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International journal of theoretical and applied finance
Applied economics
9
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Physica A: Statistical Mechanics and its Applications
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1
A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Lipton, Alexander
;
López de Prado, Marcos M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496922
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2
Old problems, classical methods, new solutions
Lipton, Alexander
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012284595
Saved in:
3
A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Lejay, Antoine
;
Pigato, Paolo
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012030906
Saved in:
4
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
5
Hurst exponents and delampertized fractional Brownian motions
Garcin, Matthieu
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012153029
Saved in:
6
Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin
;
Leung, Tim
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011846482
Saved in:
7
Pricing temperature derivatives under weather forecasts
Hess, Markus
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
Saved in:
8
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Sass, Jörn
;
Westphal, Dorothee
;
Wunderlich, Ralf
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011687059
Saved in:
9
Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011523937
Saved in:
10
On the Heston model with stochastic correlation
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011572381
Saved in:
11
Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
Saved in:
12
Optimal mean reversion trading with transaction costs and stop-loss exit
Leung, Tim
;
Li, Xin
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403754
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13
A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M.
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 211-240
Persistent link: https://www.econbiz.de/10008860410
Saved in:
14
Implication of the Kelly criterion for multi-dimensional processes
Lv, Yingdong
;
Meister, Bernhard K.
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 93-112
Persistent link: https://www.econbiz.de/10008860421
Saved in:
15
Cross hedging within a log mean reverting model
Njoh, Samuel
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 887-914
Persistent link: https://www.econbiz.de/10003564685
Saved in:
16
Parameter estimation for a regime-switching mean-reverting model with jumps
Wu, Ping
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
8
(
2005
)
6
,
pp. 791-806
Persistent link: https://www.econbiz.de/10003133883
Saved in:
17
Mean reversion in the Spanish market prices using fractionally integrated semiparametric techniques
DePeña, Francisco Javier
;
Gil-Alaña, Luis A.
- In:
International journal of theoretical and applied finance
5
(
2002
)
6
,
pp. 645-657
Persistent link: https://www.econbiz.de/10001743195
Saved in:
18
From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
Saved in:
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