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Collection's Items (Sorted by Title in Ascending order): 1 to 20 of 121
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Publication DateTitleAuthor(s)
18-Feb-2015A note on utility-based pricingDavis, MHA; Yoshikawa, D
17-Feb-2015A note on utility-based pricing in models with transaction costsDavis, MHA; Yoshikawa, D
13-Jun-2016A simple procedure to incorporate predictive models in a continuous time asset allocationDavis, M; Lleo, S
25-Jun-2015American option valuation under continuous time Markov ChainsEriksson, B; Pistorius, MR
1-Jul-2010AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODELBrigo, D; El-Bachir, N
20-Apr-2015An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficientsChassagneux, J-F; Jacquier, A; Mihaylov, I
-An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEsChassagneux, JFC; Jacquier, A; Mihyalov, IM
31-Dec-2016Analysis Of Nonlinear Valuation Equations Under Credit And Funding EffectsBrigo, D; Francischello, M; Pallavicini, A
1-Oct-2009Approximate basket options valuation for a jump-diffusion modelXu, G; Zheng, H
7-Feb-2013Arbitrage bounds for prices of weighted variance swapsDavis, MHA; Obloj, J; Raval, V
27-Sep-2016Arbitrage without borrowing or short selling?Lukkarinen, J; Pakkanen, MS
1-Jan-2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPSBrigo, D; Capponi, A; Pallavicini, A
2-Jan-2014Arbitrage-free SVI volatility surfacesGatheral, J; Jacquier, A
12-Nov-2015Asymptotic analysis for target asset portfolio allocation with small transaction costsLiu, C; Zheng, H
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH
15-Jan-2015Asymptotic independence of three statistics of maximal segmental scoresMijatović, A; Pistorius, M
1-Sep-2009Basket CDS pricing with interacting intensitiesZheng, H; Jiang, L
1-Dec-2010Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion methodXu, G; Zheng, H
17-Dec-2015Beurling moving averages and approximate homomorphismsBingham, NH; Ostaszewski, AJ
-Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlationsBrigo, D; Pallavicini, A; Papatheodorou, V
Collection's Items (Sorted by Title in Ascending order): 1 to 20 of 121
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