Financial Mathematics : [144] Collection home page

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Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 144
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Publication DateTitleAuthor(s)
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
27-Mar-2015Black-Scholes in a CEV Random Environment: A New Approach to Smile ModellingJacquier, A; Roome, P
1-Aug-2015Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processesMijatović, A; Pistorius, M
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
-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
31-May-2015Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricingBian, B; Hu, S; Yuan, Q; Zhang, H
5-Jun-2011Continuously monitored barrier options under Markov processesMijatovic, A; Pistorius, M
2-Sep-2015Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offsMa, J; Deng, D; Zheng, H
17-Dec-2015Convergence of BSΔEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driverMadan, D; Pistorius, M; Stadje, M
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A
18-Apr-2015Credit default swaps and systemic riskCont, R; Minca, A
-Default correlation, cluster dynamics and single names: The GPCL dynamical loss modelBrigo, D; Pallavicini, A; Torresetti, R
1-May-2010Densities for rough differential equations under Hormander's conditionCass, T; Friz, P
1-Dec-2017Discussion of “Elicitability and backtesting: perspectives for banking regulation”Davis, MHA
Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 144
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