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Optimal strategies with option compensation under mean reverting returns or volatilities
Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69
Persistent link: https://www.econbiz.de/10011993415
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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
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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
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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
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The relationship between Asian equity and commodity futures markets
Thuraisamy, Kannan S.; Sharma, Susan Sunila; Ali Ahmed, … - In: Journal of Asian economics 28 (2013), pp. 67-75
Persistent link: https://www.econbiz.de/10010400865
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Pricing interest rate derivatives under monetary changes
Genaro, Alan de; Avellaneda, Marco - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
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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
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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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Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing
Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 90-150
Persistent link: https://www.econbiz.de/10014471160
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Bond flotation with exotic commodity collateral
Dempster, Michael A. H. - In: Quantitative finance 20 (2020) 12, pp. 1903-1925
Persistent link: https://www.econbiz.de/10012313526