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Asymptotic pricing of commodity derivatives using stochastic volatility spot models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5/6, pp. 449-477
Persistent link: https://www.econbiz.de/10003815252
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A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen; Pircalabu, Anca - In: Applied mathematical finance 25 (2018) 1/2, pp. 36-65
Persistent link: https://www.econbiz.de/10011959115
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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
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A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
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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
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Approximate hedging in a local volatility model with proportional transaction costs
Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341
Persistent link: https://www.econbiz.de/10010499677
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Hedging large portfolios of options in discrete time
Peeters, B.; Dert, C. L.; Lucas, André - In: Applied mathematical finance 15 (2008) 3/4, pp. 251-275
Persistent link: https://www.econbiz.de/10003751253
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Option replication in discrete time with illiquidity
Matsumoto, Koichi - In: Applied mathematical finance 20 (2013) 1/2, pp. 167-190
Persistent link: https://www.econbiz.de/10009737170
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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