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Hedge portfolios in markets with price discontinuities
Cheang, Gerald H. L.; Chiarella, Carl - 2008
Persistent link: https://www.econbiz.de/10003856801
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The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines
Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - 2008
Persistent link: https://www.econbiz.de/10003856817
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Distributional deviations in random number generation in finance
Chavez, Sergio; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857127
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008
Persistent link: https://www.econbiz.de/10003857131
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A visual classification of local martingales
Hulley, Hardy; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857178
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On explicit probability laws for classes of scalar diffusions
Craddock, Mark; Platen, Eckhard - 2009
Persistent link: https://www.econbiz.de/10003857525
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Lie symmetry methods for multidimensional linear, parabolic PDES and diffusions
Craddock, Mark; Lennox, Kelly A. - 2010
Persistent link: https://www.econbiz.de/10008662183
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A visual criterion for identifying Itô diffusions as martingalesor strict local martingales
Hulley, Hardy; Platen, Eckhard - 2009
Persistent link: https://www.econbiz.de/10008662355
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Exact scenario simulation for selected multi-dimensional stochastic processes
Platen, Eckhard; Rendek, Renata - 2009
Persistent link: https://www.econbiz.de/10008662360
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Quasi-exact approximation of hidden Markov chain filters
Platen, Eckhard; Rendek, Renata - 2009
Persistent link: https://www.econbiz.de/10008662361