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A generalized normal mean-variance mixture for return processes in finance
Luciano, Elisa; Semeraro, Patrizia - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 415-440
Persistent link: https://www.econbiz.de/10008904364
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Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
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On the impact of hidden trends for a compound poisson model with pareto-type claims
Grandits, Peter; Kainhofer, Reinhold; Temnov, Grigory - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10008905099
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Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
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Credit risk premia and quadratic BSDEs with a single jump
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1103-1129
Persistent link: https://www.econbiz.de/10008906200
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Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model
Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063
Persistent link: https://www.econbiz.de/10008906216
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Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
Chen, Bin; Oosterlee, Cornelis W.; Weeren, Sacha van - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1019-1046
Persistent link: https://www.econbiz.de/10008906224
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Pricing and filtering in a two-dimensional dividend switching model
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017
Persistent link: https://www.econbiz.de/10008906248