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Option pricing: past, present, future ; introduction

Hughston, Lane P. - In: Options : classic approaches to pricing and modelling, (pp. XIII-XVIII). 1999

Persistent link: https://www.econbiz.de/10001772442

The new interest rate models

Hughston, Lane P. (ed.) - 2000

Persistent link: https://www.econbiz.de/10001522106

Options : classic approaches to pricing and modelling

Hughston, Lane P. (ed.) - 1999

Persistent link: https://www.econbiz.de/10013552260

Modelling information flows in financial markets

Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea - In: Advanced mathematical methods for finance, (pp. 133-153). 2011

Persistent link: https://www.econbiz.de/10008991316

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10009562159

Lévy-Vasicek models and the long-bond return process

Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10011889447

Special issue on Barcelona workshop on mathematical finance

Corcuera, José Manuel (ed.); Schoutens, Wim (ed.); … - Barcelona Workshop on Mathematical Finance <2017, Barcelona> - 2018

Persistent link: https://www.econbiz.de/10011894050

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...

Persistent link: https://www.econbiz.de/10008797695

Determination of the Lévy exponent in asset pricing models

Bouzianis, George; Hughston, Lane P. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012012832

Optimal hedging in incomplete markets

Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287

Persistent link: https://www.econbiz.de/10012425323