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Financial Calculus
Citations
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Cited by:
- Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
- Federico Bandi & Peter C. B. Phillips, 2000. "Accelerated Asymptotics for Diffusion Model Estimation," Econometric Society World Congress 2000 Contributed Papers 1656, Econometric Society.
- Shen, Weixi & Xu, Huiping, 2005. "The valuation of unit-linked policies with or without surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 79-92, February.
- Václav Klepáč & Petr Kříž & David Hampel, 2013. "Real options analysis in the engineering company practice," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2303-2309.
- Richmond, Peter & Sabatelli, Lorenzo, 2004. "Peer pressure and Generalised Lotka Volterra models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 344-348.
- Dan Pirjol, 2013. "Explosive Behavior In A Log-Normal Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-23.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
- Tripe, David & Xia, Bingru & Roberts, Leigh, 2011. "Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience," Working Paper Series 1986, Victoria University of Wellington, School of Economics and Finance.
- Hans Gerber & Elias Shiu, 1997. "On optimal investiment strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 20(2), pages 133-151, September.
- Rockerbie, Duane W. & Easton, Stephen T., 2009. "Commercial banks, default insurance and IMF reforms," Economics Discussion Papers 2009-39, Kiel Institute for the World Economy (IfW Kiel).
- Carl Chiarella & Christina Sklibosios, 2003.
"A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 87-127, September.
- Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
- M. Krivko & M. V. Tretyakov, 2011. "Numerical integration of Heath-Jarrow-Morton model of interest rates," Papers 1109.2557, arXiv.org.
- Kurt Helmes & Stefan Röhl & Richard H. Stockbridge, 2001. "Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming," Operations Research, INFORMS, vol. 49(4), pages 516-530, August.
- Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
- McCauley, Joseph L., 1999. "The Futility of Utility: how market dynamics marginalize Adam Smith," MPRA Paper 2163, University Library of Munich, Germany.
- David Heath & Hyejin Ku, 2006. "Consistency among trading desks," Finance and Stochastics, Springer, vol. 10(3), pages 331-340, September.
- Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap, 2006. "A Delayed Black and Scholes Formula II," Papers math/0604641, arXiv.org.
- Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
- Hokky Situngkir & Yohanes Surya, 2004.
"Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia,"
Papers
cond-mat/0403465, arXiv.org.
- Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, University Library of Munich, Germany.
- Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, University Library of Munich, Germany.
- Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002.
"Skewness and Kurtosis Implied by Option Prices: A Second Comment,"
FMG Discussion Papers
dp419, Financial Markets Group.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics 24938, London School of Economics and Political Science, LSE Library.
- Timothy Irwin, 2003. "Public Money for Private Infrastructure : Deciding When to Offer Guarantees, Output-based Subsidies, and Other Fiscal Support," World Bank Publications - Books, The World Bank Group, number 15117.
- McCauley, Joseph l., 2004. "Thermodynamic analogies in economics and finance: instability of markets," MPRA Paper 2159, University Library of Munich, Germany.
- Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008. "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1050-1061, June.
- J.L. McCauley & G.h. Gunaratne, 2002.
"An empirical model of volatility of returns and option pricing,"
Computing in Economics and Finance 2002
186, Society for Computational Economics.
- McCauley, Joseph L. & Gunaratne, Gemunu H., 2003. "An empirical model of volatility of returns and option pricing," MPRA Paper 2161, University Library of Munich, Germany.
- Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011.
"Heterogeneous Basket Options Pricing Using Analytical Approximations,"
Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
- Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
- Dionne, Georges & Gauthier, Geneviève & Ouertani, Nadia & Tahani, Nabil, 2006. "Heterogeneous basket options pricing using analytical approximations," Working Papers 06-1, HEC Montreal, Canada Research Chair in Risk Management.
- Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany.
- Ewa Broszkiewicz-Suwaj & Aleksander Weron, 2005. "Calibration of the multifactor HJM model for energy market," HSC Research Reports HSC/05/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap, 2006. "A Delayed Black and Scholes Formula I," Papers math/0604640, arXiv.org.
- Ehrhardt, David & Irwin Timothy, 2004. "Avoiding customer and taxpayer bailouts in private infrastructure projects : Policy toward leverage, risk allocation, and bankruptcy," Policy Research Working Paper Series 3274, The World Bank.
- Flavia Sancier & Salah Mohammed, 2017. "An Option Pricing Model with Memory," Papers 1709.00468, arXiv.org.
- Kangsoo Kim & Hyejin Cho & Donghyung Yook, 2019. "Financing for a Sustainable PPP Development: Valuation of the Contractual Rights under Exercise Conditions for an Urban Railway PPP Project in Korea," Sustainability, MDPI, vol. 11(6), pages 1-14, March.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6, July-Dece.
- Richmond, Peter & Sabatelli, Lorenzo, 2004. "Langevin processes, agent models and socio-economic systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 27-38.
- Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
- Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
- Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
- Martin Vojtek, 2004.
"Calibration of Interest Rate Models - Transition Market Case,"
Finance
0410015, University Library of Munich, Germany.
- Martin Vojtek, 2004. "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers wp237, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Naoyuki Ishimura & Toshi-hiko Sakaguchi, 2004. "Exact Solutions of a Model for Asset Prices by K. Takaoka," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 445-451, December.
- Matthias Otto, 1999. "Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory," Papers cond-mat/9906196, arXiv.org, revised Oct 1999.
- Robert A. Jarrow, 2012. "Hedging derivatives with model error," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 855-863, February.
- Takahiko Fujita & Masahiro Ishii, 2010. "Valuation of a Repriceable Executive Stock Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 1-18, March.
- Perry, David & Stadje, Wolfgang & Yosef, Rami, 2003. "Annuities with controlled random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 245-253, April.
- Gustafson, Karl, 2010. "Operator trigonometry of multivariate finance," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 374-384, February.
- Ryle Perera, 2000. "The role of index bonds in universal currency hedging," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 271-284.
- Otto, Matthias, 2001. "Finite arbitrage times and the volatility smile?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 299-304.
- Mark Joshi & Riccardo Rebonato, 2003. "A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 458-469.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- Dan Pirjol, 2015. "Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1243-1257, July.
- Joesph L. McCauley, 2002. "Self-Financing, Replicating Hedging Strategies, an incomplete thermodynamic analogy," Papers cond-mat/0203304, arXiv.org.
- Becker, Ralf, 1998. "Die verallgemeinerte Momentenmethode: Darstellung und Anwendung," Arbeitspapiere des Instituts für Statistik und Ökonometrie 16, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
- José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
- Michael T. Gapen & Mr. Dale F Gray & Cheng Hoon Lim & Ms. Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers 2005/155, International Monetary Fund.
- Marcin Magdziarz & Janusz Gajda, 2012. "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports HSC/12/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Luca Capriotti, 2008. "Least-squares Importance Sampling for Monte Carlo security pricing," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 485-497.