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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn, (2015)
Credit risk modelling and credit derivatives
Schönbucher, Philipp J., (2000)
Pricing derivative credit risk
Ammann, Manuel, (1998)
Dynamic portfolio strategies : quantitative methods and empirical rules for incomplete information
Dokučaev, Nikolaj G., (2002)
Optimality of myopic strategies for multi-stock discrete time market with management costs
Dokučaev, Nikolaj G., (2010)
Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G., (2011)