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A model for high frequency data under partial information : a filtering approach
Ceci, Claudia; Gerardi, Anna - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 555-576
Persistent link: https://www.econbiz.de/10003347389
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Optimal portfolio selection strategies in the presence of transaction costs
Meng, Qiang; Weerasinghe, Ananda - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 619-641
Persistent link: https://www.econbiz.de/10003347396
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Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model
Kawai, Reiichiro - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 283-295
Persistent link: https://www.econbiz.de/10003867401
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Pricing path-dependent options on state dependent volatility models with a Bessel bridge
Campolieti, Giuseppe; Makarov, Roman - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 51-88
Persistent link: https://www.econbiz.de/10003415659
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Stochastic model predictive control and portfolio optimization
Herzog, Florian; Dondi, Gabriel; Geering, Hans P. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 203-233
Persistent link: https://www.econbiz.de/10003441946
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Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
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A stochastic volatility model for risk-reversals in foreign exchange
Albanese, Claudio; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899
Persistent link: https://www.econbiz.de/10003911250
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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
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A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M. - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 211-240
Persistent link: https://www.econbiz.de/10008860410
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It's your choice : a unified approach to chooser options
Sandmann, Klaus; Wittke, Manuel - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 139-161
Persistent link: https://www.econbiz.de/10008860419