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1
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
Saved in:
2
Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano
;
Francischello, Marco
;
Pallavicini, Andrea
- In:
European journal of operational research : EJOR
274
(
2019
)
2
,
pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
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3
A comparison of regime-switching temperature modeling approaches for applications in
weather
derivatives
Elias, R. S.
;
Wahab, M. I. M.
;
Fang, Liping
- In:
European journal of operational research : EJOR
232
(
2014
)
3
,
pp. 549-560
Persistent link: https://www.econbiz.de/10010224963
Saved in:
4
Commodity derivatives pricing with cointegration and stochastic covariances
Chiu, Mei Choi
;
Wong, Hoi Ying
;
Zhao, Jing
- In:
European journal of operational research : EJOR
246
(
2015
)
2
,
pp. 476-486
Persistent link: https://www.econbiz.de/10011338124
Saved in:
5
A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann
;
Grunspan, Cyril
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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6
Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin
;
Six, Pierre
;
Anh Ngoc Lai
- In:
European journal of operational research : EJOR
250
(
2016
)
2
,
pp. 493-504
Persistent link: https://www.econbiz.de/10011441684
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7
Robust option pricing
Bandi, Chaithanya
;
Bertsimas, Dimitris
- In:
European journal of operational research : EJOR
239
(
2014
)
3
,
pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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8
CDS pricing with fractional Hawkes processes
Ketelbuters, John-John
;
Hainaut, Donatien
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1139-1150
Persistent link: https://www.econbiz.de/10013263023
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9
The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina
;
Iori, Giulia
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
293
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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10
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
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