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COMPLEX LOGARITHMS IN HESTON‐LIKE MODELS
Lord, Roger; Kahl, Christian - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 671-695
Persistent link: https://www.econbiz.de/10008641325
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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon; … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-448
Persistent link: https://www.econbiz.de/10008332283
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Level-Slope-Curvature - Fact or Artefact?
Lord, Roger; Pelsser, Antoon - In: Applied mathematical finance 14 (2007) 2, pp. 105-130
Persistent link: https://www.econbiz.de/10008221850
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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon; … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-449
Persistent link: https://www.econbiz.de/10008890261
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Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Lord, Roger - In: Applied mathematical finance 17 (2010) 4, pp. 373-377
Persistent link: https://www.econbiz.de/10008443438