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Optimal decisions in a time priority queue
Donnelly, Ryan; Gan, Luhui - In: Applied mathematical finance 25 (2018) 1/2, pp. 107-147
Persistent link: https://www.econbiz.de/10011959122
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ADI schemes for pricing American options under the Heston model
Haentjens, Tinne; Hout, Karel J. in 't - In: Applied mathematical finance 22 (2015) 3/4, pp. 207-237
Persistent link: https://www.econbiz.de/10011436200
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Pricing occupation-time options in a mixed-exponential jump-diffusion model
Aoudia, Djilali Ait; Renaud, Jean-François - In: Applied mathematical finance 23 (2016) 1/2, pp. 1-21
Persistent link: https://www.econbiz.de/10011546980
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Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe; Reutenauer, Victor; Talay, Denis; … - In: Applied mathematical finance 23 (2016) 1/2, pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
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Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157
Persistent link: https://www.econbiz.de/10011547000
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Volatility targeting using delayed diffusions
Torricelli, Lorenzo - In: Applied mathematical finance 25 (2018) 3/4, pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Arai, Takuji; Imai, Yuto - In: Applied mathematical finance 25 (2018) 3/4, pp. 247-267
Persistent link: https://www.econbiz.de/10012128947
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Outperformance and tracking : dynamic asset allocation for active and passive portfolio management
Al-Aradi, Ali; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 3/4, pp. 268-294
Persistent link: https://www.econbiz.de/10012128951
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Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre; Hu, Ruimeng - In: Applied mathematical finance 25 (2018) 3/4, pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
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Option pricing in illiquid markets with jumps
Cruz, José M. T. S.; Ševčovič, Daniel - In: Applied mathematical finance 25 (2018) 3/4, pp. 389-409
Persistent link: https://www.econbiz.de/10012129168