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~person:"Brigo, Damiano"
~person:"Leung, Tim"
~person:"Meyer-Bullerdiek, Frieder"
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Brigo, Damiano
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Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility
Brigo, Damiano
- In:
Options - 45 years since the publication of the …
,
(pp. 47-61)
.
2023
Persistent link: https://www.econbiz.de/10014366586
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2
Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong
;
Leung, Tim
;
Zhou, Yang
- In:
Annals of finance
18
(
2022
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
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3
Optimal trading of a basket of futures contracts
Angoshtari, Bahman
;
Leung, Tim
- In:
Annals of finance
16
(
2020
)
2
,
pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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4
Optimal dynamic futures portfolio in a regime-switching market framework
Leung, Tim
;
Zhou, Yang
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012314525
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5
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
6
Dynamic index tracking and risk exposure control using derivatives
Leung, Tim
;
Ward, Brian
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 180-212
Persistent link: https://www.econbiz.de/10011959128
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7
Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano
;
Buescu, C.
;
Rutkowski, Marek
- In:
Operations research letters
45
(
2017
)
6
,
pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
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8
Pricing derivatives with counterparty risk and collateralization : a fixed point approach
Kim, Jinbeom
;
Leung, Tim
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 525-539
Persistent link: https://www.econbiz.de/10011436733
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9
Speculative futures trading under mean reversion
Leung, Tim
;
Li, Jiao
;
Li, Xin
;
Wang, Zheng
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 281-304
Persistent link: https://www.econbiz.de/10011619949
Saved in:
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