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The market model of interest rate dynamics
Brace, Alan - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 127-155
Persistent link: https://www.econbiz.de/10001220280
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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Sensitivity analysis of nonlinear behavior with distorted probability
Cao, Xi-Ren; Wan, Xiangwei - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 115-150
Persistent link: https://www.econbiz.de/10011739450
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Model-independent lower bound on variance SWAPS
Kahalé, Nabil - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 939-961
Persistent link: https://www.econbiz.de/10011583815
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Portfolio selection problems via the bivariate characterization of stochastic dominance relations
Kijima, Masaaki - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 237-277
Persistent link: https://www.econbiz.de/10001208966
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Discontinuous asset prices and non-attainable contingent claims
Colwell, David B. - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 295-308
Persistent link: https://www.econbiz.de/10001184866