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SYMMETRIES IN LÉVY TERM STRUCT...
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Stochastic process
Option pricing theory
30
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30
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Stochastischer Prozess
27
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19
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Eberlein, Ernst
20
Papapantoleon, Antonis
8
Madan, Dilip B.
7
Gerhart, Christoph
3
Glau, Kathrin
3
Grbac, Zorana
3
Pistorius, Martijn
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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ECONIS (ZBW)
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Analyticity of the Wiener-Hopf Factors and valuation of exotic options in Lévy models
Eberlein, Ernst
;
Glau, Kathrin
;
Papapantoleon, Antonis
- In:
Advanced mathematical methods for finance
,
(pp. 223-245)
.
2011
Persistent link: https://www.econbiz.de/10008991291
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2
Jump-type Lévy processes
Eberlein, Ernst
- In:
Handbook of financial time series
,
(pp. 439-455)
.
2009
Persistent link: https://www.econbiz.de/10003833976
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3
Picard approximation of stochastic differential equations and application to LIBOR models
Papapantoleon, Antonis
;
Skovmand, David
-
2010
Persistent link: https://www.econbiz.de/10008651711
Saved in:
4
Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
-
2011
Persistent link: https://www.econbiz.de/10009152332
Saved in:
5
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
6
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
7
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
8
Model uncertainty, improved Fréchet-Hoeffding bounds and applications in mathematical finance
Lux, Thibaut
-
2017
Persistent link: https://www.econbiz.de/10012194488
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9
Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Papapantoleon, …
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 43-86
Persistent link: https://www.econbiz.de/10014487037
Saved in:
10
The generalized hyperbolic model : financial derivatives and risk measures
Eberlein, Ernst
;
Prause, Karsten
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 245-267)
.
2002
Persistent link: https://www.econbiz.de/10001679450
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