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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~language:"eng"
~person:"Arai, Takuji"
~person:"Brigo, Damiano"
~person:"Ikeda, Masayuki"
~person:"Jamshidian, Farshid"
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arbitrage-free credit valuation adjustment
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Arai, Takuji
Brigo, Damiano
Ikeda, Masayuki
Jamshidian, Farshid
Jarrow, Robert A.
3
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
6
Finance and stochastics
3
Financial series
2
Journal of risk management in financial institutions
2
Wiley finance
2
Advances in futures and options research : a research annual
1
International journal of financial engineering
1
Journal of financial engineering
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Operations research letters
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative finance
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Review of derivatives research
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Springer Finance
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
5
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1
Convex risk measures for good deal bounds
Arai, Takuji
;
Fukasawa, Masaaki
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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2
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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3
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
Saved in:
4
Trivariate support of flat-volatility forward libor rates
Jamshidian, Farshid
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 229-258
Persistent link: https://www.econbiz.de/10003955734
Saved in:
5
Pricing options with curved boundaries
Kunitomo, Naoto
- In:
Mathematical finance : an international journal of …
2
(
1992
)
4
,
pp. 275-298
Persistent link: https://www.econbiz.de/10001143968
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