Financial Mathematics : [186] Collection home page

Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 186
Issue DateTitleAuthor(s)
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
15-Jun-2019Beyond Haar and Cameron-Martin: the Steinhaus supportBingham, N; Ostaszewski, A
15-Apr-2018Beyond Lebesgue and Baire IV: density topologies and a converse Steinhaus-Weil theoremBingham, NH; Ostaszewski, AJ
-Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlationsBrigo, D; Pallavicini, A; Papatheodorou, V
27-Mar-2015Black-Scholes in a CEV Random Environment: A New Approach to Smile ModellingJacquier, A; Roome, P; Engineering & Physical Science Research Council (EPSRC)
1-Aug-2015Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processesMijatović, A; Pistorius, M
1-Oct-2017Category-measure duality: convexity, midpoint convexity and Berz sublinearityBingham, NH; Ostaszewski, AJ
8-Apr-2010Change of variable formulas for non-anticipative functionals on path spaceCont, R; Fournie, D-A
1-Jun-2007Cluster-based extension of the generalized poisson loss dynamics and consistency with single namesBrigo, D; Pallavicini, A; Torresetti, R
1-Aug-2017Coefficient stripping in the matricial Nehari problemKasahara, Y; Bingham, NH
-Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and NettingBrigo, D; Capponi, A; Pallavicini, A; Papatheodorou, V
8-Jan-2004Complete-market models of stochastic volatilityDavis, MHA
5-Apr-2018Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall–Olkin distributionBrigo, D; Mai, Jan; Scherer, M; Sloot, H
1-Apr-2018Constrained quadratic risk minimization via forward and backward stochastic differential equationsLi, Y; Zheng, H
4-Dec-2015Constrained Rough PathsCass, T; Driver, BK; Litterer, C; Engineering & Physical Science Research Council (EPSRC)
31-May-2015Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricingBian, B; Hu, S; Yuan, Q; Zhang, H
1-Oct-2018Contingent convertible bonds with the default risk premiumJang, HJ; Na, YH; Zheng, H
5-Jun-2011Continuously monitored barrier options under Markov processesMijatovic, A; Pistorius, M; Madan, DB
Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 186