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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
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The journal of futures markets
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Industrial Robot: An International Journal
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1
Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele
;
Baviera, Roberto
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10013167773
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2
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
3
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
4
Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
Bo, Lijun
;
Liu, Yanchu
;
Zhang, Tingting
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1187-1206
Persistent link: https://www.econbiz.de/10012588035
Saved in:
5
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
6
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian
;
Xu, Zhe
;
Li, Peter
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
Saved in:
7
CMS spread options
Hagan, Patrick S.
;
Lesniewski, Andrew
;
Skoufis, G. E.
; …
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
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8
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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9
Implied Markov transition matrices under structural price models
Defourny, Boris
;
Moazeni, Somayeh
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
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10
Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin
;
Pachón, Ricardo
;
Pötz, Christian
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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