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Basket option pricing and implied correlation in a Lévy copula model
Linders, Daniël; Schoutens, Wim - 2014
Persistent link: https://www.econbiz.de/10010422208
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On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy economics 45 (2014), pp. 172-185
Persistent link: https://www.econbiz.de/10010504771
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Pricing portfolios of contracts on cumulative temperature with risk premium determination
Stojanovic, Srdjan; Göncü, Ahmet - In: Risk and decision analysis 5 (2014) 1, pp. 75-98
Persistent link: https://www.econbiz.de/10010492577
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Special issue: Financial derivatives and risk models
Yiu, Cedric (contributor) - 2013
Persistent link: https://www.econbiz.de/10009782629
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Tractable hedging with additional hedge instruments
Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
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Valuation of portfolio credit derivatives with default intensities using the Vasicek model
Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin - In: Asia-Pacific financial markets 18 (2011) 1, pp. 33-54
Persistent link: https://www.econbiz.de/10009237750
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A risk-neutral parametric liquidity model for derivatives
Bakstein, David; Howison, Sam - 2002
Persistent link: https://www.econbiz.de/10009581662
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Probabilistic aspects of financial risk
Föllmer, Hans - 2000
Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.
Persistent link: https://www.econbiz.de/10009612020
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Fixed income markets and their derivatives
Sundaresan, Suresh M. - 2009 - 3. ed.
Persistent link: https://www.econbiz.de/10003826247