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Proceedings of the 1995 Econometrics Conference at Monash : Melbourne, Victoria, 13 - 14 July 1995
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Econometric analysis of financial and economic time series ; part B
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Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2
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1
On the multidimensional Black-Scholes partial differential equation
Guillaume, Tristan
- In:
Decision making and risk/return optimization in …
,
(pp. 229-251)
.
2019
Persistent link: https://www.econbiz.de/10012134802
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2
Efficiency gains from quasi-differencing under nonstationarity
Phillips, Peter C. B.
;
Lee, Chin Chin
-
1996
Persistent link: https://www.econbiz.de/10001589738
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Fractional smoothness and applications in finance
Geiss, Stefan
;
Gobet, Emmanuel
- In:
Advanced mathematical methods for finance
,
(pp. 313-331)
.
2011
Persistent link: https://www.econbiz.de/10008991284
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Hilbert transform, spectral filters and option pricingh
Phelan, Carolyn E.
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Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
Application of operations research to financial markets
,
(pp. 273-298)
.
2019
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
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Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
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Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
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Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
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Pricing CDOs with a smile : the local correlation model
Turc, Julien
;
Very, Philippe
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Frontiers in quantitative finance : volatility and …
,
(pp. 235-250)
.
2009
Persistent link: https://www.econbiz.de/10003787606
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Option pricing : real and risk-neutral distributions
Kōnstantinidēs, Giōrgos
;
Jackwerth, Jens Carsten
; …
- In:
Financial engineering
,
(pp. 565-591)
.
2008
Persistent link: https://www.econbiz.de/10003567751
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9
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
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Spark spread options when commodity prices are represented as time changed processes
Luciano, Elisa
- In:
Risk management in commodity markets : from shipping to …
,
(pp. 129-151)
.
2008
Persistent link: https://www.econbiz.de/10003787696
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