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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann; Grunspan, Cyril - In: European journal of operational research : EJOR 249 (2016) 1, pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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Pricing derivatives with counterparty risk and collateralization : a fixed point approach
Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539
Persistent link: https://www.econbiz.de/10011436733
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Optimal search for parameters in Monte Carlo simulation for derivative pricing
Wang, Chuan-Ju; Kao, Ming-Yang - In: European journal of operational research : EJOR 249 (2016) 2, pp. 683-690
Persistent link: https://www.econbiz.de/10011436827
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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10011441684
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An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
Weng, Chengfeng; Wang, Xiaoqun; He, Zhijian - In: European journal of operational research : EJOR 254 (2016) 1, pp. 304-311
Persistent link: https://www.econbiz.de/10011503307
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Supply chain network equilibrium with strategic financial hedging using futures
Liu, Zugang; Wang, Jia - In: European journal of operational research : EJOR 272 (2019) 3, pp. 962-978
Persistent link: https://www.econbiz.de/10011942697
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Wavelet-based option pricing : an empirical study
Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
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Robust portfolio selection problem under temperature uncertainty
Gülpınar, Nalân; Çanakoḡlu, Ethem - In: European journal of operational research : EJOR 256 (2017) 2, pp. 500-523
Persistent link: https://www.econbiz.de/10011612035
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New results on high-order risk changes
Menegatti, Mario - In: European journal of operational research : EJOR 243 (2015) 2, pp. 678-681
Persistent link: https://www.econbiz.de/10010509993