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Pricing and risk management of interest rate swaps
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111
Persistent link: https://www.econbiz.de/10009734148
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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
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Risk minimisation using options and risky assets
Mohd Azdi Maasar; Roman, Diana; Date, Paresh - In: Operational research : an international journal 22 (2022) 1, pp. 485-506
Persistent link: https://www.econbiz.de/10013173306
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Does uncertainty affect the limits of arbitrage? : evidence from the U.S. stock markets
Chen, Weihua; Mamon, Rogemar; Xiong, Heng; Zeng, Pingping - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015134971
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An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
Zhao, Yixing; Mamon, Rogemar - In: Insurance / Mathematics & economics 78 (2018), pp. 1-12
Persistent link: https://www.econbiz.de/10011825060
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Stock market returns and climate risk in the US
Chen, Yiyang; Mamon, Rogemar; Spagnolo, Fabio; … - In: Journal of multinational financial management 77 (2025), pp. 1-20
Persistent link: https://www.econbiz.de/10015330166
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Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
Huang, Yiming; Mamon, Rogemar; Xiong, Heng - In: Insurance / Mathematics & economics 103 (2022), pp. 1-26
Persistent link: https://www.econbiz.de/10013198316