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Option pricing theory
3
Optionspreistheorie
3
Stochastic process
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Stochastischer Prozess
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Lévy processes
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Barrier contracts
1
Black-Scholes model
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Fast fourier transform
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Financial services
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Gas industry
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Gas storage valuation
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Gaswirtschaft
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Implied moments calibration
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Kreditrisiko
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Lagermanagement
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Lévy Processes
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Mean reverting variance gamma processes
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Multifactor Lévy processes
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Natural gas
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Recovery Risk
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Risikomanagement
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Risk management
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Structural Defaults
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Barbachan, José Santiago Fajardo
1
Castellano, Rosella
1
Corallo, Vincenzo
1
Cui, Zhenyu
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Cummins, Mark
1
Elliott, Robert J.
1
Kiely, Greg
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Lian, Guanghua
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Journal of banking & finance
International journal of theoretical and applied finance
22
Finance and Stochastics
20
Stochastic Processes and their Applications
19
International Journal of Theoretical and Applied Finance (IJTAF)
18
Risk-Sensitive Investment Management
15
Applied mathematical finance
13
Physica A: Statistical Mechanics and its Applications
12
Insurance / Mathematics & economics
8
Finance and stochastics
7
Quantitative Finance
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Quantitative finance
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European journal of operational research : EJOR
6
International journal of financial engineering
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MPRA Paper
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Applied Mathematical Finance
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CREATES Research Papers
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Carlo Alberto Notebooks
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Operations research letters
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Risks
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Risks : open access journal
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Statistics & Probability Letters
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The journal of computational finance
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IBMEC RJ Economics Discussion Papers
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Mathematics of operations research
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Review of derivatives research
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The European journal of finance
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Asia-Pacific financial markets
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Bonn Econ Discussion Papers
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Computational Statistics
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Computational economics
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Economics Papers from University Paris Dauphine
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Mathematical Methods of Operations Research
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Review of Derivatives Research
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Studies in Nonlinear Dynamics & Econometrics
3
Working Papers / HAL
3
Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Annals of Finance
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ECONIS (ZBW)
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1
Structural estimation of counterparty credit risk under recovery risk
Castellano, Rosella
;
Corallo, Vincenzo
;
Morelli, Giacomo
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013463128
Saved in:
2
Gas storage valuation under multifactor
Lévy
processes
Cummins, Mark
;
Kiely, Greg
;
Murphy, Bernard
- In:
Journal of banking & finance
95
(
2018
),
pp. 167-184
Persistent link: https://www.econbiz.de/10011966740
Saved in:
3
Semi-analytical valuation for discrete barrier options under time-dependent
Lévy
processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
4
Barrier style contracts under
Lévy
processes
: an alternative approach
Barbachan, José Santiago Fajardo
- In:
Journal of banking & finance
53
(
2015
),
pp. 179-187
Persistent link: https://www.econbiz.de/10011377718
Saved in:
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