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Pairs trading under transaction costs using model predictive control

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Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

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A factor model approach to derivative pricing

Primbs, James A. - 2014

chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity...

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Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives

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Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market

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The evolution of capital structure and debt governance : evidence from private equity-backed companies in Japan

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