Content
2021
- 423 The Reflectionless Properties of Toeplitz Waves and Hankel Waves: An Analysis via Bessel Functions
by Kevin Burrage & Pamela Burrage & Shev MacNamara - 422 A Computational Approach to Sequential Decision Optimization in Energy Storage and Trading
by Paolo Falbo & Juri Hinz & Piyachat Leelasilapasart & Cristian Pelizzari - 421 On Approximate Solutions for Partially Observable Decision Problems
by Juri Hinz - 420 Short Rate Dynamics: A Fed Funds and SOFR Perspective
by Karol Gellert & Erik Schlogl
2020
- 419 The Fast and the Furious: Exchange Latency and Ever-fast Trading
by Xue-Zhong He & Junqing Kang & Xuan Zhou - 418 Fair-value Analytical Valuation of Reset Executive Stock Options Consistent with IFRS9 Requirements
by Otto Konstandatos - 417 The Economic Impact of Volatility Persistence on Energy Markets
by Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang - 416 Wind Generation and the Dynamics of Electricity Prices in Australia
by Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai - 415 Forecasting Commodity Markets Volatility: HAR or Rough?
by Mesias Alfeus & Christina Sklibosios Nikitopoulos - 414 Kernel Density Estimation with Linked Boundary Conditions
by Matthew J. Colbrook & Zdravko I. Botev & Karsten Kuritz & Shev MacNamara - 413 On Using Equities to Produce Pension Payouts
by Giovanni Barone Adesi & Eckhard Platen & Carlo Sala - 412 Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models
by Eckhard Platen & Stefan Tappe - 411 The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios
by Eckhard Platen & Stefan Tappe - 410 No-Arbitrage Concepts in Topological Vector Lattices
by Eckhard Platen & Stefan Tappe - 409 Stochastic Modelling of the COVID-19 Epidemic
by Eckhard Platen - 408 Resilience Analysis for Double Spending via Sequential Decision Optimization
by Juri Hinz - 407 An Application of High-Dimensional Statistics to Predictive Modeling of Grade Variability
by Juri Hinz & Igor Grigoryev & Alexander Novikov - 406 Variables Reduction in Sequential Resource Allocation Problems
by Juri Hinz & Tiziano Vargiolu
2019
- 405 Score Test for Marks in Hawkes Processes
by Kylie-Anne Richards & William T. M. Dunsmuir & Gareth W. Peters - 404 Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes
by Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards - 403 Reinforcement Learning in Limit Order Markets
by Xue-Zhong He & Shen Lin - 402 The Microstructure of Endogenous Liquidity Provision
by F. Douglas Foster & Xue-Zhong He & Junqing Kang & Shen Lin - 401 Economic Determinants of Oil Futures Volatility: A Term Structure Perspective
by Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk - 400 Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach
by Alex Backwell & Andrea Macrina & Erik Schlogl & David Skovmand - 399 Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies
by Jin Sun & Eckhard Platen - 398 Dynamics of a Well-Diversified Equity Index
by Eckhard Platen & Renata Rendek - 397 The Impact of Jumps on American Option Pricing: The S&P 100 Options Case
by Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga
2018
- 396 Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries
by Otto Konstandatos - 395 Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
by Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl - 394 Pricing American Options with Jumps in Asset and Volatility
by Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos - 393 Model Risk Measurement Under Wasserstein Distance
by Yu Feng & Erik Schlogl - 392 Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
by Karol Gellert & Erik Schlögl - 391 Are We Better-off for Working Hard?
by Xue-Zhong He & Lei Shi & Marco Tolotti - 390 Time-Varying Economic Dominance Through Bistable Dynamics
by Xue-Zhong He & Kai Li & Chuncheng Wang - 389 Heterogeneous Agent Models in Finance
by Roberto Dieci & Xue-Zhong He - 388 On Numerical Methods for Spread Options
by Mesias Alfeus & Erik Schlögl - 387 Regime Switching Rough Heston Model
by Mesias Alfeus & Ludger Overbeck
2017
- 386 Market Efficiency and the Growth Optimal Portfolio
by Eckhard Platen & Renata Rendek - 385 Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps
by Claudio Fontana & Markus Pelger & Eckhard Platen - 384 A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
by Mesias Alfeus & Martino Grasselli & Erik Schlögl - 383 Ambiguous Market Making
by Nihad Aliyev & Xue-Zhong He - 382 Fast Quantization of Stochastic Volatility Models
by Ralph Rudd & Thomas A. McWalter & Jorg Kienitz & Eckhard Platen - 381 Investing for the Long Run
by Dietmar P.J. Leisen & Eckhard Platen - 380 Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions
by Mark Craddock
2016
- 379 Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
by Eckhard Platen & David Taylor - 378 Detecting Money Market Bubbles
by Jan Baldeaux & Katja Ignatieva & Eckhard Platen - 377 Lie Symmetry Methods for Local Volatility Models
by Mark Craddock & Martino Grasselli - 376 Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - 375 Hedging Futures Options with Stochastic Interest Rates
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - 374 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen - 373 Trading Heterogeneity Under Information Uncertainty
by Xue-Zhong He & Huanhuan Zheng - 372 Calibrating Market Model to Commodity and Interest Rate Risk
by Patrik Karlsson & Kay F Pilz & Erik Schlogl - 371 Toward a General Model of Financial Markets
by Nihad Aliyev & Xue-Zhong He - 370 Reversing Momentum: The Optimal Dynamic Momentum Strategy
by Kai Li & Jun Liu - 369 A PDE View of Games Options
by Gunter H Meyer - 368 Pricing American Options under Regime Switching Using Method of Lines
by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang - 367 Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl
2015
- 366 Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - 365 Volatility Clustering: A Nonlinear Theoretical Approach
by Xue-Zhong He & Kai Li & Chuncheng Wan - 364 The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30
by Xue-Zhong He & Youwei Li - 363 Recovering the Real-World Density and Liquidity Premia From Option Data
by Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen - 362 On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models
by Andreea Röthig & Andreas Röthig & Carl Chiarella - 361 Application of Maximum Likelihood Estimation to Stochastic Short Rate Models
by Kevin Fergusson & Eckhard Platen - 360 Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model
by Leunglung Chan & Eckhard Platen - 359 Risk Aversion in Modeling of Cap-and-Trade Mechanisms and Optimal Design of Emission Markets
by Paolo Falbo & Juri Hinz & Cristian Pelizzari - 358 Stochastic Switching for Partially Observable Dynamics and Optimal Asset Allocation
by Juri Hinz - 357 Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic
by Kevin Fergusson & Eckhard Platen - 356 Market Sentiment and Paradigm Shifts
by Liya Chu & Xue-Zhong He & Kai Li & Jun Tu - 355 Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables
by Otto Konstandatos & Timothy Kyng & Tobias Bienek - 354 Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30
by Xue-Zhong He & Youwei Li - 353 Optimal Time Series Momentum
by Xue-Zhong He & Kai Li & Youwei Li - 352 Algorithms for Optimal Control of Stochastic Switching Systems
by Juri Hinz & Nicholas Yap
2014
- 351 Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach
by Kevin Fergusson & Eckhard Platen - 350 A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
by David Heath & Eckhard Platen - 349 Position-Limit Design for the CSI 300 Futures Markets
by Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi - 348 A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
by Yang Chang & Erik Schlogl - 347 Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model
by KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang - 346 Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?
by KiHoon Jimmy Hong & Eliza Wu - 345 Automated Liquidity Provision
by Austin Gerig & David Michayluk - 344 Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500
by Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels - 343 A Hybrid Model for Pricing and Hedging of Long Dated Bonds
by Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen - 342 A Behavioural Model of Investor Sentiment in Limit Order Markets
by Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei - 341 Time Series Momentum and Market Stability
by Xue-Zhong He & Kai Li
2013
- 340 Approximate Hedging of Options under Jump-Diffusion Processes
by Karl Mina & Gerald Cheang & Carl Chiarella - 339 Self-funding Instalment Warrants
by Jeff Dewynne & Nadima El-Hassan - 338 Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees
by Kevin Fergusson & Eckhard Platen - 337 Herding, Trend Chasing and Market Volatility
by Corrado Di Guilmi & Xue-Zhong He & Kai Li - 336 The Return-Volatility Relation in Commodity Futures Markets
by Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To - 335 Learning and Evolution of Trading Strategies in Limit Order Markets
by Carl Chiarella & Xue-Zhong He & Lijian Wei - 334 Industry Concentration, Excess Returns and Innovation in Australia
by David R. Gallagher & Katja Ignatieva & James McCulloch - 333 Learning and Information Dissemination in Limit Order Markets
by Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang - 332 Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level
by KiHoon Jimmy Hong - 331 Primer: The FST Theorem for Pricing with Foreign Collateral
by Alan Brace - 330 Primer: Curve Stripping with Full Collateralisation
by Alan Brace - 329 The Trade-off Theory Revisited: On the Effect of Operating Leverage
by Kristoffer Glover & Gerhard Hambusch - 328 Investigating Time-Efficient Methods to Price Compound Options in the Heston Model
by Carl Chiarella & Susanne Griebsch & Boda Kang - 327 Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics
by Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi - 326 As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures
by Hazel Bateman & Isabella Dobrescu & Ben R. Newell & Andreas Ortmann & Susan Thorp - 325 Liability Driven Investments under a Benchmark Based Approach
by Jan Baldeaux & Eckhard Platen - 324 Credit Derivative Evaluation and CVA under the Benchmark Approach
by Jan Baldeaux & Eckhard Platen - 323 Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds
by Edgardo Cayon & Susan Thorp
2012
- 322 The Affine Nature of Aggregate Wealth Dynamics
by Eckhard Platen & Renata Rendek - 321 Modeling of Oil Prices
by Ke Du & Eckhard Platen & Renata Rendek - 320 Forecasting Bank Leverage
by Gerhard Hambusch & Sherrill Shaffer - 319 Local Risk-Minimization under the Benchmark Approach
by Francesca Biagini & Alessandra Cretarola & Eckhard Platen - 318 A Tractable Model for Indices Approximating the Growth Optimal Portfolio
by Jan Baldeaux & Katja Ignatieva & Eckhard Platen - 317 Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
by Ingo Beyna & Carl Chiarella & Boda Kang - 316 Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
by Xue-Zhong He - 315 An Evolutionary CAPM Under Heterogeneous Beliefs
by Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li - 314 Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
by Kristoffer Glover & Gerhard Hambusch - 313 Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition
by Michael Gnewuch & Jan Baldeaux - 312 Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
by Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang - 311 Fractal Market Time
by James McCulloch - 310 Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets
by Erik Schlogl & Yang Chang - 309 A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model
by Susanne Griebsch & Kay Pilz - 308 Humps in the Volatility Structure of the Crude Oil Futures Market
by Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To - 307 Quasi-Monte Carol Methods for the Heston Model
by Jan Baldeaux & Dale Roberts - 306 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model
by Jan Baldeaux & Alexander Badran - 305 Alternative Term Structure Models for Reviewing Expectations Puzzles
by Christina Nikitopoulos-Sklibosios & Eckhard Platen - 304 Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
by Carl Chiarella & Chi-Fai Lo & Ming Xi Huang - 303 Heterogeneous Beliefs and the Cross-Section of Asset Returns
by Xue-Zhong He & Lei Shi - 302 Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs
by Xue-Zhong He & Lei Shi & Min Zheng - 301 Heterogeneous Beliefs and the Performances of Optimal Portfolios
by Xue-Zhong He & Lei Shi - 300 Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods
by Stephen Satchell & Susan Thorp & Oliver Williams - 299 Particle Filters for Markov Switching Stochastic Volatility Models
by Yun Bao & Carl Chiarella & Boda Kang
2011
- 298 Stochastic Correlation and Risk Premia in Term Structure Models
by Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To - 297 The Small and Large Time Implied Volatilities in the Minimal Market Model
by Zhi Guo & Eckhard Platen - 296 Three-Benchmarked Risk Minimization for Jump Diffusion Markets
by Ke Du & Eckhard Platen - 295 Three-Dimensional Brownian Motion and the Golden Ratio Rule
by Kristoffer Glover & Hardy Hulley & Goran Peskir - 294 Limit Distribution of Evolving Strategies in Financial Markets
by Carl Chiarella & Corrado Di Guilmi - 293 Credit Derivative Pricing with Stochastic Volatility Models
by Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios - 292 Two Stochastic Volatility Processes - American Option Pricing
by Carl Chiarella & Jonathan Ziveyi - 291 Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
by Xue-Zhong He & Kai Li - 290 Estimating Behavioural Heterogeneity Under Regime Switching
by Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng - 289 Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics
by Eckhard Platen & Stefan Tappe - 288 The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching
by Carl Chiarella & Les Clewlow & Boda Kang - 287 A Modern View on Merton's Jump-Diffusion Model
by Gerald Cheang & Carl Chiarella
2010
- 286 Calibration of Multicurrency LIBOR Market Models
by Kay Pilz & Erik Schlogl - 285 Adaptive Forecasting of Exchange Rates with Panel Data
by Leonardo Morales-Arias & Alexander Dross - 284 Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index
by Katja Ignatieva & Eckhard Platen & Renata Rendek - 283 Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
by Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios - 282 Simulation of Diversified Portfolios in a Continuous Financial Market
by Eckhard Platen & Renata Rendek - 281 Approximating the Numeraire Portfolio by Naive Diversification
by Eckhard Platen & Renata Rendek - 280 M6 - On Minimal Market Models and Minimal Martingale Measures
by Hardy Hulley & Martin Schweizer - 279 The Economic Plausibility of Strict Local Martingales in Financial Modelling
by Hardy Hulley - 278 Small Traders in Currency Futures Markets
by Carl Chiarella & Andreas Rothig - 277 A Survey of Non-linear Methods for No-arbitrage Bond Pricing
by Carl Chiarella & Chih-Ying Hsiao & Ming Xi Huang - 276 Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications
by Carl Chiarella & Chih-Ying Hsiao - 275 Time-Varying Beta: A Boundedly Rational Equilibrium Approach
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 274 Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions
by Mark Craddock & Kelly A. Lennox - 273 The Financial Instability Hypothesis: A Stochastic Microfoundation Framework
by Carl Chiarella & Corrado Di Guilmi - 272 Option Valuation in Multivariate SABR Models
by Jörg Kienitz & Manuel Wittke - 271 Differences in Opinion and Risk Premium
by Xue-Zhong He & Lei Shi - 270 Equity-Linked Pension Schemes with Guarantees
by J. Aase Nielsen & Klaus Sandmann & Erik Schlogl - 269 The British Russian Option
by Kristoffer Glover & Goran Peskir & Farman Samee - 268 Dynamics of Moving Average Rules in a Continuous-time Financial Market Model
by Xue-Zhong He & Min Zheng - 267 Financialization, Crisis and Commodity Correlation Dynamics
by Annastiina Silvennoinen & Susan Thorp - 266 The Evaluation Of Barrier Option Prices Under Stochastic Volatility
by Carl Chiarella & Boda Kang & Gunter H. Meyer
2009
- 265 Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
by Katja Ignatieva & Eckhard Platen - 264 Simulation of Diversified Portfolios in a Continuous Financial Market
by Eckhard Platen & Renata Rendek - 263 A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales
by Hardy Hulley & Eckhard Platen - 262 Real World Pricing of Long Term Contracts
by Eckhard Platen - 261 A Hybrid Commodity and Interest Rate
by Kay Pilz & Erik Schlogl - 260 Modelling and Estimating the Forward Price Curve in the Energy Market
by Carl Chiarella & Les Clewlow & Boda Kang - 259 Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes
by Eckhard Platen & Renata Rendek - 258 Quasi-exact Approximation of Hidden Markov Chain Filters
by Eckhard Platen & Renata Rendek - 257 On Fair Pricing of Emission-Related Derivatives
by Juri Hinz & Alex Novikov - 256 An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics
by Gerald Cheang & Carl Chiarella & Andrew Ziogas - 255 Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
by Carl Chiarella & Viviana Fanelli & Silvana Musti - 254 A Framework for CAPM with Heterogenous Beliefs
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 253 A Benchmark Approach to Investing and Pricing
by Eckhard Platen - 252 Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs
by Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng - 251 A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
by Carl Chiarella & Xue-Zhong He & Paolo Pellizzari - 250 Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales
by Wolfgang Breymann & David Lüthi & Eckhard Platen - 249 The British Asian Option
by Kristoffer Glover & Goran Peskir & Farman Samee - 248 Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement
by Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen - 247 Asset Markets and Monetary Policy
by Eckhard Platen & Willi Semmler - 246 On Explicit Probability Laws for Classes of Scalar Diffusions
by Mark Craddock & Eckhard Platen - 245 The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
by Carl Chiarella & Boda Kang - 244 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
by Xue-Zhong He & Lei Shi - 243 Heterogeneous Expectations and Exchange Rate Dynamics
by Carl Chiarella & Xue-Zhong He & Min Zheng - 242 Alternative Defaultable Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl
2008
- 241 Viability of Markets with an Infinite Number of Assets
by Constantinos Kardaras - 240 Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies
by Constantinos Kardaras & Eckhard Platen - 238 A Visual Classification of Local Martingales
by Hardy Hulley & Eckhard Platen - 237 Real World Pricing for a Modified Constant Elasticity of Variance Model
by Shane M Miller & Eckhard Platen - 235 Exchange Options Under Jump-Diffusion Dynamics
by Gerald H. L. Cheang & Carl Chiarella - 234 On the Numerical Stability of Simulation Methods for SDES
by Eckhard Platen & Lei Shi - 233 Heterogeneity, Bounded Rationality and Market Dysfunctionality
by Xue-Zhong He & Lei Shi - 232 Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
by Carl Chiarella & Viviana Fanelli & Silvana Musti - 231 Heterogeneity, Market Mechanisms, and Asset Price Dynamics
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 230 Minimizing the Expected Market Time to Reach a Certain Wealth Level
by Constantinos Kardaras & Eckhard Platen - 229 On Honest Times in Financial Modeling
by Ashkan Nikeghbali & Eckhard Platen - 228 Distributional Deviations in Random Number Generation in Finance
by Sergio Chavez & Eckhard Platen - 227 A Unifying Approach to Asset Pricing
by Eckhard Platen - 226 A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
by Leo Krippner - 225 Quadratic Hedging of Basis Risk
by Hardy Hulley & Thomas A. McWalter - 224 A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse
by Allan Brace & Mark Lauer & Milo Rado - 223 Pricing Financial Derivatives on Weather Sensitive Assets
by Jerzy Filar & Boda Kang & Malgorzata Korolkiewicz