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Pricing derivatives using the asymptotic expansion approach : credit migration models with stochastic credit spreads

Muroi, Yoshifumi; Takino, E. Kazuhiro - In: Asia-Pacific financial markets 18 (2011) 4, pp. 345-372

Persistent link: https://www.econbiz.de/10009348324

A recombining lattice option pricing model that relaxes the assumption of lognormality

Ji, Dasheng; Brorsen, Wade - In: Review of derivatives research 14 (2011) 3, pp. 349-367

Persistent link: https://www.econbiz.de/10009349984

Wavelet optimized valuation of financial derivatives

Wiart, B. Carton de; Dempster, Michael A. H. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1113-1137

Persistent link: https://www.econbiz.de/10009407662

Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains

Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011

Persistent link: https://www.econbiz.de/10008991278

Pricing interest rate derivatives under stochastic volatility

Tahani, Nabil; Li, Xiaofei - In: Managerial finance 37 (2011) 1, pp. 72-91

Persistent link: https://www.econbiz.de/10009007106

Tracking errors from discrete hedging in exponential Lévy models

Brodén, Mats; Tankov, Peter - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 803-837

Persistent link: https://www.econbiz.de/10009381005

On the term structure of futures and forward prices

Björk, Tomas; Landén, Camilla - 2000 - Rev. December 20, 2000

We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the...

Persistent link: https://www.econbiz.de/10009502719

A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue

Sarhangian, Vahid; Balcıog˜lu, Barış - In: Operations research letters 41 (2013) 6, pp. 659-663

Persistent link: https://www.econbiz.de/10010236055

Weather derivatives with applications to Canadian data

Sviščuk, Anatolij; Cui, Kaijie - In: Journal of mathematical finance 3 (2013) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10010240221

Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models

Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525

Persistent link: https://www.econbiz.de/10010191968

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