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A mathematical approach to order book modeling
Abergel, Frédéric; Jedidi, Aymen - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
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Conic CVA and DVA for option portfolios
Bakel, Sjoerd van; Borovkova, Svetlana; Michielon, Matteo - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-30
Persistent link: https://www.econbiz.de/10012496518
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Markets as a counterparty : an introduction to conic finance
Madan, Dilip B.; Cherny, Alexander - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1149-1177
Persistent link: https://www.econbiz.de/10008906182
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Optimal execution cost for liquidation through a limit order market
Chevalier, Etienne; Ly Vath, Vathana; Scotti, Simone; … - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011453884
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Equilibrium conditions of forward exchange market expressed in a simple geometric structure
Chen, Jianguo; Blenman, Lloyd P. - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 915-932
Persistent link: https://www.econbiz.de/10003206534
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An explanation of non-equilibrium currency bid-ask spreads
Afful, Kofi B. - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 531-540
Persistent link: https://www.econbiz.de/10002171462
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Market power and feedback effects from hedging derivatives
DeMatos, João Amaro; DoRosário, João Sobral - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 845-875
Persistent link: https://www.econbiz.de/10001763195
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Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread
Kim, Sung-hun; Ogden, Joseph P. - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 179-200
Persistent link: https://www.econbiz.de/10001394249
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Understanding bid-ask spreads of derivatives under uncertain volatility and transaction costs
Ané, Thierry; Lacoste, Vincent - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 467-489
Persistent link: https://www.econbiz.de/10001584363
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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012652634