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International journal of theoretical and applied finance
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74
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1
Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
Fukasawa, Masaaki
;
Ohnishi, Masamitsu
;
Shimoshimizu, Makoto
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-43
Persistent link: https://www.econbiz.de/10012662027
Saved in:
2
Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
3
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
4
Robust bounds for derivative prices in markovian models
Sester, Julian
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012271014
Saved in:
5
Defaultable claims in switching models with partial information
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
Saved in:
6
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
7
The potential approach in practice
Kluge, Tino
;
Rogers, Leonard C. G.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011889513
Saved in:
8
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
9
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
10
Optimal asset allocation with stochastic interest rates in regime-switching models
Ye, C.
;
Liu, Rui Hua
;
Ren, D.
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011903782
Saved in:
11
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
12
Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
Safarov, Nemat
;
Atkinson, Colin
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011686797
Saved in:
13
On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter
;
Williams, Gareth
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
Saved in:
14
Selling at the ultimate maximum in a regime-switching model
Liu, Yue
;
Privault, Nicolas
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011686946
Saved in:
15
Stationary distribution of the volume at the best quote in a poisson order book model
Toke, Ioane Muni
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011734357
Saved in:
16
Optimal control of an energy storage facility under a changing economic environment and partial information
Shardin, Anton A.
;
Szölgyenyi, Michaela
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011523933
Saved in:
17
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
18
Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Assonken, Patrick
;
Ladde, Gangaram S.
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-72
Persistent link: https://www.econbiz.de/10011419362
Saved in:
19
Optimal credit allocation under regime uncertainty with sensitivity analysis
Bernis, Guillaume
;
Carassus, Laurence
;
Docq, Grégoire
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011403164
Saved in:
20
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
21
Portfolio optimization in affine models with Markov switching
Escobar, Marcos
;
Neykova, Daniela
;
Zagst, Rudi
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-46
Persistent link: https://www.econbiz.de/10011403855
Saved in:
22
Heat kernel models for asset pricing
Macrina, Andrea
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
Saved in:
23
An improved Markov chain approximation methodology : derivatives pricing and model calibration
Lo, Chia Chun
;
Skindilias, Konstantinos
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-22
Persistent link: https://www.econbiz.de/10010498837
Saved in:
24
A finite-horizon optimal investment and consumption problem using regime-switching models
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010391500
Saved in:
25
The number of regimes across asset returns : identification and economic value
Gatumel, Mathieu
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010438505
Saved in:
26
Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
27
Explosive behavior in a log-normal interest rate model
Pirjol, Dan
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
Saved in:
28
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
29
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
30
Real options with priced regime-switching risk
Driffill, John
;
Kenç, Turalay
;
Sola, Martin
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009784006
Saved in:
31
A mathematical approach to order book modeling
Abergel, Frédéric
;
Jedidi, Aymen
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
Saved in:
32
Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V.
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
Saved in:
33
Portfolio optimization under partial information with expert opinions
Frey, Rüdiger
;
Gabih, Abdelali
;
Wunderlich, Ralf
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
Saved in:
34
Heat kernel interest rate models with time-inhomogeneous Markov processes
Akahori, Jirô
;
Macrina, Andrea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10009562139
Saved in:
35
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
36
Pricing of unemployment insurance products with doubly stochastic Markov chains
Biagini, Francesca
;
Widenmann, Jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624472
Saved in:
37
Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia
;
Minozzo, Marco
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
Saved in:
38
The wishart short rate model
Gnoatto, Alessandro
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706330
Saved in:
39
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
40
A non-homogeneous semi-Markov reward model for the credit spread computation
D'Amico, Guglielmo
;
Janssen, Jacques
;
Manca, Raimondo
- In:
International journal of theoretical and applied finance
14
(
2011
)
2
,
pp. 221-238
Persistent link: https://www.econbiz.de/10008992173
Saved in:
41
Volatility derivatives in market models with jumps
Lo, Harry
;
Mijatovi´c, Aleksandar
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
Saved in:
42
New numerical scheme for pricing American option with regime-switching
Khaliq, Abdul Q. M.
;
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
12
(
2009
)
3
,
pp. 319-340
Persistent link: https://www.econbiz.de/10003867406
Saved in:
43
A "coherent state transform" approach to derivative pricing
Perissinotto, Ludovico
;
Tebaldi, Claudio
- In:
International journal of theoretical and applied finance
12
(
2009
)
2
,
pp. 125-151
Persistent link: https://www.econbiz.de/10003855755
Saved in:
44
Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B.
- In:
International journal of theoretical and applied finance
12
(
2009
)
5
,
pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
Saved in:
45
Barrier option pricing by branching processes
Mitov, Georgi K.
;
Račev, Svetlozar T.
;
Kim, Young Shin
; …
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
Saved in:
46
A dynamic approach to the modeling of correlation credit derivatives using Markov chains
Di Graziano, Giuseppe
;
Rogers, Leonard C. G.
- In:
International journal of theoretical and applied finance
12
(
2009
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10003847557
Saved in:
47
Investment timing under regime switching
Elliott, Robert J.
;
Miao, Hong
;
Yu, Jin
- In:
International journal of theoretical and applied finance
12
(
2009
)
4
,
pp. 443-463
Persistent link: https://www.econbiz.de/10003879069
Saved in:
48
Markovian projection onto a displaced diffusion : generic formulas with applications
Antonov, A.
;
Misirpashaev, T.
- In:
International journal of theoretical and applied finance
12
(
2009
)
4
,
pp. 507-522
Persistent link: https://www.econbiz.de/10003879083
Saved in:
49
On finite dimensional realizations for the term structure of futures prices
Björk, Tomas
;
Blix, Magnus
;
Landén, Camilla
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 281-314
Persistent link: https://www.econbiz.de/10003344282
Saved in:
50
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
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