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Approximate indifference pricing in exponential Lévy models
Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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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
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A numerical PDE approach for pricing callable bonds
D'Halluin, Y. (contributor) - In: Applied mathematical finance 8 (2001) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10001625721
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Multigrid for American option pricing with stochastic volatility
Clarke, Nigel; Parrott, Kevin - In: Applied mathematical finance 6 (1999) 3, pp. 177-195
Persistent link: https://www.econbiz.de/10001490689
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Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Lyons, Terry; Nejad, Sina; Arribas, Imanol Perez - In: Applied mathematical finance 26 (2019) 6, pp. 583-597
Persistent link: https://www.econbiz.de/10012210427
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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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Bonds and options in exponentially affine bond models
Bermin, Hans-Peter - In: Applied mathematical finance 19 (2012) 5/6, pp. 513-534
Persistent link: https://www.econbiz.de/10009710929
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Optimal selling of an asset with jumps under incomplete information
Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610
Persistent link: https://www.econbiz.de/10010235555