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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
European journal of operational research : EJOR
643
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324
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282
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ECONIS (ZBW)
67
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1
Pricing American options with jumps in asset and volatility
Taruvinga, Blessing
;
Kang, Boda
;
Nikitopoulos, …
-
2019
-
Updated January 2019
Persistent link: https://www.econbiz.de/10013255767
Saved in:
2
Regime switching rough Heston model
Alfeus, Mesias
;
Overbeck, Ludger
-
2018
Persistent link: https://www.econbiz.de/10011778197
Saved in:
3
Fast quantization of stochastic volatility models
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
-
2017
Persistent link: https://www.econbiz.de/10011778174
Saved in:
4
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
5
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
Saved in:
6
A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778099
Saved in:
7
Hedging futures options with stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778107
Saved in:
8
Lie symmetry methods for local volatility models
Craddock, Mark
;
Grasselli, Martino
-
2016
Persistent link: https://www.econbiz.de/10011778123
Saved in:
9
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
10
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344233
Saved in:
11
Stochastic switching for partially observable dynamics and optimal asset allocation
Hinz, Juri
-
2015
Persistent link: https://www.econbiz.de/10011344246
Saved in:
12
Algorithms for optimal control of stochastic switching systems
Hinz, Juri
;
Yap, Nicholas
-
2015
Persistent link: https://www.econbiz.de/10011344332
Saved in:
13
Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2015
Persistent link: https://www.econbiz.de/10011777512
Saved in:
14
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl
;
Griebsch, Susanne
;
Kang, Boda
-
2013
Persistent link: https://www.econbiz.de/10009744645
Saved in:
15
Representation and numerical approximation of American option prices under Heston stochastic volatility dynamics
Adolfsson, Thomas
;
Chiarella, Carl
;
Ziogas, Andrew
; …
-
2013
Persistent link: https://www.econbiz.de/10009725619
Saved in:
16
Approximate hedging of options under jump-diffusion processes
Mina, Karl
;
Cheang, Gerald H. L.
;
Chiarella, Carl
-
2013
Persistent link: https://www.econbiz.de/10010245506
Saved in:
17
Leveraged investments and agency conflicts when prices are mean reverting
Glover, Kristoffer J.
;
Hambusch, Gerhard
-
2012
Persistent link: https://www.econbiz.de/10009626029
Saved in:
18
Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan
;
Roberts, Dale
-
2012
Persistent link: https://www.econbiz.de/10009564454
Saved in:
19
Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Baldeaux, Jan
;
Badran, Alexander
-
2012
Persistent link: https://www.econbiz.de/10009564457
Saved in:
20
Fractal market time
McCulloch, James
-
2012
Persistent link: https://www.econbiz.de/10009613963
Saved in:
21
A stochastic approach to the valuation of barrier options in Heston's stochastic volatility model
Griebsch, Susanne A.
;
Pilz, Kay Frederik
-
2012
Persistent link: https://www.econbiz.de/10009613984
Saved in:
22
Modeling of oil prices
Du, Ke
;
Platen, Eckhard
;
Rendek, Renata
-
2012
Persistent link: https://www.econbiz.de/10009681979
Saved in:
23
Modern view on Merton’s jump-diffusion model
Cheung, Gerald H. L.
;
Chiarella, Carl
-
2011
Persistent link: https://www.econbiz.de/10009563108
Saved in:
24
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
To, Thuy-duong
-
2011
Persistent link: https://www.econbiz.de/10009564612
Saved in:
25
Three-benchmarked risk minimization for jump diffusion markets
Du, Ke
;
Platen, Eckhard
-
2011
Persistent link: https://www.econbiz.de/10009564615
Saved in:
26
Three-dimensional Brownian motion and the golden ratio rule
Glover, Kris
;
Hulley, Hardy
;
Peskir, Goran
-
2011
Persistent link: https://www.econbiz.de/10009564616
Saved in:
27
Credit derivative pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2011
Persistent link: https://www.econbiz.de/10009564618
Saved in:
28
Two stochastic volatility processes : American option pricing
Chiarella, Carl
;
Ziveyi, Jonathan
-
2011
Persistent link: https://www.econbiz.de/10009564619
Saved in:
29
Affine realizations for Lévy driven interest rate models with real-world forward rate dynamics
Platen, Eckhard
;
Tappe, Stefan
-
2011
Persistent link: https://www.econbiz.de/10009564622
Saved in:
30
The evaluation of multiple year gas sales agreement with regime switching
Chiarella, Carl
;
Clewlow, Les
;
Kang, Boda
-
2011
Persistent link: https://www.econbiz.de/10009564623
Saved in:
31
Dynamics of moving average rules in a continuous-time financial market model
He, Xue-zhong
;
Zheng, Min
-
2010
Persistent link: https://www.econbiz.de/10008662202
Saved in:
32
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
33
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2010
Persistent link: https://www.econbiz.de/10008663092
Saved in:
34
Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl
;
Hsiao, Chih-ying
-
2010
Persistent link: https://www.econbiz.de/10008663099
Saved in:
35
Option valuation in multivariate SABR models
Kienitz, Jörg
;
Wittke, Manuel
-
2010
Persistent link: https://www.econbiz.de/10008662187
Saved in:
36
Exact scenario simulation for selected multi-dimensional stochastic processes
Platen, Eckhard
;
Rendek, Renata
-
2009
Persistent link: https://www.econbiz.de/10008662360
Saved in:
37
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
38
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
39
Empirical behavior of a world stock index from intra-day to monthly time scales
Breymann, Wolfgang
;
Lüthi, David
;
Platen, Eckhard
-
2009
Persistent link: https://www.econbiz.de/10003857529
Saved in:
40
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Cheang, Gerald
;
Chiarella, Carl
;
Ziogas, Andrew
-
2009
Persistent link: https://www.econbiz.de/10009233319
Saved in:
41
Pricing financial derivatives on weather sensitive assets
Filar, Jerzy A.
;
Kang, Boda
;
Korolkiewicz, Malgorzata
-
2008
Persistent link: https://www.econbiz.de/10003857122
Saved in:
42
A stylised model for extreme shocks : four moments of the apocalypse
Brace, Alan
;
Lauer, Mark
;
Rado, Milo
-
2008
Persistent link: https://www.econbiz.de/10003857123
Saved in:
43
Quadratic hedging of basis risk
Hulley, Hardy
;
McWalter, Thomas A.
-
2008
Persistent link: https://www.econbiz.de/10003857124
Saved in:
44
Distributional deviations in random number generation in finance
Chavez, Sergio
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857127
Saved in:
45
Minimizing the expected market time to reach a certain wealth level
Kardaras, Constantinos
;
Platen, Eckhard
-
2008
Persistent link: https://www.econbiz.de/10003857129
Saved in:
46
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
47
Exchange options under jump-diffusion dynamics
Cheang, Gerald H. L.
;
Chiarella, Carl
-
2008
Persistent link: https://www.econbiz.de/10003857157
Saved in:
48
Time delay and noise explaining cyclical fluctuations in prices of commodities
Küchler, Uwe
;
Platen, Eckhard
-
2007
Persistent link: https://www.econbiz.de/10003482142
Saved in:
49
Pricing of defaultable securities in a multi-factor quadratic Gaussian model
Assefa, Samson
-
2007
Persistent link: https://www.econbiz.de/10003685189
Saved in:
50
Optimal VWAP trading strategy and relative volume
McCulloch, James
;
Kazakov, Vladimir
-
2007
Persistent link: https://www.econbiz.de/10003685190
Saved in:
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