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The potential approach in practice

Kluge, Tino; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011889513

Volatility analysis of Shanghai composite index and financial crises

Sheraz, Muhammad; Breda, Vasile - 2016

Persistent link: https://www.econbiz.de/10013164574

Equal risk pricing and hedging of financial derivatives with convex risk measures

Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10012872521

Conditional-mean hedging under transaction costs in Gaussian models

Sottinen, Tommi; Viitasaari, Lauri - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011854596

Approximate pricing of call options on the quadratic variation in Lévy models

Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016

Persistent link: https://www.econbiz.de/10011800371

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

Quantitative finance for agricultural commodities : discussion and extension

Power, Gabriel J. - In: Agricultural finance review 76 (2016) 1, pp. 27-41

Persistent link: https://www.econbiz.de/10011695493

Monitoring the pandemic : a fractional filter for the COVID-19 contact rate

Hartl, Tobias - 2021

This paper aims to provide reliable estimates for the COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model, From observable data on confirmed, recovered, and deceased cases, a noisy measurement for the contact rate can be constructed, To filter out measurement errors and...

Persistent link: https://www.econbiz.de/10013332340

Heterogeneity in risk preferences leads to stochastic volatility

Leisen, Dietmar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011926621

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models

Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248

Persistent link: https://www.econbiz.de/10011993464

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