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Calibration of temperature futures by changing the mean reversion

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: The journal of energy markets 10 (2017) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011999391

A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-40

Persistent link: https://www.econbiz.de/10011403907

Variance and interest rate risk in unit-linked insurance policies

Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks : open access journal 8 (2020) 3/84, pp. 1-23

One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free...

Persistent link: https://www.econbiz.de/10012293269

Models for insider trading with finite utility

Kohatsu-Higa, Arturo - In: Paris Princeton lectures on mathematical finance 3 (2004), pp. 103-171

Persistent link: https://www.econbiz.de/10009357089

Pricing and hedging in exponential Lévy models : review of recent results

Tankov, Peter - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 319-359

Persistent link: https://www.econbiz.de/10009356711

Pricing and hedging gap risk

Tankov, Peter - In: The journal of computational finance 13 (2009/10) 3, pp. 33-59

Persistent link: https://www.econbiz.de/10003971913

Additional utility of insiders with imperfect dynamical information

Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; … - In: Finance and stochastics 8 (2004) 3, pp. 437-450

Persistent link: https://www.econbiz.de/10002130328

Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion

Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321

Persistent link: https://www.econbiz.de/10008653256

Local vega index and variance reduction methods

Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10001765651

Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001765655