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Handbooks in Mathematical Finance

Citations

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Cited by:

  1. Peter Carr & Lorenzo Torricelli, 2021. "Additive logistic processes in option pricing," Finance and Stochastics, Springer, vol. 25(4), pages 689-724, October.
  2. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
  3. Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2017. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Finance and Stochastics, Springer, vol. 21(2), pages 551-592, April.
  4. Bartels, Patrick & Breitner, Michael H., 2004. "Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator," Hannover Economic Papers (HEP) dp-300, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
  6. Broll, Michael, 2016. "The skewness risk premium in currency markets," Economic Modelling, Elsevier, vol. 58(C), pages 494-511.
  7. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
  8. Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010. "Shape factors and cross-sectional risk," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
  9. Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2016. "Numerical Analysis On Local Risk-Minimization For Exponential Lévy Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-27, March.
  10. Wei Wang & Linyi Qian & Wensheng Wang, 2016. "Hedging of contingent claims written on non traded assets under Markov-modulated models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(12), pages 3577-3595, June.
  11. Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
  12. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
  13. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
  14. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  15. David F. Schrager & Antoon A. J. Pelsser, 2006. "Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 673-694, October.
  16. Takuji Arai & Yuto Imai, 2017. "A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus," Papers 1702.07556, arXiv.org, revised Nov 2017.
  17. Evstigneev, Igor V. & Schürger, Klaus & Taksar, Michael I., 2002. "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers 24/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
  18. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October.
  19. Lars Stentoft, 2019. "Efficient Numerical Pricing of American Call Options Using Symmetry Arguments," JRFM, MDPI, vol. 12(2), pages 1-26, April.
  20. Deng, Chao & Zeng, Xudong & Zhu, Huiming, 2018. "Non-zero-sum stochastic differential reinsurance and investment games with default risk," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1144-1158.
  21. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  22. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
  23. Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Capital growth theory and von Neumann-Gale dynamics," Economics Discussion Paper Series 0720, Economics, The University of Manchester.
  24. Paolo Guasoni & Eberhard Mayerhofer, 2020. "Technical Note—Options Portfolio Selection," Operations Research, INFORMS, vol. 68(3), pages 733-740, May.
  25. PeiLin Hsieh & Robert Jarrow, 2019. "Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market," Management Science, INFORMS, vol. 65(4), pages 1833-1854, April.
  26. Takuji Arai, 2015. "Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium," Papers 1506.01477, arXiv.org.
  27. Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
  28. Salvador Cruz Rambaud, 2019. "Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
  29. Takuji Arai & Ryoichi Suzuki, 2015. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Keio-IES Discussion Paper Series 2015-003, Institute for Economics Studies, Keio University.
  30. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alex, 2010. "On mean-variance portfolio selection under a hidden Markovian regime-switching model," Economic Modelling, Elsevier, vol. 27(3), pages 678-686, May.
  31. Zdzisław Brzeźniak & Tayfun Kok, 2018. "Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations," Finance and Stochastics, Springer, vol. 22(4), pages 959-1006, October.
  32. Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2015. "Real Options and American Derivatives: The Double Continuation Region," Management Science, INFORMS, vol. 61(5), pages 1094-1107, May.
  33. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
  34. Dilip mookerhjee, 2005. "New Directions in Development Economics: Theory or Empirics? - Is There Too Little Theory in Development Economics?," Boston University - Department of Economics - Working Papers Series WP2005-028, Boston University - Department of Economics.
  35. L. Carassus & E. Temam, 2014. "Pricing and hedging basis risk under no good deal assumption," Annals of Finance, Springer, vol. 10(1), pages 127-170, February.
  36. Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2015. "Numerical analysis on local risk-minimization forexponential L\'evy models," Papers 1506.03898, arXiv.org.
  37. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
  38. Ernst Eberlein & Fehmi Özkan, 2005. "The Lévy LIBOR model," Finance and Stochastics, Springer, vol. 9(3), pages 327-348, July.
  39. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
  40. Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2015. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Papers 1503.08589, arXiv.org, revised Jan 2016.
  41. Gunther Leobacher, 2008. "On a class of optimization problems emerging when hedging with short term futures contracts," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 65-90, February.
  42. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
  43. Jun Deng & Bin Zou, 2020. "Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time," Papers 2005.06015, arXiv.org, revised Dec 2020.
  44. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  45. Silva, Felipe Bastos Gurgel, 2021. "Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(5), pages 1537-1589, August.
  46. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
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