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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
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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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Hedging of spatial temperature risk with market-traded futures
Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen - In: Applied mathematical finance 18 (2011) 1/2, pp. 93-117
Persistent link: https://www.econbiz.de/10009155488
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A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna - In: Applied mathematical finance 18 (2011) 1/2, pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan; Badran, Alexander - In: Applied mathematical finance 21 (2014) 3/4, pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
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On the pricing and hedging of volatility derivatives
Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik - In: Applied mathematical finance 11 (2004) 4, pp. 317-346
Persistent link: https://www.econbiz.de/10002458545
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Non-parametric pricing and hedging of exotic derivatives
Lyons, Terry; Nejad, Sina; Perez Arribas, Imanol - In: Applied mathematical finance 27 (2020) 6, pp. 457-494
Persistent link: https://www.econbiz.de/10012516168
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Hedging strategies in commodity markets : rolling intrinsic and delta hedging for virtual power plants
Biegler-König, Richard - In: Applied mathematical finance 27 (2020) 6, pp. 550-582
Persistent link: https://www.econbiz.de/10012516171