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Optimality of payoffs in Lévy...
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Conference Innovations in Derivatives Markets - Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation <2015, Garching-Hochbrück>
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
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128
Applied mathematical finance
69
Journal of banking & finance
62
Energy economics
60
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52
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51
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SpringerLink / Bücher
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Computational economics
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Journal of risk and financial management : JRFM
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The journal of fixed income
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Annals of finance
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NBER working paper series
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
4,766
BASE
2
RePEc
1
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1
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10
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4,769
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date (newest first)
date (oldest first)
1
Tracking errors from discrete
hedging
in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
Saved in:
2
Computational finance
Stentoft, Lars
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
7/145
,
pp. 1-4
of numerical methods for pricing,
hedging
, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
Saved in:
3
Pricing and
hedging
of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Saved in:
4
Does model misspecification matter for
hedging
? : a computational finance experiment based approach
Sun, Youfa
;
Yuan, George
;
Guo, Shimin
;
Liu, Jianguo
; …
- In:
International journal of financial engineering
2
(
2015
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
Saved in:
5
Hedging
futures options with stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778107
Saved in:
6
Exploring option pricing and
hedging
via volatility asymmetry
Casas, Isabel
;
Veiga, Helena
- In:
Computational economics
57
(
2021
)
4
,
pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
Saved in:
7
Derivate, Arbitrage und Portfolio-Selection : stochastische Finanzmarktmodelle und ihre Anwendungen
Hausmann, Wilfried
;
Diener, Kathrin
;
Käsler, Joachim
-
2002
-
1. Auflage
Persistent link: https://www.econbiz.de/10014012257
Saved in:
8
Option pricing and
hedging
under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
9
On asymptotic behaviors of exponential
hedging
in the basis-risk model
Takino, Kazuhiro
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
Saved in:
10
A quadratic
hedging
approach to comparison of catastrophe indices
Norberg, Ragnar
;
Savina, Oksana
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009624461
Saved in:
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