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A two-factor jump-diffusion model for pricing convertible bonds with default risk

Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-26

Persistent link: https://www.econbiz.de/10011572351

Numerical pricing of American options under infinite activity Lévy processes

Rambeerich, Nisha; Tangman, Désiré Yannick; Bhuruth, … - In: The journal of futures markets 31 (2011) 9, pp. 809-829

Persistent link: https://www.econbiz.de/10009355804

Bond pricing under the generalised Black-Karasinski models

Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10011862372

A spectral approach to pricing of arbitrage-free sabr discrete barrier options

Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun - In: Computational economics 54 (2019) 3, pp. 1085-1111

Persistent link: https://www.econbiz.de/10012134509

The effects of transaction costs and illiquidity on the prices of volatility derivatives

Dilloo, Mehzabeen Jumanah; Tangman, Désiré Yannick - In: The journal of computational finance 25 (2021) 1, pp. 51-75

Persistent link: https://www.econbiz.de/10012672309

Efficient conservative second-order central-upwind schemes for option-pricing problems

Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101

Persistent link: https://www.econbiz.de/10012042237

Forecasting exchange rates with linear and nonlinear models

Bissoondeeal, Rakesh; Binner, Jane; Bhuruth, Muddun; … - 2007

In this paper the exchange rate forecasting performance of neural network models are evaluated against random walk and a range of time series models. There are no guidelines available that can be used to choose the parameters of neural network models and therefore the parameters are chosen...

Persistent link: https://www.econbiz.de/10009485468

Forecasting exchange rates with linear and nonlinear models

Bissoondeeal, Rakesh K.; Binner, Jane M.; Bhuruth, Muddun; … - In: Global business & economics review 10 (2008) 4, pp. 414-429

Persistent link: https://www.econbiz.de/10003974812

A general efficient framework for pricing options using exponential time integration schemes

Tangman, Yannick Desire; Boojhawon, Ravindra; Gopaul, Ashvin - In: Financial econometrics modeling : derivatives pricing, …, (pp. 70-89). 2011

Persistent link: https://www.econbiz.de/10008988012

Range-curtailing for options with discrete dividend payments under general diffusions

Thakoor, Deeveya; Bhuruth, Muddun - In: The journal of derivatives : the official publication … 26 (2019) 4, pp. 9-34

Persistent link: https://www.econbiz.de/10012306182