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An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping; Krehbiel, Timothy L. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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What a difference one probability makes in the convergence of binomial trees
Leduc, Guillaume; Palmer, Kenneth J. - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-26
Persistent link: https://www.econbiz.de/10012496772
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Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10012019745
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Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
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Defaultable claims in switching models with partial information
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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A closed-form extension to the Black-Cox model
Alfonsi, Aurélien; Lelong, Jérôme - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-30
Persistent link: https://www.econbiz.de/10009706338
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An improved Markov chain approximation methodology : derivatives pricing and model calibration
Lo, Chia Chun; Skindilias, Konstantinos - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-22
Persistent link: https://www.econbiz.de/10010498837
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Desirable properties of an ideal risk measure in portfolio theory
Račev, Svetlozar T.; Ortobelli, Sergio; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 19-54
Persistent link: https://www.econbiz.de/10003692723