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Option pricing: Why be backward? The authors apply so-called forward methods to the pricing of continuously exercisable American-style put options. developing a forward partial integro-differential equation within a jump diffusion framework.
Carr, Peter; Hirsa, Ali - In: Risk : managing risk in the world's financial markets 16 (2003) 1, pp. 103-108
Persistent link: https://www.econbiz.de/10007033990
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Domestic currency emerging market bonds pricing and risk management aspects
Neftci, Salih N. - In: Revista de análisis económico 15 (2000) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10009943870
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Pricing and Hedging of Contingent Credit Lines
Loukoianova, Elena; Neftci, Salih; Sharma, Sunil - In: The journal of derivatives : the official publication … 14 (2007) 3, pp. 61-79
Persistent link: https://www.econbiz.de/10007723406
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Books: Review Foreign Exchange Risk Models, Instruments and Strategies.
Neftci, Salih; Hakala, Jürgen; Wystup, Uwe - In: Risk : managing risk in the world's financial markets 16 (2003) 1, pp. 74
Persistent link: https://www.econbiz.de/10007033995
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STRESS TESTING: THE RELATIVITY OF VOLATILITY - How to use extreme value theory to parameterise extreme levels of volatility. in an interest rates context.
Bali, Turan; Neftci, Salih - In: Risk : managing risk in the world's financial markets 14 (2001) 4, pp. 91-94
Persistent link: https://www.econbiz.de/10007043792
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Excessive variation in risk-factor correlations and volatilities
Bali, Turan G.; Genberg, Hans; Neftci, Salih N. - In: The journal of futures markets 22 (2002) 12, pp. 1119-1146
Persistent link: https://www.econbiz.de/10006824495
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An introduction to the mathematics of financial derivatives
Neftci, Salih N.; Jorion, Philippe - In: Journal of economic literature 36 (1998) 1, pp. 255
Persistent link: https://www.econbiz.de/10006848703
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Value at Risk Calculations, Extreme Events, and Tail Estimation
Neftci, Salih N. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 23-38
Persistent link: https://www.econbiz.de/10005960433
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Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?
Neftci, Salih N. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 215-224
Persistent link: https://www.econbiz.de/10008224921
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Swap curve dynamics across markets: Case of US dollar versus HK dollar
Huang, Ying; Neftci, Salih N.; Guo, Feng - In: Journal of international financial markets, … 18 (2008) 1, pp. 79-93
Persistent link: https://www.econbiz.de/10007893947