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Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
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A jump-diffusion approach to modelling vulnerable option pricing
Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56
Persistent link: https://www.econbiz.de/10009575333
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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A generalised arbitrage-free Nelson-Siegel model : the impact of unspanned stochastic volatility
Chen, Rui; Du, Ke - In: Finance research letters 10 (2013) 1, pp. 41-48
Persistent link: https://www.econbiz.de/10009728597
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High-frequency financial data modeling using Hawkes processes
Chavez-Demoulin, Valerie; McGill, James A. - In: Journal of banking & finance 36 (2012) 12, pp. 3415-3426
Persistent link: https://www.econbiz.de/10009660437
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Keep on smiling? : the pricing of Quanto options when all covariances are stochastic
Branger, Nicole; Muck, Matthias - In: Journal of banking & finance 36 (2012) 6, pp. 1577-1591
Persistent link: https://www.econbiz.de/10009616465
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Have the GIPSI settled down? : breaks and multivariate stochastic volatility models for, and not against, the European financial integration
Ge̜bka, Bartosz; Karoglou, Michail - In: Journal of banking & finance 37 (2013) 9, pp. 3639-3653
Persistent link: https://www.econbiz.de/10010126309
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A general closed-form spread option pricing formula
Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187