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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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Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst; Glau, Kathrin - In: Applied mathematical finance 21 (2014) 5/6, pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
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Exponential Lévy models extended by a jump to default
Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Roberts, Michael; SenGupta, Indranil - In: Applied mathematical finance 27 (2020) 5, pp. 374-395
Persistent link: https://www.econbiz.de/10012501621
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A multiple curve Lévy swap market model
Eberlein, Ernst; Gerhart, Christoph; … - In: Applied mathematical finance 27 (2020) 5, pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
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Optimal hedging in incomplete markets
Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
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Exchange option pricing under variance gamma-like models
Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
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Solving high-dimensional optimal stopping problems using optimization based model order reduction
Redmann, Martin - In: Applied mathematical finance 29 (2022) 2, pp. 110-140
Persistent link: https://www.econbiz.de/10013554791