Pages that link to "Item:Q2786205"

The following pages link to Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205):

Displaying 50 items.

• A tractable LIBOR model with default risk (Q356479) (← links)
• Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
• Multivariate supOU processes (Q627238) (← links)
• Robustness of quadratic hedging strategies in finance via Fourier transforms (Q898933) (← links)
• Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
• The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk (Q1627633) (← links)
• Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
• Pricing extendible options using the fast Fourier transform (Q1719223) (← links)
• Barrier style contracts under Lévy processes once again (Q1744875) (← links)
• A multiple-curve HJM model of interbank risk (Q1938982) (← links)
• Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity (Q1998313) (← links)
• Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• The deep parametric PDE method and applications to option pricing (Q2161843) (← links)
• Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Fourier based methods for the management of complex life insurance products (Q2665862) (← links)
• Pricing and hedging of energy spread options and volatility modulated Volterra processes (Q2797872) (← links)
• BSDEs, càdlàg martingale problems, and orthogonalization under basis risk (Q2813078) (← links)
• The affine LIBOR models (Q2851558) (← links)
• Variance optimal hedging for continuous time additive processes and applications (Q2875261) (← links)
• Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517) (← links)
• A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
• RANDOM TIME FORWARD-STARTING OPTIONS (Q2953302) (← links)
• COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
• Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
• Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) (← links)
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
• Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
• A multiple-curve Lévy forward rate model in a two-price economy (Q4554436) (← links)
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes (Q4585676) (← links)
• Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037) (← links)
• Variational Solutions of the Pricing PIDEs for European Options in Lévy Models (Q4586315) (← links)
• Computing Greeks for Lévy Models: The Fourier Transform Approach (Q4606769) (← links)
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
• A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Q4609028) (← links)
• Multivariate Shortfall Risk Allocation and Systemic Risk (Q4635243) (← links)
• Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk (Q4682471) (← links)
• On the Method of Optimal Portfolio Choice by Cost-Efficiency (Q4682703) (← links)
• A Lévy HJM multiple-curve model with application to CVA computation (Q4683048) (← links)
• Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model (Q4689913) (← links)
• On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (Q4916404) (← links)
• Option Pricing in Affine Generalized Merton Models (Q4976500) (← links)
• Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (Q4976513) (← links)
• Variable annuities in a Lévy-based hybrid model with surrender risk (Q4991063) (← links)
• A Multiple Curve Lévy Swap Market Model (Q4994676) (← links)
• Rational multi-curve models with counterparty-risk valuation adjustments (Q5001175) (← links)
• A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
• Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)