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Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51
Persistent link: https://www.econbiz.de/10009783994
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Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B. - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
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Measuring and monitoring the efficiency of markets
Madan, Dilip B.; Schoutens, Wim; Wang, King - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787482
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Pricing of an index-linked swaption
Henjes, Katja - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 591
Persistent link: https://www.econbiz.de/10001524494
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Time-varying risk premia in emerging markets : explanation by a multi-factor affine term structure model
Almeida, Caio - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 919-947
Persistent link: https://www.econbiz.de/10002420784