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Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan - In: Applied mathematical finance 23 (2016) 5/6, pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
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Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T.; Swan, Bruce Q.; Chen, Xinfu - In: Applied mathematical finance 29 (2022) 1, pp. 33-61
Persistent link: https://www.econbiz.de/10013554066
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A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399
Persistent link: https://www.econbiz.de/10003637449
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Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan; Sircar, Kaushik Ronnie - In: Applied mathematical finance 16 (2009) 3/4, pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
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Closed formula for options with discrete dividends and its derivatives
Veiga, Carlos; Wystup, Uwe - In: Applied mathematical finance 16 (2009) 5/6, pp. 517-531
Persistent link: https://www.econbiz.de/10003916669
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Optimal weak static hedging of equity and credit risk using derivatives
Becherer, Dirk; Ward, Ian - In: Applied mathematical finance 17 (2010) 1/2, pp. 1-28
Persistent link: https://www.econbiz.de/10003975242
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Short positions, rally fears and option markets
Eberlein, Ernst; Madan, Dilip B. - In: Applied mathematical finance 17 (2010) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10003975322
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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