Narrow search
Showing 1 - 8 of 8
Cover Image
Managing the volatility risk of portfolios of derivate securities : the Lagrangian uncertain volatility model
Avellaneda, Marco - In: Applied mathematical finance 3 (1996) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10001209610
Cover Image
On parabolic equations with gauge function term and applications to the multidimensional Leland equation
Kampen, Jörg; Avellaneda, Marco - In: Applied mathematical finance 10 (2003) 3, pp. 215-228
Persistent link: https://www.econbiz.de/10001841294
Cover Image
An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi - In: Applied mathematical finance 4 (1997) 2, pp. 81-100
Persistent link: https://www.econbiz.de/10001226702
Cover Image
Calibrating volatility surfaces via relative-entropy minimization
Avellaneda, Marco (contributor) - In: Applied mathematical finance 4 (1997) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10001226743
Cover Image
Combinatorial implications of nonlinear uncertain volatility models : the case of barrier options
Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001449223
Cover Image
Trading signals in VIX futures
Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew - In: Applied mathematical finance 28 (2021) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Cover Image
On parabolic equations with gauge function term and applications to the multidimensional Leland equation
Kampen, Jörg; Avellaneda, Marco - In: Applied mathematical finance 10 (2003) 3, pp. 215-228
Persistent link: https://www.econbiz.de/10008215184
Cover Image
PAPERS - Combinatorial implications of nonlinear uncertain volatility models: Case of barrier options
Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10008218059