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Showing below up to 50 results in range #1 to #50.

1. A two-factor structural model for valuing corporate securities: Label: en
2. An affine model for short rates when monetary policy is path dependent: Label: en
3. Martingale defects in the volatility surface and bubble conditions in the underlying: Label: en
4. Pricing levered warrants under the CEV diffusion model: Label: en
5. Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility: Label: en
6. Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle: Label: en
7. Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model: Label: en
8. Implied volatility surfaces: a comprehensive analysis using half a billion option prices: Label: en
9. Hedging cryptocurrency options: Label: en
10. Continuity correction: on the pricing of discrete double barrier options: Label: en
11. Pricing vulnerable basket spread options with liquidity risk: Label: en
12. Interest rate swaps: a comparison of compounded daily versus discrete reference rates: Label: en
13. Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis: Label: en
14. A continuous time model to price commodity-based swing options: Label: en
15. A comparison of option prices under different pricing measures in a stochastic volatility model with correlation: Label: en
16. Fourier transformation and the pricing of average-rate derivatives: Label: en
17. Static versus dynamic hedges: an empirical comparison for barrier options: Label: en
18. Two-dimensional risk-neutral valuation relationships for the pricing of options: Label: en
19. Seasonal and stochastic effects in commodity forward curves: Label: en
20. Valuation of vulnerable American options with correlated credit risk: Label: en
21. Model misspecification analysis for bond options and Markovian hedging strategies: Label: en
22. Path-dependent game options: a lookback case: Label: en
23. Pricing average options under time-changed Lévy processes: Label: en
24. Does modeling framework matter? A comparative study of structural and reduced-form models: Label: en
25. An analytical approach for systematic risk sensitivity of structured finance products: Label: en
26. Tax liens: a novel application of asset pricing theory: Label: en
27. Option pricing when correlations are stochastic: an analytical framework: Label: en
28. A new approach for option pricing under stochastic volatility: Label: en
29. Pricing cross-currency interest rate swaps under the Lévy market model: Label: en
30. Dissecting the tracking performance of regular and leveraged VIX ETPs: Label: en
31. Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe: Label: en
32. Is trading in the shortest-term index options profitable?: Label: en
33. Pricing and risk of swing contracts in natural gas markets: Label: en
34. Pricing VIX derivatives with free stochastic volatility model: Label: en
35. A general closed form option pricing formula: Label: en
36. On the primal-dual algorithm for callable bermudan options: Label: en
37. Parametric modeling of implied smile functions: a generalized SVI model: Label: en
38. The \(\alpha\)VG model for multivariate asset pricing: calibration and extension: Label: en
39. The valuation of forward-start rainbow options: Label: en
40. Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option: Label: en
41. The valuation and information content of options on crude-oil futures contracts: Label: en
42. Commodity derivative valuation under a factor model with time-varying market prices of risk: Label: en
43. On pricing options with stressed-beta in a reduced form model: Label: en
44. Option-implied value-at-risk and the cross-section of stock returns: Label: en
45. Valuation of an option using non-parametric methods: Label: en
46. Empirical performance of reduced-form models for emission permit prices: Label: en
47. Implied risk aversion: an alternative rating system for retail structured products: Label: en
48. Option-implied information: What's the vol surface got to do with it?: Label: en
49. Computing valuation adjustments for counterparty credit risk using a modified supervisory approach: Label: en
50. A note on options and bubbles under the CEV model: implications for pricing and hedging: Label: en