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Calibration of the Heston stochastic local volatility model : a finite volume scheme
Engelmann, Bernd; Koster, Frank; Oeltz, Daniel - In: International journal of financial engineering 8 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
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Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
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A time consistent derivative strategy
Mudzimbabwe, Walter - In: International journal of financial engineering 7 (2020) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
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The modified binomial options pricing model and the revised replicating portfolio approach with the concept of sustainability options
Lin, Tyrone T.; Yen, Hui-Tzu; Hsu, Shu-Yen - In: International journal of financial engineering 7 (2020) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10012602947
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Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T. - In: International journal of financial engineering 7 (2020) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
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Weather derivatives for managing weather and climate risk in agriculture
Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis - In: International journal of financial engineering 7 (2020) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012603781
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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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Static models of central counterparty risk
Ghamami, Samim - In: International journal of financial engineering 2 (2015) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011333478
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Stochastic method of dynamic hedging applied to the high liquid asset markets
Romanov, Maksim Y.; Vavilov, Sergey A. - In: International journal of financial engineering 10 (2023) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10014444714