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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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High-dimensional statistical arbitrage with factor models and stochastic control
Guijarro-Ordonez, Jorge - In: Applied mathematical finance 26 (2019) 4, pp. 328-358
Persistent link: https://www.econbiz.de/10012210319
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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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Liquidity and credit risk
Cherubini, Umberto; DellaLunga, Giovanni - In: Applied mathematical finance 8 (2001) 2, pp. 79-95
Persistent link: https://www.econbiz.de/10001628626
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Exact superreplication strategies for a class of derivative assets
Vanden, Joel M. - In: Applied mathematical finance 13 (2006) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10003320040
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American call options under jump-diffusion processes - a Fourier transform approach
Chiarella, Carl; Ziogas, Andrew - In: Applied mathematical finance 16 (2009) 1/2, pp. 37-79
Persistent link: https://www.econbiz.de/10003847143
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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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Mean variance hedging in a general jump model
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing - In: Applied mathematical finance 17 (2010) 1/2, pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
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Stochastic volatility effects on defaultable bonds
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; Sølna, Knut - In: Applied mathematical finance 13 (2006) 3, pp. 215-244
Persistent link: https://www.econbiz.de/10003383651
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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10003543050