Narrow search
Showing 1 - 10 of 29
Cover Image
Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016
Persistent link: https://www.econbiz.de/10011800675
Cover Image
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
Cover Image
A unified view of LIBOR models
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016
Persistent link: https://www.econbiz.de/10011800390
Cover Image
Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
Cover Image
Skewed Lévy models and implied volatility skew
Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Cover Image
Discrete-time quadratic hedging of barrier options in exponential Lévy model
Černý, Aleš - In: Advanced modelling in mathematical finance : in honour …, (pp. 257-275). 2016
Persistent link: https://www.econbiz.de/10011800380
Cover Image
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
Cover Image
Derivatives in financial markets with stochastic volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - 2000
Persistent link: https://www.econbiz.de/10001464269