Narrow search
Showing 1 - 10 of 6,253
Cover Image
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 - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
Cover Image
A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
Cover Image
Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
Cover Image
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Cover Image
Simplified stochastic calculus with applications in economics and finance
Černý, Aleš; Ruf, Johannes - In: European journal of operational research : EJOR 293 (2021) 2, pp. 547-560
Persistent link: https://www.econbiz.de/10012513216
Cover Image
Optimizing bounds on security prices in incomplete markets : does stochastic volatility specification matter?
Marroquín-Martínez, Naroa; Moreno, Manuel - In: European journal of operational research : EJOR 225 (2013) 3, pp. 429-442
Persistent link: https://www.econbiz.de/10009706918
Cover Image
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren; Borovkova, Svetlana; … - In: European journal of operational research : EJOR 298 (2022) 2, pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Cover Image
A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok; Kim, Taekkeun; Jo, Jaehyun; Choi, Yongho; … - In: European journal of operational research : EJOR 252 (2016) 1, pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
Cover Image
Panel data stochastic frontier model with determinants of persistent and transient inefficiency
Lai, Hung-pin; Kumbhakar, Subal - In: European journal of operational research : EJOR 271 (2018) 2, pp. 746-755
Persistent link: https://www.econbiz.de/10011890405
Cover Image
Combining stochastic DEA with Bayesian analysis to obtain statistical properties of the efficiency scores : an application to Greek public hospitals
Mitropoulos, Panagiotis; Talias, Μichael A.; … - In: European journal of operational research : EJOR 243 (2015) 1, pp. 302-311
Persistent link: https://www.econbiz.de/10010492956