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Partial hedging in a stochastic volatility environment
Jonsson, Mattias - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 375-409
Persistent link: https://www.econbiz.de/10001741949
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Option pricing for large agents
Jonsson, Mattias; Keppo, Jussi - In: Applied mathematical finance 9 (2002) 4, pp. 261-272
Persistent link: https://www.econbiz.de/10001728732
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Implied volatility of leveraged ETF options
Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
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Financial modeling in a fast mean-reverting stochastic volatility environment
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: Asia-Pacific financial markets 6 (1999) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10001506394
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Stochastic volatility, smile & asymptotics
Sircar, Kaushik Ronnie; Papanicolaou, George - In: Applied mathematical finance 6 (1999) 2, pp. 107-145
Persistent link: https://www.econbiz.de/10001449244
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Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan; Sircar, Kaushik Ronnie - In: Applied mathematical finance 16 (2009) 3/4, pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
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Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - 2011 - 1. publ.
Persistent link: https://www.econbiz.de/10009316567
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A model for hedging load and price risk in the Texas electricity market
Coulon, Michael; Powell, Warren B.; Sircar, Kaushik Ronnie - In: Energy economics 40 (2013), pp. 976-988
Persistent link: https://www.econbiz.de/10010355997