Narrow search
Showing 1 - 10 of 20
Cover Image
On the approximation of the SABR with mean reversion model : a probabilistic approach
Kennedy, Joanne E.; Pham, Duy - In: Applied mathematical finance 21 (2014) 5/6, pp. 451-481
Persistent link: https://www.econbiz.de/10010500879
Cover Image
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Cover Image
Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
Cover Image
The use and pricing of convertible bonds
Nyborg, Kjell G. - In: Applied mathematical finance 3 (1996) 3, pp. 167-190
Persistent link: https://www.econbiz.de/10001217781
Cover Image
Game options analysis of the information role of call policies in convertible bonds
Leung, Chi Man; Chen, Nan; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 3/4, pp. 297-335
Persistent link: https://www.econbiz.de/10011436213
Cover Image
Market calibration under a long memory stochastic volatility model
Pospíšil, Jan; Sobotka, Tomáš - In: Applied mathematical finance 23 (2016) 5/6, pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
Cover Image
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
Cover Image
Optimal trade execution under stochastic volatility and liquidity
Cheridito, Patrick; Sepin, Tardu - In: Applied mathematical finance 21 (2014) 3/4, pp. 342-362
Persistent link: https://www.econbiz.de/10010499674
Cover Image
Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
Cover Image
Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874