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Pricing of defaultable bonds with random information flow
Brody, Dorje C.; Law, Yan Tai - In: Applied mathematical finance 22 (2015) 5/6, pp. 399-420
Persistent link: https://www.econbiz.de/10011490604
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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Market calibration under a long memory stochastic volatility model
Pospíšil, Jan; Sobotka, Tomáš - In: Applied mathematical finance 23 (2016) 5/6, pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
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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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Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
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Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874