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Financial calculus: An introduction to derivative pricing
Baxter, Martin; Rennie, Andrew; Jorion, Philippe - In: Journal of economic literature 36 (1998) 1, pp. 251
Persistent link: https://www.econbiz.de/10006848706
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Financial Calculus: An Introduction to Derivative Pricing
Baxter, Martin; Rennie, Andrew; Coakley, Jerry - In: The economic journal : the journal of the Royal … 108 (1998) 448, pp. 889
Persistent link: https://www.econbiz.de/10007535975
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Financial Calculus: An Introduction to Derivative Pricing
Sørensen, Bent E.; Baxter, Martin; Rennie, Andrew - In: Econometric theory 14 (1998) 3, pp. 365-368
Persistent link: https://www.econbiz.de/10006993038
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Credit value adjustment for credit default swaps via the structural default model
Lipton, Alexander; Sepp, Artur - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10009932464
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Option pricing: Assets with jumps - The deepening understanding of jump processes in recent years has been an exciting development for financial prac titioners. However, while the...
Lipton, Alexander - In: Risk : managing risk in the world's financial markets 15 (2002) 9, pp. 149-153
Persistent link: https://www.econbiz.de/10007035414
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Masterclass with Deutsche Ban: Universal barriers - There is an increasing volume of barrier products traded in the forex options market. The authors discuss the pricing of barrier...
Lipton, Alexander; McGhee, William - In: Risk : managing risk in the world's financial markets 15 (2002) 5, pp. 81-86
Persistent link: https://www.econbiz.de/10007037016
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Book review: Engineering forex
Lipton, Alexander; Benson, Robert - In: Risk : managing risk in the world's financial markets 15 (2002) 4, pp. 52-84
Persistent link: https://www.econbiz.de/10007038426
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Masterclass with Deutsche Bank: The vol smile problem - The author examines a wide range of volatility smile models in the context of the liquidity of the forex options markets.
Lipton, Alexander - In: Risk : managing risk in the world's financial markets 15 (2002) 2, pp. 61-66
Persistent link: https://www.econbiz.de/10007039515
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Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytic...
Albanese, Claudio; Campolieti, Giuseppe; Carr, Peter; … - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 99-124
Persistent link: https://www.econbiz.de/10007040151
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EXOTIC OPTIONS - SIMILARITIES VIA SELF-SIMILARITIES - Lookback, passport and Asian options present a challenge to dealers seeking to price and hedge them. But they are all differen...
Lipton, Alexander - In: Risk : managing risk in the world's financial markets 12 (1999) 9, pp. 101-105
Persistent link: https://www.econbiz.de/10007054535