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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of economic dynamics & control
The journal of futures markets
390
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177
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ECONIS (ZBW)
148
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1
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
2
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
3
Investing in electricity production under a reliability options scheme
Fontini, Fulvio
;
Vargiolu, Tiziano
;
Zormpas, Dimitrios
- In:
Journal of economic dynamics & control
126
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012667919
Saved in:
4
CDS Returns
Augustin, Patrick
;
Saleh, Fahad
;
Xu, Haohua
- In:
Journal of economic dynamics & control
118
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012503412
Saved in:
5
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
6
Perturbations in DSGE models : an odd derivatives theorem
Lott, Sherwin
- In:
Journal of economic dynamics & control
106
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012131998
Saved in:
7
Evolution of real estate derivatives and their pricing
Fabozzi, Frank J.
;
Shiller, Robert J.
;
Tunaru, Radu
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 7-21
Persistent link: https://www.econbiz.de/10012306146
Saved in:
8
The second partial derivative of option price with respect to the strike : a historical reminiscence
Zimmermann, Heinz
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 81-87
Persistent link: https://www.econbiz.de/10011941351
Saved in:
9
Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Chiang, Mi-Hsiu
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
Saved in:
10
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
Saved in:
11
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
12
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
13
Interest rate swaps and corporate default
Jermann, Urban J.
;
Yue, Vivian Z.
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 104-120
Persistent link: https://www.econbiz.de/10011973928
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14
Comments on "exploiting MIT shocks in heterogeneous-agent economies : the impulse response as a numerical derivative" by T. Boppart, P. Krusell and K. Mitman
Reiter, Michael
- In:
Journal of economic dynamics & control
89
(
2018
),
pp. 93-99
Persistent link: https://www.econbiz.de/10011973961
Saved in:
15
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
16
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
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17
Equal risk pricing under convex trading constraints
Guo, Ivan
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
76
(
2017
),
pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
Saved in:
18
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
19
Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien
;
Labart, Celine
;
Lelong, Jerome
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 366-394
Persistent link: https://www.econbiz.de/10011577160
Saved in:
20
High-order short-time expansions for ATM option prices of exponential Lévy models
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 516-557
Persistent link: https://www.econbiz.de/10011583594
Saved in:
21
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
22
Bessel processes, stochastic volatility, and timer options
Li, Chenxu
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 122-148
Persistent link: https://www.econbiz.de/10011550172
Saved in:
23
The implied convexity of VIX futures
Daigler, Robert T.
;
Dupoyet, Brice
;
Patterson, Fernando M.
- In:
The journal of derivatives : the official publication …
23
(
2016
)
3
,
pp. 73-90
Persistent link: https://www.econbiz.de/10011687233
Saved in:
24
Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain
;
Mostoufi, Mina
;
Vyncke, David
- In:
The journal of derivatives : the official publication …
24
(
2016
)
1
,
pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
Saved in:
25
Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
Saved in:
26
Directional trading across stock limit order book and options markets
Wang, Qin
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 88-97
Persistent link: https://www.econbiz.de/10011687337
Saved in:
27
A new model for pricing collateralized financial derivatives
Xiao, Tim
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 8-20
Persistent link: https://www.econbiz.de/10011687345
Saved in:
28
The effect of trading futures on short sale constraints
Jarrow, Robert A.
;
Protter, Philip E.
;
Pulido, Sergio
- In:
Mathematical finance : an international journal of …
25
(
2015
)
2
,
pp. 311-338
Persistent link: https://www.econbiz.de/10011350630
Saved in:
29
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
30
Risk-neutral valuation of real estate derivatives
Bragt, David van
;
Francke, Marc K.
;
Singor, Stefan N.
; …
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 89-110
Persistent link: https://www.econbiz.de/10011399817
Saved in:
31
Electricity derivatives pricing with forward-looking information
Füss, Roland
;
Mahringer, Steffen
;
Prokopczuk, Marcel
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 34-57
Persistent link: https://www.econbiz.de/10011574636
Saved in:
32
Bilateral counterparty risk under funding constraints - part II : CVA
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011347256
Saved in:
33
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
Saved in:
34
Valuation of stock loans with jump risk
Cai, Ning
;
Sun, Lihua
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
Saved in:
35
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
36
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
Saved in:
37
Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo
;
Pagnoncelli, Bernardo K.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 110-118
Persistent link: https://www.econbiz.de/10011311414
Saved in:
38
Convex risk measures for good deal bounds
Arai, Takuji
;
Fukasawa, Masaaki
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
Saved in:
39
Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua
;
Chiarella, Carl
;
Kalev, Petko S.
- In:
Journal of economic dynamics & control
47
(
2014
),
pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
Saved in:
40
Black-scholes representation for Asian options
Večeř, Jan
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
Saved in:
41
Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
Saved in:
42
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
Saved in:
43
The VIX futures basis : evidence and trading strategies
Simon, David P.
;
Campasano, Jim
- In:
The journal of derivatives : the official publication …
21
(
2014
)
3
,
pp. 54-69
Persistent link: https://www.econbiz.de/10010387686
Saved in:
44
Game call options revisited
Yam, Sheung Chi Phillip
;
Yung, S. P.
;
Zhou, Wei
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 173-206
Persistent link: https://www.econbiz.de/10010256173
Saved in:
45
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
46
No-arbitrage pricing under systeme risk : accounting for cross-ownership
Fischer, Tom
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 97-124
Persistent link: https://www.econbiz.de/10010256220
Saved in:
47
Financial innovation and bank behavior : evidence from credit markets
Norden, Lars
;
Silva Buston, Consuelo
;
Wagner, Wolf
- In:
Journal of economic dynamics & control
43
(
2014
),
pp. 130-145
Persistent link: https://www.econbiz.de/10010470135
Saved in:
48
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
49
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
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50
Recovering portfolio default intensities implied by CDO quotes
Cont, Rama
;
Minca, Andreea
- In:
Mathematical finance : an international journal of …
23
(
2013
)
1
,
pp. 94-121
Persistent link: https://www.econbiz.de/10009712557
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