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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Optimal derivative liquidation timing under path-dependent risk penalties
Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010528389
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Pricing interest rate derivatives with model risk
Hosokawa, Satoshi; Matsumoto, Koichi - In: Journal of financial engineering 2 (2015) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010528390
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The Malliavan derivate and application to pricing and hedging a European exchange options
Mataramvura, Sure - In: Journal of mathematical finance 2 (2012) 4, pp. 280-290
Persistent link: https://www.econbiz.de/10009725340
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The simulation of European call options' sensitivity based on black-scholes option formula
Cui, Yujie; Yu, Baoli - In: Journal of mathematical finance 2 (2012) 3, pp. 264-268
Persistent link: https://www.econbiz.de/10009711970
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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Catastrophe risk derivatives : a new approach
Abdessalem, Mehdi Bekralas; Ohnishi, Masamitsu - In: Journal of mathematical finance 4 (2014) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10010422906
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Pricings and hedgings of the perpetual Russian options
Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010508090
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First-order calculus and option pricing
Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010508100
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Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Brigo, Damiano; Pallavicini, Andrea - In: Journal of financial engineering 1 (2014) 1, pp. 1-60
Persistent link: https://www.econbiz.de/10010508128