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~person:"Fusai, Gianluca"
~person:"Jarrow, Robert A."
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Optionspreistheorie
67
Option pricing theory
66
Theorie
37
Theory
37
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25
Option trading
24
Derivat
22
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22
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Fusai, Gianluca
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Fabozzi, Frank J.
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Madan, Dilip B.
104
Chiarella, Carl
91
Härdle, Wolfgang
87
Carr, Peter
86
Cui, Zhenyu
75
Jacobs, Kris
72
Joshi, Mark S.
70
Schoutens, Wim
70
Takahashi, Akihiko
69
Hull, John
68
Subrahmanyam, Marti G.
65
Stentoft, Lars
63
Elliott, Robert J.
55
Wu, Liuren
52
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48
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47
Benth, Fred Espen
46
Perrakis, Stylianos
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45
Zhang, Jin E.
45
Korn, Ralf
44
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44
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43
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42
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42
Chen, Ren-Raw
41
Ryu, Doojin
41
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41
Siu, Tak Kuen
40
Barone-Adesi, Giovanni
39
Christoffersen, Peter F.
39
Lehnert, Thorsten
39
Kim, Young Shin
38
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37
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37
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Review of derivatives research
6
European journal of operational research : EJOR
5
Johnson School Research Paper Series
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1
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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
1
International journal of theoretical and applied finance
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of Banking & Finance
1
Journal of economic dynamics & control
1
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1
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1
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1
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Rethinking the financial crisis
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ECONIS (ZBW)
98
USB Cologne (EcoSocSci)
3
RePEc
2
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1
Spread Options on Commodity Prices
Frau, Carme
;
Fusai, Gianluca
;
Kyriakou, Ioannis
-
2022
literature. We follow different methodologies for
option
valuation, and compare accuracy and processing times obtained using each …
Persistent link: https://www.econbiz.de/10013404951
Saved in:
2
Fluctuation Identities with Continuous Monitoring and Their Application to Price Barrier Options
Phelan, Carolyn
-
2018
We present a numerical scheme to calculate fluctuation identities for exponential L'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult case of the two-barriers exit problem. These identities...
Persistent link: https://www.econbiz.de/10012931867
Saved in:
3
Modeling fixed income securities and interest rate options
Jarrow, Robert A.
-
2020
-
Third edition
"The third edition of this popular textbook offers several new updates. The book presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models. The author's pricing model is widely...
Persistent link: https://www.econbiz.de/10012098809
Saved in:
4
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
5
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
Fusai, Gianluca
-
2016
We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous average in a general model setting by means of a lower bound approximation. In particular, we derive analytical expressions for the lower bound in the Fourier domain. This is then recovered by a...
Persistent link: https://www.econbiz.de/10012993001
Saved in:
6
An explosion time characterization of asset price bubbles
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 469-479
Persistent link: https://www.econbiz.de/10014326312
Saved in:
7
Volatility Uncertainty, Time Decay, and
Option
Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy
-
2017
an increasing rate as the
option
's maturity date approaches. To explain this stylized fact, this paper provides a market … aforementioned phenomenon where risk averse and competitive
option
market makers quote bid and ask prices to minimize their inventory …
Persistent link: https://www.econbiz.de/10012974407
Saved in:
8
Volatility uncertainty, time decay, and
option
bid-ask spreads in an incomplete market
Hsieh, PeiLin
;
Jarrow, Robert A.
- In:
Management science : journal of the Institute for …
65
(
2019
)
4
,
pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
Saved in:
9
Asian Options with Jumps
Marena, Marina
-
2015
-2045]. A few tests based on commodity price data assess the importance of introducing a jump component on the resulting
option
…
Persistent link: https://www.econbiz.de/10013012271
Saved in:
10
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
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