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Content
May 2016, Volume 19, Issue 03
- 1-19 The Valuation Of Options On Foreign Exchange Rate In A Target Zone
by Guangli Xu & Shiyu Song & Yongjin Wang - 1-21 Learning And Portfolio Decisions For Crra Investors
by Michele Longo & Alessandra Mainini - 1-28 Fixing Risk Neutral Risk Measures
by Harvey J. Stein - 1-32 Approximations Of Bond And Swaption Prices In A Black–Karasiński Model
by Andrzej Daniluk & Rafał Muchorski - 1-34 Trajectory-Based Models, Arbitrage And Continuity
by Alexander Alvarez & Sebastian E. Ferrando - 1-42 Conic Portfolio Theory
by Dilip B. Madan
March 2016, Volume 19, Issue 02
- 1-11 On Robustness Of The Black–Scholes Partial Differential Equation Model
by Miklavz Mastinsek - 1-23 Generalized Bn–S Stochastic Volatility Model For Option Pricing
by Indranil Sengupta - 1-26 A Recombining Tree Method For Option Pricing With State-Dependent Switching Rates
by J. X. Jiang & R. H. Liu & D. Nguyen - 1-27 Numerical Analysis On Local Risk-Minimization For Exponential Lévy Models
by Takuji Arai & Yuto Imai & Ryoichi Suzuki - 1-29 Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes
by Wendong Zheng & Chi Hung Yuen & Yue Kuen Kwok - 1-36 Worst-Case Portfolio Optimization In A Market With Bubbles
by Christoph Belak & Sören Christensen & Olaf Menkens - 1-37 Institutional Investors And The Dependence Structure Of Asset Returns
by Rama Cont & Lakshithe Wagalath
February 2016, Volume 19, Issue 01
- 1-19 Bubbles And Multiple-Factor Asset Pricing Models
by Robert Jarrow - 1-20 Capital Structure And Tax Convexity When The Maturity Of Debt Is Finite
by Sami Attaoui - 1-22 Pricing And Hedging Of Energy Spread Options And Volatility Modulated Volterra Processes
by Fred Espen Benth & Hanna Zdanowicz - 1-25 The Evaluation Of Multiple Year Gas Sales Agreement With Regime Switching
by Carl Chiarella & Les Clewlow & Boda Kang - 1-25 Shrinkage Estimation Of Mean-Variance Portfolio
by Yan Liu & Ngai Hang Chan & Chi Tim Ng & Samuel Po Shing Wong - 1-26 Optimal Execution Cost For Liquidation Through A Limit Order Market
by Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch - 1-39 Pricing And Valuation Under The Real-World Measure
by Gabriel Frahm
December 2015, Volume 18, Issue 08
- 1-12 Valuation Of Options On Oil Futures Under The 3/4 Oil Price Model
by Mohammed A. Aba Oud & Joanna Goard - 1-16 The Stress-Dependent Random Walk
by Martin Gremm - 1-17 Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach
by Roman Horsky & Tilman Sayer - 1-18 Asymptotic Arbitrage In The Heston Model
by Fatma Haba & Antoine Jacquier - 1-22 Option Pricing Based On A Log–Skew–Normal Mixture
by J. A. Jiménez & V. Arunachalam & G. M. Serna - 1-35 Max–Min Optimization Problem For Variable Annuities Pricing
by Christophette Blanchet-Scalliet & Etienne Chevalier & Idris Kharroubi & Thomas Lim - 1-72 Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations
by Patrick Assonken & G. S. Ladde
November 2015, Volume 18, Issue 07
- 1-16 Quantile Correlations: Uncovering Temporal Dependencies In Financial Time Series
by Thilo A. Schmitt & Rudi Schäfer & Holger Dette & Thomas Guhr - 1-26 Fair Bilateral Prices In Bergman’S Model With Exogenous Collateralization
by Tianyang Nie & Marek Rutkowski - 1-26 Fast Hilbert Transform Algorithms For Pricing Discrete Timer Options Under Stochastic Volatility Models
by Pingping Zeng & Yue Kuen Kwok & Wendong Zheng - 1-26 Coupled Network Approach To Predictability Of Financial Market Returns And News Sentiments
by Chester Curme & H. Eugene Stanley & Irena Vodenska - 1-28 Efficient Hedging For Defaultable Securities And Its Application To Equity-Linked Life Insurance Contracts
by Alexander Melnikov & Amir Nosrati - 1-32 The Multi-Curve Potential Model
by The Anh Nguyen & Frank Thomas Seifried - 1-43 Utility Maximization With Random Horizon: A Bsde Approach
by Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac
2015, Volume 18, Issue 06
- 1-13 On The Role Of Skewness, Kurtosis, And The Location And Scale Condition In A Sharpe Ratio Performance Evaluation Setting
by Benjamin R. Auer - 1-24 Conditional Asian Options
by Runhuan Feng & Hans W. Volkmer - 1-25 The 3/2 Model As A Stochastic Volatility Approximation For A Large-Basket Price-Weighted Index
by Ben Hambly & Juozas Vaicenavicius - 1-30 Computation Of Greeks For Jump-Diffusion Models
by M'Hamed Eddahbi & Sidi Mohamed Lalaoui Ben Cherif & Abdelaziz Nasroallah - 1-31 Calibration Of Stochastic Volatility Models Via Second-Order Approximation: The Heston Case
by Elisa Alòs & Rafael De Santiago & Josep Vives - 1-38 The Time-Dependent Fx-Sabr Model: Efficient Calibration Based On Effective Parameters
by Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee - 1-40 A Change Of Measure Preserving The Affine Structure In The Barndorff-Nielsen And Shephard Model For Commodity Markets
by Fred Espen Benth & Salvador Ortiz-Latorre
2015, Volume 18, Issue 05
- 1-22 Cva And Fva To Derivatives Trades Collateralized By Cash
by Lixin Wu - 1-24 HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
by Andrey Itkin - 1-24 Local Risk-Minimization Under Markov-Modulated Exponential Lévy Model
by Olivier Menoukeu-Pamen & Romuald Momeya - 1-26 Critical Transaction Costs And 1-Step Asymptotic Arbitrage In Fractional Binary Markets
by Fernando Cordero & Lavinia Perez-Ostafe - 1-31 An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting
by Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang - 1-44 Regulatory Capital Modeling For Credit Risk
by Marek Rutkowski & Silvio Tarca - 1-46 Portfolio Optimization In Affine Models With Markov Switching
by Marcos Escobar & Daniela Neykova & Rudi Zagst
2015, Volume 18, Issue 04
- 1-13 A Dupire Equation For A Regime-Switching Model
by Robert J. Elliott & Leunglung Chan & Tak Kuen Siu - 1-14 Short-Time Implied Volatility In Exponential Lévy Models
by Erik Ekström & Bing Lu - 1-14 Return-Predicting Factors For Us Treasuries: On The Similarity Of "Tents" And "Bats"
by Riccardo Rebonato - 1-15 Skew And Implied Leverage Effect: Smile Dynamics Revisited
by Vincent Vargas & Tung-Lam Dao & Jean-Philippe Bouchaud - 1-26 Approximate Hedging Of Options Under Jump-Diffusion Processes
by Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella - 1-43 An Analytical Approximation For European Option Prices Under Stochastic Interest Rates
by Hideharu Funahashi - 1-48 Progressive Filtration Expansions Via A Process, With Applications To Insider Trading
by Younes Kchia & Philip Protter
2015, Volume 18, Issue 03
- 1-22 No-Arbitrage Bounds On Two One-Touch Options
by Yukihiro Tsuzuki - 1-27 Coherent Chaos Interest-Rate Models
by Dorje C. Brody & Stala Hadjipetri - 1-31 Coco Bonds Pricing With Credit And Equity Calibrated First-Passage Firm Value Models
by Damiano Brigo & João Garcia & Nicola Pede - 1-31 Cva With Wrong Way Risk: Sensitivities, Volatility And Hedging
by Omar El Hajjaji & Alexander Subbotin - 1-31 Accelerated Share Repurchase: Pricing And Execution Strategy
by Olivier Guéant & Jiang Pu & Guillaume Royer - 1-31 Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit
by Tim Leung & Xin Li - 1-44 Pricing Two-Asset Barrier Options Under Stochastic Correlation Via Perturbation
by Marcos Escobar & Barbara Götz & Daniela Neykova & Rudi Zagst
2015, Volume 18, Issue 02
- 1-10 A Note On The Self-Financing Condition For Funding, Collateral And Discounting
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu - 1-16 Portfolio Return Distributions: Sample Statistics With Stochastic Correlations
by Desislava Chetalova & Thilo A. Schmitt & Rudi Schäfer & Thomas Guhr - 1-25 Risk Seeking, Nonconvex Remuneration And Regime Switching
by Emilio Barucci & Daniele Marazzina - 1-25 Left-Wing Asymptotics Of The Implied Volatility In The Presence Of Atoms
by Archil Gulisashvili - 1-30 Liquidity Risk, Instead Of Funding Costs, Leads To A Valuation Adjustment For Derivatives And Other Assets
by Bert-Jan Nauta - 1-32 The British Knock-Out Put Option
by Luluwah Al-Fagih - 1-35 Forward Prices As Functionals Of The Spot Path In Commodity Markets Modeled By Levy Semistationary Processes
by Fred Espen Benth & Sara Ana Solanilla Blanco
2015, Volume 18, Issue 01
- 1-21 Electricity Futures Price Modeling With Lévy Term Structure Models
by Francesca Biagini & Julia Bregman & Thilo Meyer-Brandis - 1-25 Consistent Parallel And Proportional Shifts In The Term Structure Of Futures Prices
by Mia Hinnerich - 1-25 Role Of Information In Pricing Default-Sensitive Contingent Claims
by Monique Jeanblanc & Marta Leniec - 1-27 Optimal Credit Allocation Under Regime Uncertainty With Sensitivity Analysis
by Guillaume Bernis & Laurence Carassus & Grégoire Docq & Simone Scotti - 1-30 Lifetime Consumption And Investment For Worst-Case Crash Scenarios
by Sascha Desmettre & Ralf Korn & Frank Thomas Seifried - 1-34 Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets
by Claudio Fontana - 1-35 Algorithmic Counterparty Credit Exposure For Multi-Asset Bermudan Options
by Yanbin Shen & J. H. M. Anderluh & J. A. M. Van Der Weide
2014, Volume 17, Issue 08
- 1-15 Constant Maturity Treasury Convexity Correction
by Mario Pucci - 1-17 A New Argument In Favor Of Hyperbolic Discounting In Very Long Term Project Appraisal
by Salvador Cruz Rambaud - 1-19 On The Credit Risk Of Secured Loans With Maximum Loan-To-Value Covenants
by Fabian Astic & Agnès Tourin - 1-23 Reduced-Order Models For The Implied Variance Under Local Volatility
by Ekkehard W. Sachs & Marina Schneider - 1-27 Information And Optimal Investment In Defaultable Assets
by Giulia Di Nunno & Steffen Sjursen - 1-27 On The Shape Of Risk Aversion And Asset Allocation
by Pierre Six - 1-36 American Options With Gradual Exercise Under Proportional Transaction Costs
by Alet Roux & Tomasz Zastawniak
2014, Volume 17, Issue 07
- 1-22 An Improved Markov Chain Approximation Methodology: Derivatives Pricing And Model Calibration
by Chia Chun Lo & Konstantinos Skindilias - 1-29 Estimating Residual Hedging Risk With Least-Squares Monte Carlo
by Stefan Ankirchner & Christian Pigorsch & Nikolaus Schweizer - 1-29 Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps
by Rüdiger Frey & Lars Rösler - 1-30 The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
by Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee - 1-31 Multiscale Stochastic Volatility Model For Derivatives On Futures
by Jean-Pierre Fouque & Yuri F. Saporito & Jorge P. Zubelli - 1-34 Heat Kernel Models For Asset Pricing
by Andrea Macrina - 1-44 Credit Risk Valuation With Rating Transitions And Partial Information
by Donatien Hainaut & Christian Yann Robert
2014, Volume 17, Issue 06
- 1-13 Effective And Simple Vwap Options Pricing Model
by Alexander Buryak & Ivan Guo - 1-16 An Effective Approximation For Zero-Coupon Bonds And Arrow–Debreu Prices In The Black–Karasinski Model
by Beáta Stehlíková & Luca Capriotti - 1-22 Calibration Of The Uni-Variate Cox–Ingersoll–Ross Model And Parameters Selection Through The Kullback–Leibler Divergence
by Stephane Dang-Nguyen & Jean-Marc Le Caillec & Alain Hillion - 1-25 The Number Of Regimes Across Asset Returns: Identification And Economic Value
by Mathieu Gatumel & Florian Ielpo - 1-26 The Binomial Interpolated Lattice Method For Step Double Barrier Options
by Elisa Appolloni & Marcellino Gaudenzi & Antonino Zanette - 1-29 Justification Of Per-Unit Risk Capital Allocation In Portfolio Credit Risk Models
by Gregor Dorfleitner & Tamara Pfister - 1-46 Optimality Of Payoffs In Lévy Models
by Ernst August Von Hammerstein & Eva Lütkebohmert & Ludger Rüschendorf & Viktor Wolf
2014, Volume 17, Issue 05
- 1-15 Evolution Of Firm Size
by Lukas Gonon & L. C. G. Rogers - 1-16 Representation Of Bsde-Based Dynamic Risk Measures And Dynamic Capital Allocations
by Eduard Kromer & Ludger Overbeck - 1-20 On Dynamic Forward Rate Modeling And Principal Component Analysis
by Hans-Peter Bermin - 1-27 Binary Markets Under Transaction Costs
by Fernando Cordero & Irene Klein & Lavinia Perez-Ostafe - 1-33 Market Making And Portfolio Liquidation Under Uncertainty
by Kaj Nyström & Sidi Mohamed Ould Aly & Changyong Zhang - 1-58 METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
by Sergei Levendorskiĭ
2014, Volume 17, Issue 04
- 1-18 A Finite-Horizon Optimal Investment And Consumption Problem Using Regime-Switching Models
by R. H. Liu - 1-23 Efficient Computation Of Exposure Profiles For Counterparty Credit Risk
by Cornelis S. L. De Graaf & Qian Feng & Drona Kandhai & Cornelis W. Oosterlee - 1-24 Convergence Of European Lookback Options With Floating Strike In The Binomial Model
by Fabien Heuwelyckx - 1-27 Utility Maximization In A Binomial Model With Transaction Costs: A Duality Approach Based On The Shadow Price Process
by Christian Bayer & Bezirgen Veliyev - 1-32 Prepayment Option Of A Perpetual Corporate Loan: The Impact Of The Funding Costs
by Timothee Papin & Gabriel Turinici - 1-34 Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform
by Gian Luca Tassinari & Michele Leonardo Bianchi - 1-34 Closed-Form Approximation Of Perpetual Timer Option Prices
by Minqiang Li & Fabio Mercurio
2014, Volume 17, Issue 03
- 1-13 Pricing Equations In Jump-To-Default Models
by Hannah Dyrssen & Erik Ekström & Johan Tysk - 1-14 A Spread-Return Mean-Reverting Model For Credit Spread Dynamics
by Brendan O'Donoghue & Matthew Peacock & Jacky Lee & Luca Capriotti - 1-24 Behavior Of Long-Term Yields In A Lévy Term Structure
by Francesca Biagini & Maximilian Härtel - 1-26 Option Pricing Using A Regime Switching Stochastic Discount Factor
by Robert J. Elliott & Ahmed S. Hamada - 1-36 European Options Sensitivity With Respect To The Correlation For Multidimensional Heston Models
by Lokman A. Abbas-Turki & Damien Lamberton - 1-41 Credit-Equity Modeling Under A Latent Lévy Firm Process
by Masaaki Kijima & Chi Chung Siu - 1-44 Utility Theory Front To Back — Inferring Utility From Agents' Choices
by Alexander M. G. Cox & David Hobson & Jan Obłój
2014, Volume 17, Issue 02
- 1-22 Strong Convergence For Euler–Maruyama And Milstein Schemes With Asymptotic Method
by Hideyuki Tanaka & Toshihiro Yamada - 1-27 The Carma Interest Rate Model
by Arne Andresen & Fred Espen Benth & Steen Koekebakker & Valeriy Zakamulin - 1-28 Vector-Valued Coherent Risk Measure Processes
by Imen Ben Tahar & Emmanuel Lépinette - 1-31 Optimal Capital Structure With Scale Effects Under Spectrally Negative Lévy Models
by Budhi Arta Surya & Kazutoshi Yamazaki - 1-32 Expansion Formulas For Bivariate Payoffs With Application To Best-Of Options On Equity And Inflation
by Emmanuel Gobet & Julien Hok - 1-33 An Algorithm For Calculating The Set Of Superhedging Portfolios In Markets With Transaction Costs
by Andreas Löhne & Birgit Rudloff - 1-35 VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS
by Chuan-Hsiang Han & Wei-Han Liu & Tzu-Ying Chen
2014, Volume 17, Issue 01
- 1-15 Lower Bound Approximation To Basket Option Values For Local Volatility Jump-Diffusion Models
by Guoping Xu & Harry Zheng - 1-19 Two Processes For Two Prices
by Dilip B. Madan & Wim Schoutens - 1-23 Volatility Derivatives And Model-Free Implied Leverage
by Masaaki Fukasawa - 1-23 Covariance And Correlation Swaps For Financial Markets With Markov-Modulated Volatilities
by Giovanni Salvi & Anatoliy V. Swishchuk - 1-26 Value-At-Risk Computations In Stochastic Volatility Models Using Second-Order Weak Approximation Schemes
by Eva Lütkebohmert & Lydienne Matchie - 1-33 Are Time Consistent Valuations Information Monotone?
by Raimund M. Kovacevic & Georg Ch Pflug - 1-47 The Efficient Computation Of Prices And Greeks For Callable Range Accruals Using The Displaced-Diffusion Lmm
by Christopher Beveridge & Mark Joshi
2013, Volume 16, Issue 08
- 1-14 Digital Double Barrier Options: Several Barrier Periods And Structure Floors
by Sühan Altay & Stefan Gerhold & Rainer Haidinger & Karin Hirhager - 1-15 Simple Simulation Schemes For Cir And Wishart Processes
by Paolo Baldi & Camilla Pisani - 1-20 The Large-Maturity Smile For The Sabr And Cev-Heston Models
by Martin Forde & Andrey Pogudin - 1-25 Numerical Schemes For Option Pricing In Regime-Switching Jump Diffusion Models
by Ionut Florescu & Ruihua Liu & Maria Cristina Mariani & Granville Sewell - 1-27 Automated Option Pricing: Numerical Methods
by Pierre Henry-Labordère - 1-29 A Simple Time-Consistent Model For The Forward Density Process
by Henrik Hult & Filip Lindskog & Johan Nykvist - 1-33 Numerical Procedures For A Wrong Way Risk Model With Lognormal Hazard Rates And Gaussian Interest Rates
by Leslie Ng - 1-35 Local Stochastic Volatility With Jumps: Analytical Approximations
by Stefano Pagliarani & Andrea Pascucci
2013, Volume 16, Issue 07
- 1-17 Pricing Illiquid Options With N + 1 Liquid Proxies Using Mixed Dynamic-Static Hedging
by Igor Halperin & Andrey Itkin - 1-20 Bilateral Counterparty Risk Valuation Of Cds Contracts With Simultaneous Defaults
by Long Teng & Matthias Ehrhardt & Michael Günther - 1-20 Allocating Systemic Risk In A Regulatory Perspective
by C. Gourieroux & A. Monfort - 1-30 European Option Pricing With Liquidity Shocks
by Michael Ludkovski & Qunying Shen - 1-40 Cva Under Alternative Settlement Conventions And With Systemic Risk
by Cyril Durand & Marek Rutkowski - 1-45 Optimal Risk Control Under Marked Point Processes Shocks: A Dynamic Programming Duality Approach
by Mohamed Mnif
2013, Volume 16, Issue 06
- 1-7 A Concise Characterization Of Optimal Consumption With Logarithmic Preferences
by Ralf Korn & Frank Thomas Seifried - 1-17 On Optimal Super-Hedging And Sub-Hedging Strategies
by Yukihiro Tsuzuki - 1-27 Resilient Price Impact Of Trading And The Cost Of Illiquidity
by Alexandre Roch & H. Mete Soner - 1-29 Valuing Early-Exercise Interest-Rate Options With Multi-Factor Affine Models
by Sebastian Jaimungal & Vladimir Surkov - 1-30 Commodity Price Dynamics And Derivative Valuation: A Review
by Janis Back & Marcel Prokopczuk
2013, Volume 16, Issue 05
- 1-23 Note On An Extension Of An Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - 1-24 An Application Of The Method Of Moments To Range-Based Volatility Estimation Using Daily High, Low, Opening, And Closing (Hloc) Prices
by Cristin Buescu & Michael Taksar & Fatoumata J. Koné - 1-30 Real Options With Priced Regime-Switching Risk
by John Driffill & Turalay Kenc & Martin Sola - 1-36 Pricing Step Options Under The Cev And Other Solvable Diffusion Models
by G. Campolieti & R. Makarov & K. Wouterloot - 1-38 Portfolio Selection Problems Consistent With Given Preference Orderings
by Sergio Ortobelli Lozza & Haim Shalit & Frank J. Fabozzi - 1-40 A Mathematical Approach To Order Book Modeling
by Frédéric Abergel & Aymen Jedidi - 1-51 Implications For Hedging Of The Choice Of Driving Process For One-Factor Markov-Functional Models
by Joanne E. Kennedy & Duy Pham
2013, Volume 16, Issue 04
- 1-14 The Intersection Between European Put Price And Its Payoff Function
by Jin E. Zhang & Shoujun Huang & Tiecheng Li - 1-18 Libor Market Model Under The Real-World Measure
by Takashi Yasuoka - 1-20 Factor Uniqueness In The S&P 500 Universe: Can Proprietary Factors Exist?
by Sergio M. Focardi & Frank J. Fabozzi - 1-23 Explosive Behavior In A Log-Normal Interest Rate Model
by Dan Pirjol - 1-26 Credit Modeling Under Jump Diffusions With Exponentially Distributed Jumps — Stable Calibration, Dynamics And Gap Risk
by Martin Hellmich & Stefan Kassberger & Wolfgang M. Schmidt - 1-28 Credit Derivatives Pricing With Stochastic Volatility Models
by Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios - 1-43 Pricing Credit Derivatives In A Markov-Modulated Reduced-Form Model
by Tamal Banerjee & Mrinal K. Ghosh & Srikanth K. Iyer
2013, Volume 16, Issue 03
- 1-14 A Note On The Double Impact On Cva For Cds: Wrong-Way Risk With Stochastic Recovery
by Hui Li - 1-15 Lookback Option Prices Under A Spectrally Negative Tempered-Stable Model
by Guillaume Coqueret - 1-23 Monotonicity Of Prices In Heston Model
by S. M. Ould Aly - 1-34 On Valuation With Stochastic Proportional Hazard Models In Finance
by Akira Yamazaki - 1-35 Pricing European And American Options In The Heston Model With Accelerated Explicit Finite Differencing Methods
by Conall O'Sullivan & Stephen O'Sullivan - 1-38 Chi-Square Simulation Of The Cir Process And The Heston Model
by Simon J. A. Malham & Anke Wiese - 1-40 Efficient Laplace Inversion, Wiener-Hopf Factorization And Pricing Lookbacks
by Svetlana Boyarchenko & Sergei Levendorskiĭ
2013, Volume 16, Issue 02
- 1-9 Preface
by Stéphane Crépey - 1-16 Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation And Wrong-Way Risk
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou - 1-29 Informationally Dynamized Gaussian Copula
by S. Crépey & M. Jeanblanc & D. Wu - 1-29 Restructuring Counterparty Credit Risk
by Claudio Albanese & Damiano Brigo & Frank Oertel - 1-31 Counterparty Risk And Funding: The Four Wings Of The Tva
by Stéphane Crépey & Rémi Gerboud & Zorana Grbac & Nathalie Ngor - 1-32 Collateralized Cva Valuation With Rating Triggers And Credit Migrations
by Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler
2013, Volume 16, Issue 01
- 1-18 Pricing Joint Claims On An Asset And Its Realized Variance In Stochastic Volatility Models
by Lorenzo Torricelli - 1-23 Continuously Controlled Options: Derivatives With Added Flexibility
by Nikolai Dokuchaev - 1-36 Dynamic Conic Finance: Pricing And Hedging In Market Models With Transaction Costs Via Dynamic Coherent Acceptability Indices
by Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez - 1-37 Priority Option: The Value Of Being A Leader
by M. R. Grasselli & V. Leclère & M. Ludkovski - 1-98 Asymptotics For Exponential Lévy Processes And Their Volatility Smile: Survey And New Results
by Leif Andersen & Alexander Lipton
2012, Volume 15, Issue 08
- 1-19 Attainable Contingent Claims In A Markovian Regime-Switching Market
by Robert J. Elliott & Tak Kuen Siu - 1-23 The Small And Large Time Implied Volatilities In The Minimal Market Model
by Zhi Jun Guo & Eckhard Platen - 1-24 In-Arrears Term Structure Products: No Arbitrage Pricing Bounds And The Convexity Adjustments
by An Chen & Klaus Sandmann - 1-24 The Wishart Short Rate Model
by Alessandro Gnoatto - 1-30 A Closed-Form Extension To The Black-Cox Model
by Aurélien Alfonsi & Jérôme Lelong - 1-34 Risk Premia And Optimal Liquidation Of Credit Derivatives
by Tim Leung & Peng Liu - 1-36 Hermite Binomial Trees: A Novel Technique For Derivatives Pricing
by Arturo Leccadito & Pietro Toscano & Radu S. Tunaru
2012, Volume 15, Issue 07
- 1-18 Cms, Cms Spreads And Similar Options In The Multi-Factor Hjm Framework
by Pierre Hanton & Marc Henrard - 1-20 A Central Limit Theorem For Latin Hypercube Sampling With Dependence And Application To Exotic Basket Option Pricing
by Christoph Aistleitner & Markus Hofer & Robert Tichy - 1-21 An Implied Volatility Model Determined By Credit Default Swaps
by Pascal Heider - 1-22 Utility Based Pricing And Hedging Of Jump Diffusion Processes With A View To Applications
by Jochen Zahn - 1-29 Nearly Exact Option Price Simulation Using Characteristic Functions
by Carole Bernard & Zhenyu Cui & Don Mcleish - 1-32 Worst-Of Options And Correlation Skew Under A Stochastic Correlation Framework
by Jacinto Marabel Romo - 1-44 Efficient Pricing And Reliable Calibration In The Heston Model
by Sergei Levendorskiĭ
2012, Volume 15, Issue 06
- 1-12 Dupire'S Equation For Bubbles
by Erik Ekström & Johan Tysk - 1-21 Tenor Specific Pricing
by Dilip B. Madan & Wim Schoutens