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A mathematical analysis of technical analysis
Lorig, Matthew; Zhou, Zhou; Zou, Bin - In: Applied mathematical finance 26 (2019) 1, pp. 38-68
Persistent link: https://www.econbiz.de/10012210259
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Real-world pricing for a modified constant elasticity of variance model
Miller, Shane M.; Platen, Eckhard - In: Applied mathematical finance 17 (2010) 1/2, pp. 147-175
Persistent link: https://www.econbiz.de/10003975379
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Investment diversification and investment specialization and the assumed holding period
Levy, Haim - In: Applied mathematical finance 3 (1996) 2, pp. 117-134
Persistent link: https://www.econbiz.de/10001219286
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Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
Morokoff, William J. - In: Applied mathematical finance 6 (1999) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10001449231
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Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo; Cufaro Petroni, Nicola - In: Applied mathematical finance 28 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
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A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela - In: Applied mathematical finance 28 (2021) 2, pp. 178-199
Persistent link: https://www.econbiz.de/10013171069
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On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
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Optimal hedging in incomplete markets
Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
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Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo - In: Applied mathematical finance 27 (2020) 3, pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
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Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230
Persistent link: https://www.econbiz.de/10015051244