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Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
Morokoff, William J. - In: Applied mathematical finance 6 (1999) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10001449231
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A finite element approach to the pricing of discrete lookbacks with stochasic volatility
Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10001449242
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Stochastic volatility, smile & asymptotics
Sircar, Kaushik Ronnie; Papanicolaou, George - In: Applied mathematical finance 6 (1999) 2, pp. 107-145
Persistent link: https://www.econbiz.de/10001449244
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Optimal hedging strategies for misspecified asset price models
Ahn, Hyungsok; Muni, Adviti; Swindle, Glen H. - In: Applied mathematical finance 6 (1999) 3, pp. 197-208
Persistent link: https://www.econbiz.de/10001490690
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Estimation of stochastic volatility in the hull-white model
Aihara, Shinichi; Bagchi, Arunabha - In: Applied mathematical finance 7 (2000) 3, pp. 153-181
Persistent link: https://www.econbiz.de/10001590456
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Passport options with stochastic volatility
Henderson, Vicky; Hobson, David G. - In: Applied mathematical finance 8 (2001) 2, pp. 97-118
Persistent link: https://www.econbiz.de/10001628628
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Trading volume in models of financial derivatives
Howison, Sam; Lamper, David - In: Applied mathematical finance 8 (2001) 2, pp. 119-135
Persistent link: https://www.econbiz.de/10001628629
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Multiple time scales in volatility and leverage correlations : a stochastic volatility model
Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - In: Applied mathematical finance 11 (2004) 1, pp. 27-50
Persistent link: https://www.econbiz.de/10002001537
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A possible way of estimating options with stable distributed underlying asset prices
Tsibiridi, C.; Atkinson, Colin - In: Applied mathematical finance 11 (2004) 1, pp. 51-75
Persistent link: https://www.econbiz.de/10002001538
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Hitting time and time change
Vaugirard, Victor E. - In: Applied mathematical finance 11 (2004) 1, pp. 77-94
Persistent link: https://www.econbiz.de/10002001540