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On a class of optimization problems emerging when hedging with short term futures contracts

Leobacher, Gunther - In: Mathematical methods of operations research 67 (2008) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10003643609

Notes on exact and semi-exact Lévy models for the valuation of CDOs

Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 979-1000

Persistent link: https://www.econbiz.de/10008905093

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

Pricing basket weather derivatives on rainfall and temperature processes

Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies : open … 7 (2019) 3/35, pp. 1-14

This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indifference prices for the seller and buyer of a...

Persistent link: https://www.econbiz.de/10012039713

Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model

Wamwea, Charity; Ngare, Philip; Bidima, Martin Le Doux Mbele - In: Journal of mathematical finance 9 (2019) 4, pp. 698-725

Persistent link: https://www.econbiz.de/10012433485

Foreign exchange derivative pricing with stochastic correlation

Nabirye, Topilista; Ngare, Philip; Mungatu, Joseph - In: Journal of mathematical finance 6 (2016) 5, pp. 887-899

Persistent link: https://www.econbiz.de/10011658109

On the location of a free boundary for American options

Katende, Ronald; Seck, Diaraf; Ngare, Philip - In: Journal of mathematical finance 6 (2016) 5, pp. 930-943

Persistent link: https://www.econbiz.de/10011658116