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~isPartOf:"Applied mathematical finance"
~isPartOf:"Asia-Pacific financial markets"
~language:"eng"
~person:"Ahn, Hyungsok"
~person:"Muroi, Yoshifumi"
~person:"Sabino, Piergiacomo"
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Option pricing theory
10
Optionspreistheorie
10
Stochastic process
6
Stochastischer Prozess
6
Derivat
4
Derivative
4
Energiemarkt
4
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4
Option trading
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derivative pricing
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Ahn, Hyungsok
Muroi, Yoshifumi
Sabino, Piergiacomo
Takahashi, Akihiko
10
Chiarella, Carl
6
Eberlein, Ernst
6
Kwok, Yue-Kuen
6
Sircar, Kaushik Ronnie
6
Madan, Dilip B.
5
Benth, Fred Espen
4
Elliott, Robert J.
4
Fujita, Takahiko
4
Howison, Sam
4
Siu, Tak Kuen
4
Zagst, Rudi
4
Ĺ evÄŤoviÄŤ, Daniel
4
Atkinson, Colin
3
Avellaneda, Marco
3
Baldeaux, Jan
3
Bermin, Hans-Peter
3
Carr, Peter
3
Cohen, Samuel N.
3
Escobar, Marcos
3
Fujii, Masaaki
3
Glau, Kathrin
3
Kariya, Takeaki
3
Kim, Yong-jin
3
Oosterlee, Cornelis Willebrordus
3
Papanicolaou, George
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Platen, Eckhard
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Reisinger, Christoph
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Shirakawa, Hiroshi
3
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3
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3
Yamada, Yuji
3
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3
Baptiste, Julien
2
Buchen, Peter W.
2
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Applied mathematical finance
Asia-Pacific financial markets
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Asia-Pacific journal of risk and insurance : APJRI
1
Decisions in economics and finance : a journal of applied mathematics
1
Energy Economics
1
Energy economics
1
European journal of operational research : EJOR
1
IMES discussion paper series / Englische Ausgabe
1
International journal of financial engineering
1
International journal of financial markets and derivatives
1
Journal of economic dynamics & control
1
Journal of mathematical finance
1
Mathematical finance
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Quantitative finance
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Risks : open access journal
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The journal of computational finance
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ECONIS (ZBW)
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1
Exchange
option
pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
2
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
3
A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Gardini, Matteo
;
Sabino, Piergiacomo
;
Sasso, Emanuela
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 178-199
Persistent link: https://www.econbiz.de/10013171069
Saved in:
4
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
5
Pricing lookback options with knock-out boundaries
Muroi, Yoshifumi
- In:
Applied mathematical finance
13
(
2006
)
2
,
pp. 155-190
Persistent link: https://www.econbiz.de/10003331423
Saved in:
6
Various passport options and their valuation
Ahn, Hyungsok
;
Penaud, Antony
;
Wilmott, Paul
- In:
Applied mathematical finance
6
(
1999
)
4
,
pp. 275-292
Persistent link: https://www.econbiz.de/10001517817
Saved in:
7
Exotic passport options
Penaud, Antony
;
Wilmott, Paul
;
Ahn, Hyungsok
- In:
Asia-Pacific financial markets
6
(
1999
)
2
,
pp. 171-182
Persistent link: https://www.econbiz.de/10001449321
Saved in:
8
Pricing derivatives using the asymptotic expansion approach : credit migration models with stochastic credit spreads
Muroi, Yoshifumi
;
Takino, E. Kazuhiro
- In:
Asia-Pacific financial markets
18
(
2011
)
4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10009348324
Saved in:
9
An explicit finite difference approach to the pricing problems of perpetual Bermudan options
Muroi, Yoshifumi
;
Yamada, Takashi
- In:
Asia-Pacific financial markets
15
(
2008
)
3/4
,
pp. 229-253
Persistent link: https://www.econbiz.de/10003833262
Saved in:
10
Pricing American put options on defaultable bonds
Muroi, Yoshifumi
- In:
Asia-Pacific financial markets
9
(
2002
)
3/4
,
pp. 217-239
Persistent link: https://www.econbiz.de/10001769397
Saved in:
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