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Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

Does model misspecification matter for hedging? : a computational finance experiment based approach

Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011403136

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202

The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index

Hambly, Ben; Vaicenavicius, Juozas - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10011403929

VIX derivatives valuation and estimation based on closed-form series expansions

Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011923012

On the multiplicity of option prices under CEV with positive elasticity of variance

Veestraeten, Dirk - In: Review of derivatives research 20 (2017) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011928028

Hedging of options in the presence of jump clustering

Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35

Persistent link: https://www.econbiz.de/10011988188

Derivatives trading for insurers

Xue, Xiaole; Wei, Pengyu; Weng, Chengguo - In: Insurance / Mathematics & economics 84 (2019), pp. 40-53

Persistent link: https://www.econbiz.de/10011990431

Tempered stable process, first passage time, and path-dependent option pricing

Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215

Persistent link: https://www.econbiz.de/10011993461

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386