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An Introduction to the Mathematics of Financial Derivatives
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Cited by:
- Michael McAleer & Kim Radalj, 2013.
"Herding, Information Cascades and Volatility Spillovers in Futures Markets,"
Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 307-329.
- McAleer, M.J. & Radalj, K., 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Econometric Institute Research Papers EI 2013-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Documentos de Trabajo del ICAE 2013-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers 873, Kyoto University, Institute of Economic Research.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Tinbergen Institute Discussion Papers 13-086/III, Tinbergen Institute.
- Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Working Papers in Economics 13/23, University of Canterbury, Department of Economics and Finance.
- Xu, Wei & Odening, Martin & Musshoff, Oliver, 2007. "Indifference Pricing of Weather Insurance," 101st Seminar, July 5-6, 2007, Berlin Germany 9267, European Association of Agricultural Economists.
- Horikawa, Hiroaki & Nakagawa, Kei, 2024. "Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy," Finance Research Letters, Elsevier, vol. 62(PA).
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014.
"Nonlinear Kalman Filtering in Affine Term Structure Models,"
Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012. "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers 2012-49, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Cahiers de recherche 1404, CIRPEE.
- Nneka Umeorah & Phillip Mashele & Matthias Ehrhardt, 2021. "Pricing basket default swaps using quasi-analytic techniques," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 241-267, June.
- Marcelle Chauvet & Simon Potter, 2005.
"Forecasting recessions using the yield curve,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 77-103.
- Marcelle Chauvet & Simon M. Potter, 2001. "Forecasting recessions using the yield curve," Staff Reports 134, Federal Reserve Bank of New York.
- Singhal, Shakshi & Anand, Adarsh & Singh, Ompal, 2020. "Studying dynamic market size-based adoption modeling & product diffusion under stochastic environment," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
- Michael Kurz, 2018. "Closed-form approximations in derivatives pricing: The Kristensen-Mele approach," Papers 1804.08904, arXiv.org.
- José Pablo Dapena Fernandez, 2003.
"On the Valuation of Companies with Growth Opportunities,"
Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 49-72, May.
- Dapena, Jose Pablo, 2003. "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Universidad del CEMA, vol. 6(01), pages 1-24, May.
- José Pablo Dapena, 2003. "On the Valuation of Companies with Growth Opportunities," Journal of Applied Economics, Taylor & Francis Journals, vol. 6(1), pages 49-72, May.
- Markus Stowasser, 2011. "Modelling rain risk: a multi-order Markov chain model approach," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 45-60, December.
- Katia Rocha & Francisco A. Alcaraz Garcia, 2015. "The Term Structure of Sovereign Spreads in Emerging Markets: a Calibration Approach for Structural Models," Discussion Papers 0135, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 54(04), pages 1-13.
- Lisa Borland, 2002. "A Theory of Non_Gaussian Option Pricing," Papers cond-mat/0205078, arXiv.org, revised Dec 2002.
- Vincent Bertrand, 2013. "Modeling of Emission Allowance Markets: A Literature Review," Working Papers 1304, Chaire Economie du climat.
- Kirchner, Armin H., 2004. "Verringerung von Arbeitslosigkeit durch Lockerung des Kündigungsschutzes : Die entscheidende Einflussgröße," Tübinger Diskussionsbeiträge 277, University of Tübingen, School of Business and Economics.
- T. Verbeke & M. De Clercq, 2003. "Environmental policy uncertainty, policy coordination and relocation decisions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/208, Ghent University, Faculty of Economics and Business Administration.
- Ahmed Abutaleb & Michael G. Papaioannou, 2007. "Malliavin Calculus For The Estimation Of Time-Varying Regression Models Used In Financial Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 771-800.
- Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
- Hendershott, Patric H & Ward, Charles W R, 2003.
"Valuing and Pricing Retail Leases with Renewal and Overage Options,"
The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 223-240, March-May.
- Patric H. Hendershott & Charles W.R. Ward, 2002. "Valuing and Pricing Retail Leases with Renewal and Overage Options," NBER Working Papers 9214, National Bureau of Economic Research, Inc.
- Kátia Rocha & Francisco A. Alcaraz Garcia, 2004. "The Term Structure of Sovereign Spreads in Emerging Markets : A calibration Approach for Structural Models," Discussion Papers 1048, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Ingrid Groessl & Ulrich Fritsche, 2006.
"The Store-of-Value-Function of Money as a Component of Household Risk Management,"
Macroeconomics and Finance Series
200606, University of Hamburg, Department of Socioeconomics.
- Ingrid Größl & Ulrich Fritsche, 2007. "The Store-of-Value-Function of Money as a Component of Household Risk Management," Discussion Papers of DIW Berlin 660, DIW Berlin, German Institute for Economic Research.
- Didier Cossin & Zhijiang Huang & Daniel Aunon-Nerin & Fer nando González, 2002. "A Framework for Collateral Risk Control Determination," FAME Research Paper Series rp61, International Center for Financial Asset Management and Engineering.
- Richard W. Booser, 2018. "An Algorithm Exploiting Episodes of Inefficient Asset Pricing to Derive a Macro-Foundation Scaled Metric for Systemic Risk: A Time-Series Martingale Representation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(1), pages 1-3.
- Dette, Holger & Weißbach, Rafael, 2006. "A Bootstrap Test for the Comparison of Nonlinear Time Series - with Application to Interest Rate Modelling," Technical Reports 2006,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Worapree Maneesoonthorn & David T. Frazier & Gael M. Martin, 2024. "Probabilistic Predictions of Option Prices Using Multiple Sources of Data," Papers 2412.00658, arXiv.org.
- Valerii Salov, 2017. "Trading Strategies with Position Limits," Papers 1712.07649, arXiv.org.
- Teselios Delia, 2013. "Futures Options: Universe Of Potential Profit," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 309-313, April.
- Chiara Oldani, 2005. "An Overview of the Literature about Derivatives," Macroeconomics 0504004, University Library of Munich, Germany.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc.
- José Pablo Dapena, 2005. "Relación entre volatilidad de tasas de crecimiento del producto y volatilidad en el precio del stock de capital y su impacto en el nivel de inversión agregada de la economía," CEMA Working Papers: Serie Documentos de Trabajo. 294, Universidad del CEMA.
- Jongwoo Lee & Dean Paxson, 2003. "Confined exponential approximations for the valuation of American options," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 449-474.
- Roger Walder, 2002. "Dynamic Allocation of Treasury and Corporate Bond Portfolios," FAME Research Paper Series rp64, International Center for Financial Asset Management and Engineering.
- Teselios, Delia & Albici, Mihaela, 2009. "On financial derivatives and differential equations used in their assessment," MPRA Paper 18225, University Library of Munich, Germany.
- Xiaoyu Tan & Shenghong Li & Shuyi Wang, 2020. "Pricing European-Style Options in General Lévy Process with Stochastic Interest Rate," Mathematics, MDPI, vol. 8(5), pages 1-10, May.
- Colin Atkinson & Sutee Mokkhavesa, 2001. "Towards the determination of utility preference from optimal portfolio selections," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 1-26.
- 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.
- J. A. Jiménez & V. Arunachalam & G. M. Serna, 2015. "Option Pricing Based On A Log–Skew–Normal Mixture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-22, December.
- Cossin, Didier & González, Fernando & Huang, Zhijiang & Backé, Peter, 2003. "A framework for collateral risk control determination," Working Paper Series 209, European Central Bank.