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Derivative pricing with collateralization and FX market dislocations
Moreni, Nicola; Pallavicini, Andrea - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011734332
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Mean-reverting stochastic volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
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NFA for factor number determination in APT
Chiu, Kai-chun; Xu, Lei - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 253-267
Persistent link: https://www.econbiz.de/10002111460
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On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Auer, Benjamin R. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-13
Persistent link: https://www.econbiz.de/10011403903
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Local scale invariance and contingent claim pricing
Hoogland, J. K.; Neumann, C. D. D. - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10001554193
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Local scale invariance and contingent claim pricing, [Teil] II: Path-dependent contingent claims
Hoogland, J. K.; Neumann, C. D. D. - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 23-43
Persistent link: https://www.econbiz.de/10001554199
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Operations on inhomogeneous time series
Zumbach, Gilles O.; Müller, Ulrich A. - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 147-177
Persistent link: https://www.econbiz.de/10001554233
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Multiple testing of sign symmetry for stock return distributions
Koldanov, Petr; Lozgacheva, Nina - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-14
Persistent link: https://www.econbiz.de/10011686758
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Change-point analysis of asset price bubbles with power-law hazard function
Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-24
Persistent link: https://www.econbiz.de/10012153466
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747