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[Rezension von: Elliott, Robert J. ..., Mathematics of financial markets]

Cvitanić, Jakša - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 995-996

Persistent link: https://www.econbiz.de/10001497491

General properties of option prices

Bergman, Yaacov Z. - In: The journal of finance : the journal of the American … 51 (1996) 5, pp. 1573-1610

Persistent link: https://www.econbiz.de/10001211782

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

The stochastic behavior of commodity prices : implications for valuation and hedging

Schwartz, Eduardo S. - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 923-973

Persistent link: https://www.econbiz.de/10001225632

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2007

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable...

Persistent link: https://www.econbiz.de/10012778140

A simple approach to valuing risky fixed and floating rate debt

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 50 (1995) 3, pp. 789-819

Persistent link: https://www.econbiz.de/10001340027