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Markov-functional interest rate models
Kennedy, Joanne; Hunt, Phil; Pelsser, Antoon - In: Finance and Stochastics 4 (2000) 4, pp. 391-408
We introduce a general class of interest rate models in which the value of pure discount bonds can be expressed as a functional of some (low-dimensional) Markov process. At the abstract level this class includes all current models of practical importance. By specifying these models in...
Persistent link: https://www.econbiz.de/10005390650
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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On the consistency of jump-diffusion dynamics for FX rates under inversion
Graceffa, Federico; Brigo, Damiano; Pallavicini, Andrea - In: International journal of financial engineering 7 (2020) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
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The informational content of high-frequency option prices
Amaya, Diego; Bégin, Jean-François; Gauthier, Geneviève - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
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A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.; Cheang, Gerald H. L. - In: Quantitative finance 21 (2021) 12, pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
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Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes
Wang, Xingchun - In: International review of economics & finance : IREF 70 (2020), pp. 16-26
Persistent link: https://www.econbiz.de/10012486761
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Consumption optimization for recursive utility in a jump-diffusion model
Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310
Persistent link: https://www.econbiz.de/10011642633
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A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755
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On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps
Perera, Sandun; Buckley, Winston - In: Journal of the Operational Research Society : OR 68 (2017) 8, pp. 877-885
Persistent link: https://www.econbiz.de/10011794501
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Pricing power exchange options with correlated jump risk
Wang, Xingchun - In: Finance research letters 19 (2016), pp. 90-97
Persistent link: https://www.econbiz.de/10011657466