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Conditional law of the hitting time for a Lévy process in incomplete observation
Ngom, Waly - In: Journal of mathematical finance 5 (2015) 5, pp. 505-524
Persistent link: https://www.econbiz.de/10011440708
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Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
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Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
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A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
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Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
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On the stochastic dominance of portfolio insurance strategies
Maalej, Hela; Prigent, Jean-Luc - In: Journal of mathematical finance 6 (2016) 1, pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
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Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. - In: Quantitative finance 22 (2022) 2, pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769