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~person:"Bueno-Guerrero, Alberto"
~person:"Chiarella, Carl"
~subject:"Stochastic process"
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Stochastic process
Hedging
13
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Bueno-Guerrero, Alberto
Chiarella, Carl
Kohlmann, Michael
13
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9
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6
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6
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6
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6
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2
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International journal of theoretical and applied finance
1
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1
Pricing and
hedging
bond power exchange options in a stochastic string term-structure model
Blenman, Lloyd P.
;
Bueno-Guerrero, Alberto
;
Clark, Steven P.
- In:
Risks : open access journal
10
(
2022
)
10
,
pp. 1-17
-form expressions for pricing and
hedging
bond power exchange options are obtained and, as particular cases, the corresponding …
Persistent link: https://www.econbiz.de/10013555525
Saved in:
2
Sensitivity analysis and
hedging
in stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 151-167)
.
2018
Persistent link: https://www.econbiz.de/10012011646
Saved in:
3
Hedging
Asian bond options with Malliavin calculus under stochastic string models
Bueno-Guerrero, Alberto
;
Moreno, Manuel
;
Navas, Javier F.
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 169-180)
.
2018
Persistent link: https://www.econbiz.de/10012011647
Saved in:
4
Approximate
hedging
of options under jump-diffusion processes
Mina, Karl
;
Cheang, Gerald H. L.
;
Chiarella, Carl
-
2013
Persistent link: https://www.econbiz.de/10010245506
Saved in:
5
Modern view on Merton’s jump-diffusion model
Cheung, Gerald H. L.
;
Chiarella, Carl
-
2011
Persistent link: https://www.econbiz.de/10009563108
Saved in:
6
Approximate
hedging
of options under jump-diffusion processes
Mina, Karl Friedrich
;
Cheang, Gerald H. L.
;
Chiarella, Carl
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403772
Saved in:
7
Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
Energy economics
40
(
2013
),
pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
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