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ADI schemes for pricing American options under the Heston model
Haentjens, Tinne; Hout, Karel J. in 't - In: Applied mathematical finance 22 (2015) 3/4, pp. 207-237
Persistent link: https://www.econbiz.de/10011436200
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Collateral smile
Leippold, Markus; Su, Lujing - In: Journal of banking & finance 58 (2015), pp. 15-28
Persistent link: https://www.econbiz.de/10011543849
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Earning the right premium on the right factor in portfolio planning
Branger, Nicole; Hansis, Alexandra - In: Journal of banking & finance 59 (2015), pp. 367-383
Persistent link: https://www.econbiz.de/10011544589
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157
Persistent link: https://www.econbiz.de/10011547000
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Volatility targeting using delayed diffusions
Torricelli, Lorenzo - In: Applied mathematical finance 25 (2018) 3/4, pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
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Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre; Hu, Ruimeng - In: Applied mathematical finance 25 (2018) 3/4, pp. 361-388
Persistent link: https://www.econbiz.de/10012129167