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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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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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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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Modelling day-ahead electricity prices
Hinz, Juri - In: Applied mathematical finance 10 (2003) 2, pp. 149-161
Persistent link: https://www.econbiz.de/10001805371
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Numerical approximation of the implied volatility under arithmetic Brownian motion
Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied mathematical finance 16 (2009) 3/4, pp. 261-268
Persistent link: https://www.econbiz.de/10003916161
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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Indifference pricing and hedging for volatility dervivatives
Grasselli, M. R.; Hurd, T. R. - In: Applied mathematical finance 14 (2007) 4, pp. 303-317
Persistent link: https://www.econbiz.de/10003543040
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Numerical methods and volatility models for valuing cliquet options
Windcliff, H. A.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 13 (2006) 4, pp. 353-386
Persistent link: https://www.econbiz.de/10003396217
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Asymptotics of barrier option pricing under the CEV process
Hu, Fannu; Knessl, Charles - In: Applied mathematical finance 17 (2010) 3/4, pp. 261-300
Persistent link: https://www.econbiz.de/10008653258