Similar Search Results

Fourier based methods for the management of complex life insurance products

Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 320-341

Persistent link: https://www.econbiz.de/10012793930

Hedging and pricing early-exercise options with complex fourier series expansion

Chan, Tat Lung - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-25

Persistent link: https://www.econbiz.de/10012666044

Exponential Lévy models extended by a jump to default

Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228

Persistent link: https://www.econbiz.de/10010187668

Information flow dependence in financial markets

Michaelsen, Markus - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-34

Persistent link: https://www.econbiz.de/10012496727

A multiple curve Lévy swap market model

Eberlein, Ernst; Gerhart, Christoph; … - In: Applied mathematical finance 27 (2020) 5, pp. 396-421

Persistent link: https://www.econbiz.de/10012501623

Pricing with variance gamma information

Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks : open access journal 8 (2020) 4/105, pp. 1-22

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

Persistent link: https://www.econbiz.de/10012384391

A structural model for credit risk with switching processes and synchronous jumps

Hainaut, Donatien; Colwell, David B. - In: The European journal of finance 22 (2016) 10/12, pp. 1040-1062

Persistent link: https://www.econbiz.de/10011715297

Multivariate asset models using Lévy processes and applications

Ballotta, Laura; Bonfiglioli, Efrem - In: The European journal of finance 22 (2016) 13/15, pp. 1320-1350

Persistent link: https://www.econbiz.de/10011715430

Early exercise boundaries for American-style knock-out options

Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: European journal of operational research : EJOR 285 (2020) 2, pp. 753-766

Persistent link: https://www.econbiz.de/10012239665

Marginal consistent dependence modelling using weak subordination for Brownian motions

Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925

Persistent link: https://www.econbiz.de/10012262863