Sampling Of One-Dimensional Probability Measures In The Convex Order And Computation Of Robust Option Price Bounds
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S021902491950002X
Equilibrium Price Of Variance Swaps Under Stochastic Volatility With Lévy Jumps And Stochastic Interest Rate
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S021902491950016X
Cryptocurrencies In Finance: Review And Applications
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500201
HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500249
STATISTICS of VIX FUTURES and APPLICATIONS to TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024918500619
An Arithmetic Pure-Jump Multi-Curve Interest Rate Model
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.2139/SSRN.2817816
DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500067
SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s0219024919500389
Equilibrium Asset Returns In Financial Markets
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024918500632
SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500043
AMERICAN OPTIONS AND INCOMPLETE INFORMATION
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s0219024919500353
MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s0219024918500589
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500237
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500092
SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500055
Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500298
HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s021902491950047x
BORROWING CAPACITY, FINANCIAL INSTABILITY, AND CONTAGION
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024918500607
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500031
PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500328
MEASURING DEFAULT RISK FOR A PORTFOLIO OF EQUITIES
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500122
Penalty American Options
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500018
MULTI-CURRENCY CREDIT DEFAULT SWAPS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500183
A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500158
Multidimensional Calibration Of Crude Oil And Refined Products Via Semidefinite Programming Techniques
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024918500565
SINGULAR PERTURBATION EXPANSION for UTILITY MAXIMIZATION with ORDER-∈ QUADRATIC TRANSACTION COSTS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500390
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500146
MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500195
NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s0219024919500407
Conditional Monte Carlo Scheme For Stable Greeks Of Worst-Of Autocallable Notes
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500286
CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S021902491950033X
Market Price of Trading Liquidity Risk and Market Depth
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500456
AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s0219024919500444
THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500250
CREDIT SPREAD AND LIQUIDATION VALUE-BASED DEBT FINANCING CONSTRAINT
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500213
HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500262
HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024918500577
PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/S0219024919500225
GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS
来源期刊:International Journal of Theoretical and Applied FinanceDOI:10.1142/s0219024919500468