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subject:"Portfolio selection"
~person:"Jarrow, Robert A."
~person:"Kwok, Yue-Kuen"
~subject:"Option pricing theory"
~subject:"USA"
~type_genre:"Article in journal"
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Search: subject_exact:"Derivative"
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Portfolio selection
Option pricing theory
USA
Derivat
30
Derivative
30
Theorie
16
Theory
16
Optionspreistheorie
12
Volatility
7
Volatilität
7
Stochastic process
5
Stochastischer Prozess
5
Bubbles
4
CAPM
4
Spekulationsblase
4
Yield curve
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Option trading
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Article in journal
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16
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Jarrow, Robert A.
Kwok, Yue-Kuen
Wang, Xingchun
15
Benth, Fred Espen
13
Escobar, Marcos
11
Fabozzi, Frank J.
11
Whaley, Robert E.
11
Moser, James T.
10
Barone-Adesi, Giovanni
9
Carr, Peter
9
Lien, Da-hsiang Donald
9
Edwards, Franklin R.
8
Gouriéroux, Christian
8
Kolb, Robert W.
8
Platen, Eckhard
8
Bessembinder, Hendrik
7
Brooks, Robert
7
Cui, Zhenyu
7
Locke, Peter R.
7
Madan, Dilip B.
7
Račev, Svetlozar T.
7
Schoutens, Wim
7
Shastri, Kuldeep
7
Siu, Tak Kuen
7
Zagst, Rudi
7
Brigo, Damiano
6
Chiarella, Carl
6
Kupiec, Paul H.
6
Ryu, Doojin
6
Sabino, Piergiacomo
6
Tunaru, Radu
6
Wang, George H. K.
6
Wilson, William W.
6
Alghalith, Moawia
5
Balbás de la Corte, Alejandro
5
Branger, Nicole
5
Brorsen, B. Wade
5
Chance, Don M.
5
Chen, Son-nan
5
Elliott, Robert J.
5
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Advances in futures and options research : a research annual
1
Annual review of financial economics
1
Applied mathematical finance
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Journal of economic surveys
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial education
1
Journal of financial engineering
1
Journal of risk
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research letters
1
Review of derivatives research
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
16
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1
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Zeng, Pingping
;
Xu, Ziqing
;
Jiang, Pingping
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
Saved in:
2
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
3
The economics of insurance : a derivatives-based approach
Jarrow, Robert A.
- In:
Annual review of financial economics
13
(
2021
),
pp. 79-110
Persistent link: https://www.econbiz.de/10012612499
Saved in:
4
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
5
Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin
;
Jarrow, Robert A.
- In:
Management science : journal of the Institute for …
65
(
2019
)
4
,
pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
Saved in:
6
Asset price bubbles and risk management
Jarrow, Robert A.
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 59-76
Persistent link: https://www.econbiz.de/10011847429
Saved in:
7
Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
Zheng, Wendong
;
Yuen, Chi Hung
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
Saved in:
8
Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
Saved in:
9
Equity-credit modeling under affine jump-diffusion models with jump-to-default
Chung, Tsz Kin
;
Kwok, Yue-Kuen
- In:
Journal of financial engineering
1
(
2014
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010508080
Saved in:
10
The dangers of calibration and hedging the Greeks in option pricing
Chatterjea, Arkadev
;
Jarrow, Robert A.
- In:
Journal of financial education
38
(
2012
)
1/2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10009615610
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