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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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Asymmetries in financial returns
Madan, Dilip B.; Wang, King - In: International journal of financial engineering 4 (2017) 4, pp. 1-37
Persistent link: https://www.econbiz.de/10011807103
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The Chebyshev method for the implied volatility
Glau, Kathrin; Herold, Paul; Madan, Dilip B.; Pötz, … - In: The journal of computational finance 23 (2019) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
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Analytical approximation for the price dynamics of spark spread options
Benth, Fred Espen (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10003559113
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Pricing and hedging Asian-style options on energy
Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
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Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
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Risk premia in option markets
Madan, Dilip B. - In: Annals of finance 12 (2016) 1, pp. 71-94
Persistent link: https://www.econbiz.de/10011555434
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779