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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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Branching particle pricers with heston examples
Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
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Cluster analysis for non-Gaussian locally stationary processes
Hirukawa, Junichi - In: International journal of theoretical and applied finance 9 (2006) 1, pp. 113-132
Persistent link: https://www.econbiz.de/10003285948
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Detecting and modeling tail dependence
Bellini, Fabio; Figà-Talamanca, Gianna - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 269-287
Persistent link: https://www.econbiz.de/10002111461
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The number of regimes across asset returns : identification and economic value
Gatumel, Mathieu; Ielpo, Florian - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10010438505
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Markov properties of high frequency exchange rate data
Renner, C.; Peinke, J.; Friedrich, R. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 415-416
Persistent link: https://www.econbiz.de/10001522906
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A random cluster process approach to collective market dynamics with local interactions
Cai, Haiyan; Chen, Kang - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 251-266
Persistent link: https://www.econbiz.de/10003855785
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How does the Eurodollar interest rate behave?
DiMatteo, Tiziana; Aste, Tomaso - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 107-122
Persistent link: https://www.econbiz.de/10001657433
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Empirical exercise behavior of warrant holders and its consequences for warrant values
Koziol, Christian - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 245-268
Persistent link: https://www.econbiz.de/10003312734
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Monte Carlo evaluation of American options using consumption processes
Belomestny, Denis; Milʹstejn, Grigorij N. - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 455-481
Persistent link: https://www.econbiz.de/10003347377