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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
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Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.; Heys, Jan van - In: Applied mathematical finance 17 (2010) 5/6, pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
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Efficient pricing of derivatives on assets with discrete dividends
Vellekoop, Michel; Nieuwenhuis, J. H. - In: Applied mathematical finance 13 (2006) 3, pp. 265-284
Persistent link: https://www.econbiz.de/10003383705
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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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An EZI method to reduce the rank of a correlation matrix in financial modelling
Morini, Massimo; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 309-331
Persistent link: https://www.econbiz.de/10003396206