Pages that link to "Item:Q703592"
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The following pages link to Martingale methods in financial modelling. (Q703592):
Displaying 50 items.
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (Q2296110) (← links)
- Pricing and hedging of inflation-indexed bonds in an affine framework (Q2349617) (← links)
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (Q2357445) (← links)
- Pricing currency option based on the extension principle and defuzzification via weighting parameter identification (Q2375610) (← links)
- Model uncertainty, recalibration, and the emergence of delta-vega hedging (Q2412385) (← links)
- Pricing cross-currency interest rate swaps under the Lévy market model (Q2423932) (← links)
- A comonotonicity-based valuation method for guaranteed annuity options (Q2448346) (← links)
- Almost sure optimal hedging strategy (Q2511561) (← links)
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852) (← links)
- Default probabilities of a holding company, with complete and partial information (Q2517514) (← links)
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model (Q2656030) (← links)
- Capital structure and tax convexity when the maturity of debt is finite (Q2797870) (← links)
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412) (← links)
- Pricing chained options with curved barriers (Q2851563) (← links)
- On Gaussian HJM framework for Eurodollar futures (Q2862428) (← links)
- The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage (Q2923401) (← links)
- Admissibility of generic market models of forward swap rates (Q2927948) (← links)
- Pricing European Options Under Stochastic Volatilities Models (Q2960559) (← links)
- Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal (Q2967980) (← links)
- A Closed-Form Formula for an Option with Discrete and Continuous Barriers (Q3083786) (← links)
- Rational term structure models with geometric Lévy martingales (Q3145086) (← links)
- Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111) (← links)
- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
- Option pricing formulas under a change of numèraire (Q3298110) (← links)
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES (Q3503044) (← links)
- FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (Q3520339) (← links)
- Problems of Mathematical Finance by Stochastic Control Methods (Q3557801) (← links)
- IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES (Q3560082) (← links)
- Static Replication of Forward-Start Claims and Realized Variance Swaps (Q3565101) (← links)
- REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (Q3580220) (← links)
- BARRIER OPTION PRICING BY BRANCHING PROCESSES (Q3655557) (← links)
- Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates (Q4561924) (← links)
- Yield Curve Smoothing and Residual Variance of Fixed Income Positions (Q4561934) (← links)
- Pricing of Volume-Weighted Average Options: Analytical Approximations and Numerical Results (Q4561946) (← links)
- Modelling the Uruguayan Debt Through Gaussians Models (Q4606782) (← links)
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (Q4610206) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213) (← links)
- Efficient exposure computation by risk factor decomposition (Q4619510) (← links)
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
- SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST (Q4635043) (← links)
- Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)
- Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds (Q4682485) (← links)
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance (Q4682492) (← links)
- Liquidity Costs: A New Numerical Methodology and an Empirical Study (Q4682700) (← links)
- GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY (Q4906545) (← links)
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
- A Unified View of LIBOR Models (Q4976510) (← links)
- Guiding the guiders: Foundations of a market-driven theory of disclosure (Q4989147) (← links)
