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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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Comparison of two methods for superreplication
Ekström, Erik; Tysk, Johan - In: Applied mathematical finance 19 (2012) 1/2, pp. 181-193
Persistent link: https://www.econbiz.de/10009561234
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Evolution of interest rate models : a comparison
Ho, Thomas S. Y. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
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Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
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Exact superreplication strategies for a class of derivative assets
Vanden, Joel M. - In: Applied mathematical finance 13 (2006) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10003320040
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On perpetual American strangles
Moraux, Franck - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 82-97
Persistent link: https://www.econbiz.de/10003862829
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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
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A note on the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; … - In: Applied mathematical finance 16 (2009) 3/4, pp. 315-330
Persistent link: https://www.econbiz.de/10003916188
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Four things you might not know about the Black-Scholes formula
Poulsen, Rolf - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 77-81
Persistent link: https://www.econbiz.de/10003673319
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Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21
Persistent link: https://www.econbiz.de/10001497753