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Determination of the Lévy exponent in asset pricing models

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Special issue on Barcelona workshop on mathematical finance

Corcuera, José Manuel (ed.); Schoutens, Wim (ed.); … - Barcelona Workshop on Mathematical Finance <2017, Barcelona> - 2018

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Optimal hedging in incomplete markets

Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287

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The new interest rate models : [recent developments in the theory and application of yield curve dynamics]

Hughston, Lane P. (contributor) - 2000

Persistent link: https://www.econbiz.de/10004465580

PREFACE – Special Issue on Financial Derivatives and Risk Management

Grasselli, Matheus; Hughston, Lane P. - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1202001-1

No abstract received.

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Options : classic approaches to pricing and modelling

Hughston, Lane P. (contributor) - 1999

Persistent link: https://www.econbiz.de/10004596250

PROCEEDINGS OF THE INTERNATIONAL CONFERENCE 'MANAGING CREDIT AND MARKET RISK. NEW TECHNIQUES FOR NEW SOURCES OF RISK' - Credit Risk: Constructing the Basic Building Blocks

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Persistent link: https://www.econbiz.de/10006038514

A chaotic approach to interest rate modelling

Hughston, Lane P.; Rafailidis, Avraam - In: Finance and stochastics 9 (2005) 1, pp. 43-66

Persistent link: https://www.econbiz.de/10008222976

Options : classic approaches to pricing and modelling

Hughston, Lane P. (ed.) - 1999

Persistent link: https://www.econbiz.de/10013552260

Credit Risk: Constructing the Basic Building Blocks

Hughston, Lane P.; Turnbull, Stuart M. - In: Economic Notes 30 (2001) 2, pp. 281-292

type="main" xml:lang="en" <p>This paper uses three basic results to address three problems. The first problem concerns the pricing of corporate bonds, when in the event of default the claim of the bond holders is on the principal of the bond plus accrued interest. The second concerns the pricing of...</p>

Persistent link: https://www.econbiz.de/10011033549