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Tail behaviour of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
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Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin - In: Applied mathematical finance 26 (2019) 2, pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
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A semi-explicit approach to Canary swaptions in HJM one-factor model
Henrard, Marc - In: Applied mathematical finance 13 (2006) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003320021
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Static replication of forward-start claims and realized variance swaps
Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 1/2, pp. 99-131
Persistent link: https://www.econbiz.de/10003975324
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The Lévy swap market model
Eberlein, Ernst; Liinev, J. - In: Applied mathematical finance 14 (2007) 2, pp. 171-196
Persistent link: https://www.econbiz.de/10003542983
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Indifference pricing and hedging for volatility dervivatives
Grasselli, M. R.; Hurd, T. R. - In: Applied mathematical finance 14 (2007) 4, pp. 303-317
Persistent link: https://www.econbiz.de/10003543040
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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
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A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna - In: Applied mathematical finance 18 (2011) 1/2, pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Pricing quanto equity swaps in a stochastic interest rate economy
Chung, San-lin; Yang, Hsiao-fen - In: Applied mathematical finance 12 (2005) 2, pp. 121-146
Persistent link: https://www.econbiz.de/10002989911