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QUANTO LOOKBACK OPTIONS.
- Published in:
- Mathematical Finance, 2004, v. 14, n. 3, p. 445, doi. 10.1111/j.0960-1627.2004.00199.x
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- Article
Lasso-based simulation for high-dimensional multi-period portfolio optimization.
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- IMA Journal of Management Mathematics, 2020, v. 31, n. 3, p. 257, doi. 10.1093/imaman/dpz013
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- Article
Optimal investment and consumption problems under correlation ambiguity.
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- IMA Journal of Management Mathematics, 2020, v. 31, n. 1, p. 69, doi. 10.1093/imaman/dpz002
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- Article
Optimal Retirement Under Partial Information.
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- Mathematics of Operations Research, 2022, v. 47, n. 3, p. 1802, doi. 10.1287/moor.2021.1189
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- Article
Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion.
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- Journal of Derivatives, 2008, v. 15, n. 4, p. 61, doi. 10.3905/jod.2008.707211
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- Article
Variance swaps under the threshold Ornstein-Uhlenbeck model.
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- Applied Stochastic Models in Business & Industry, 2017, v. 33, n. 5, p. 507, doi. 10.1002/asmb.2252
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- Article
Jump Diffusion Models for Risky Debts.
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- International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 6, p. 655, doi. 10.1142/S0219024903002158
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- Article
Currency-Translated Foreign Equity Options with Path Dependent Features and Their Multi-Asset Extensions.
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- International Journal of Theoretical & Applied Finance, 2000, v. 3, n. 2, p. 257, doi. 10.1142/S0219024900000127
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- Article
Homotopy Analysis Method for Boundary-Value Problem of Turbo Warrant Pricing under Stochastic Volatility.
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- Abstract & Applied Analysis, 2013, p. 1, doi. 10.1155/2013/682524
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- Article
Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds.
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- Asia-Pacific Financial Markets, 2007, v. 14, n. 3, p. 229, doi. 10.1007/s10690-007-9061-x
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- Article
Discrete variance swap in a rough volatility economy.
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- Journal of Futures Markets, 2021, v. 41, n. 10, p. 1640, doi. 10.1002/fut.22242
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- Article
Robust Time-Inconsistent Stochastic Linear-Quadratic Control with Drift Disturbance.
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- Applied Mathematics & Optimization, 2022, v. 86, n. 1, p. 1, doi. 10.1007/s00245-022-09871-2
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- Article
Mean–Variance Portfolio Selection Under Volterra Heston Model.
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- Applied Mathematics & Optimization, 2021, v. 84, n. 1, p. 683, doi. 10.1007/s00245-020-09658-3
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- Article
Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy.
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- Risk Analysis: An International Journal, 2017, v. 37, n. 8, p. 1532, doi. 10.1111/risa.12801
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- Article
Roy's Safety-First Portfolio Principle in Financial Risk Management of Disastrous Events.
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- Risk Analysis: An International Journal, 2012, v. 32, n. 11, p. 1856, doi. 10.1111/j.1539-6924.2011.01751.x
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- Article
Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks.
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- Review of Derivatives Research, 2003, v. 6, n. 2, p. 83, doi. 10.1023/A:1027377228682
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- Article
Option Pricing with Threshold Mean Reversion.
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- Journal of Futures Markets, 2017, v. 37, n. 2, p. 107, doi. 10.1002/fut.21795
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- Article
Lévy betas: Static hedging with index futures Lévy betas: Static hedging with index futures.
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- Journal of Futures Markets, 2012, v. 32, n. 11, p. 1034, doi. 10.1002/fut.20548
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- Article
Currency option pricing: Mean reversion and multi-scale stochastic volatility.
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- Journal of Futures Markets, 2010, v. 30, n. 10, p. 938, doi. 10.1002/fut.20452
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- Article
Path-dependent currency options with mean reversion.
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- Journal of Futures Markets, 2008, v. 28, n. 3, p. 275, doi. 10.1002/fut.20306
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- Article
Duality in optimal consumption–investment problems with alternative data.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 709, doi. 10.1007/s00780-024-00535-3
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- Article
Robust state-dependent mean–variance portfolio selection: a closed-loop approach.
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- Finance & Stochastics, 2021, v. 25, n. 3, p. 529, doi. 10.1007/s00780-021-00457-4
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- Article
Bond portfolio optimization with long-range dependent credits.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 10, p. 1, doi. 10.3934/jimo.2022253
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- Article
Pairs trading with illiquidity and position limits.
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- Journal of Industrial & Management Optimization, 2020, v. 16, n. 6, p. 2991, doi. 10.3934/jimo.2019090
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- Article
Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated.
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- Journal of Risk & Insurance, 2017, v. 84, n. 3, p. 987, doi. 10.1111/jori.12110
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- Article