- The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage
- FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- Sample partitioning estimation for ergodic diffusions
- Extended Black and Scholes model under bankruptcy risk
- Credit derivative evaluation and CVA under the benchmark approach
- Derivative pricing methodology in continuous-time models
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
- No-arbitrage symmetries
- No-arbitrage, leverage and completeness in a fractional volatility model
- Option pricing formulas under a change of numèraire
- On the practical point of view of option pricing
- Pricing airbag option via first passage time approach
- Admissibility of generic market models of forward swap rates
- Analytical approximation of variable annuities for small volatility and small withdrawal
- Asian option as a fixed-point
- Guiding the guiders: Foundations of a market-driven theory of disclosure
- Implication of the Kelly criterion for multi-dimensional processes
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- Problems of mathematical finance by stochastic control methods
- Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
- General analysis of long-term interest rates
- Pricing European options under stochastic volatilities models
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Nonparametric Bayesian volatility learning under microstructure noise
- Hybrid Lévy models: design and computational aspects
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- Dependence structure between LIBOR rates by copula method
- Capital structure and tax convexity when the maturity of debt is finite
- How should a local regime-switching model be calibrated?
- Yield curve smoothing and residual variance of fixed income positions
- Weak approximation of killed diffusion using Euler schemes.
- Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
- Some properties of strong solutions to stochastic fuzzy differential equations
- THE DEGREE PROFILE AND GINI INDEX OF RANDOM CATERPILLAR TREES
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
- Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
- Social discounting and the long rate of interest
- Estimation of the volatility persistence in a discretely observed diffusion model
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