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Analysis of cross-correlations in emerging markets using random matrix theory

Urama, Thomas Chinwe; Ezepue, Patrick Oseloka; Nnanwa, … - In: Journal of mathematical finance 7 (2017) 2, pp. 291-307

Persistent link: https://www.econbiz.de/10011673890

Kraft, Holger - 2013

This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10012459825

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

Intrinsic prices of risk

Le, Truc - In: Journal of mathematical finance 4 (2014) 5, pp. 318-327

Persistent link: https://www.econbiz.de/10011312410

Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278

Persistent link: https://www.econbiz.de/10011312416

Closed-form approximate solutions of window barrier options with term-structure volatility and interest rates using the boundary integral method

Hsiao, Yi-long - In: Journal of mathematical finance 2 (2012) 4, pp. 291-302

Persistent link: https://www.econbiz.de/10009725339

European option pricing for a stochastic volatility Lévy model with stochastic interest rates

Pinkham, Sarisa; Pairote Sattayatham - In: Journal of mathematical finance 1 (2011) 3, pp. 98-108

Persistent link: https://www.econbiz.de/10009668518

Stochastic volatility jump-diffusion model for option pricing

Makate, Nothiya; Pairote Sattayatham - In: Journal of mathematical finance 1 (2011) 3, pp. 90-97

Persistent link: https://www.econbiz.de/10009668519

Pricing options on foreign currency with a preset exchange rate

Wolf, Avner S.; Hessel, Christopher - In: Journal of mathematical finance 2 (2012) 3, pp. 214-224

Persistent link: https://www.econbiz.de/10009711988

Option pricing applications of quadratic volatility models

Appadoo, Srimantoorao S.; Thaaneswaran, Aerambamoorthy; … - In: Journal of mathematical finance 2 (2012) 2, pp. 159-174

Persistent link: https://www.econbiz.de/10009719263