Narrow search
Showing 1 - 10 of 67
Cover Image
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
Cover Image
Analytic backward induction of option cash flows: a new application paradigm for the Markovian interest rate models
Gan, Junwu - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1019-1057
Persistent link: https://www.econbiz.de/10003280033
Cover Image
On finite dimensional realizations for the term structure of futures prices
Björk, Tomas; Blix, Magnus; Landén, Camilla - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 281-314
Persistent link: https://www.econbiz.de/10003344282
Cover Image
A dynamic approach to the modeling of correlation credit derivatives using Markov chains
Di Graziano, Giuseppe; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10003847557
Cover Image
Investment timing under regime switching
Elliott, Robert J.; Miao, Hong; Yu, Jin - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 443-463
Persistent link: https://www.econbiz.de/10003879069
Cover Image
Markovian projection onto a displaced diffusion : generic formulas with applications
Antonov, A.; Misirpashaev, T. - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 507-522
Persistent link: https://www.econbiz.de/10003879083
Cover Image
Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
Cover Image
New numerical scheme for pricing American option with regime-switching
Khaliq, Abdul Q. M.; Liu, Rui Hua - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 319-340
Persistent link: https://www.econbiz.de/10003867406
Cover Image
Barrier option pricing by branching processes
Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
Cover Image
Option pricing for GARCH models with Markov switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841
Persistent link: https://www.econbiz.de/10003380278