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Computational methods in financial engineering : essays in honour of Manfred Gilli
Kontoghiorghes, Erricos John (ed.); Gilli, Manfred (honouree) - 2008
Persistent link: https://www.econbiz.de/10003635732
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Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried - 2007
Persistent link: https://www.econbiz.de/10003635776
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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …
Persistent link: https://www.econbiz.de/10003636657
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Risk preference based option pricing in a fractional Brownian market
Rostek, Stefan (contributor); Schöbel, Rainer (contributor) - 2006
. The obtained formulae - as well as further results - accord with classical Brownian theory and confirm economic intuition …
Persistent link: https://www.econbiz.de/10003636687
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Valuing retail shopping center : lease contracts
Cho, Hoon; Shilling, James D. - In: Real estate economics : journal of the American Real … 35 (2007) 4, pp. 623-649
Persistent link: https://www.econbiz.de/10003640902
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Arbitrage-free market models for liquid options
Wissel, Johannes Stefan - 2008
Persistent link: https://www.econbiz.de/10003726013
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...
Persistent link: https://www.econbiz.de/10003727608
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Contingent claims analysis and life-cycle finance
Bodie, Zvi; Ruffino, Doriana; Treussard, Jonathan - In: The American economic review 98 (2008) 2, pp. 291-296
Persistent link: https://www.econbiz.de/10003730192
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Optimal stopping under ambiguity
Riedel, Frank (contributor) - 2007
induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of … optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super …
Persistent link: https://www.econbiz.de/10003731193
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Risk assessment techniques for split capital investment trusts
Adams, Andrew T.; Clunie, J. B. - In: Annals of actuarial science : publ. by the Institute of … 1 (2006) 1, pp. 7-36
Persistent link: https://www.econbiz.de/10003732688