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Trading the FX volatility risk premium with machine learning and alternative data.
- Published in:
- Journal of Finance & Data Science, 2022, v. 8, p. 162, doi. 10.1016/j.jfds.2022.07.001
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- Article
Heston Model: The Variance Swap Calibration.
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- Journal of Optimization Theory & Applications, 2014, v. 161, n. 1, p. 76, doi. 10.1007/s10957-013-0331-7
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- Article
Option returns.
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- Frontiers of Mathematical Finance, 2023, v. 2, n. 2, p. 1, doi. 10.3934/fmf.2023007
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- Article
Arbitrage Free Approximations to Candidate Volatility Surface Quotations.
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- Journal of Risk & Financial Management, 2019, v. 12, n. 2, p. 1, doi. 10.3390/jrfm12020069
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- Article
Completion of a Lévy market by power-jump assets.
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- Finance & Stochastics, 2005, v. 9, n. 1, p. 109, doi. 10.1007/s00780-004-0139-2
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- Article
Performance of advanced stock price models when it becomes exotic: an empirical study.
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- Annals of Finance, 2022, v. 18, n. 1, p. 109, doi. 10.1007/s10436-021-00396-2
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- Article
Implied liquidity risk premia in option markets.
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- Annals of Finance, 2019, v. 15, n. 2, p. 233, doi. 10.1007/s10436-018-0339-y
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- Article
Conic asset pricing and the costs of price fluctuations.
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- Annals of Finance, 2019, v. 15, n. 1, p. 29, doi. 10.1007/s10436-018-0328-1
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- Article
Two price economies in continuous time.
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- Annals of Finance, 2014, v. 10, n. 1, p. 71, doi. 10.1007/s10436-013-0228-3
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- Article
Now decision theory.
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- Probability, Uncertainty & Quantitative Risk, 2023, v. 8, n. 3, p. 391, doi. 10.3934/puqr.2023018
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- Article
Zero covariation returns.
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- Probability, Uncertainty & Quantitative Risk, 2018, v. 3, n. 1, p. N.PAG, doi. 10.1186/s41546-018-0031-1
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- Article
Implied Tail Risk and ESG Ratings.
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- Mathematics (2227-7390), 2021, v. 9, n. 14, p. 1611, doi. 10.3390/math9141611
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- Article
PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL.
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- International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 5, p. 663, doi. 10.1142/S0219024909005397
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- Article
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT.
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- International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 4, p. 403, doi. 10.1142/S0219024908004865
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- Article
SELF EXCITING THRESHOLD INTEREST RATES MODELS.
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- International Journal of Theoretical & Applied Finance, 2006, v. 9, n. 7, p. 1093, doi. 10.1142/S0219024906003937
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- Article
THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY.
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- International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 8, p. 839, doi. 10.1142/S0219024903002249
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- Article
A risk model driven by Lévy processes.
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- Applied Stochastic Models in Business & Industry, 2003, v. 19, n. 2, p. 147, doi. 10.1002/asmb.492
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- Article
IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS.
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- Journal of Economic Surveys, 2017, v. 31, n. 1, p. 169, doi. 10.1111/joes.12129
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- Article
Self‐similarity in long‐horizon returns.
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- Mathematical Finance, 2020, v. 30, n. 4, p. 1368, doi. 10.1111/mafi.12269
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- Article
SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS.
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- Mathematical Finance, 2013, v. 23, n. 1, p. 198, doi. 10.1111/j.1467-9965.2011.00485.x
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- Article
Calibration risk: Illustrating the impact of calibration risk under the Heston model.
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- Review of Derivatives Research, 2012, v. 15, n. 1, p. 57, doi. 10.1007/s11147-011-9069-2
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- Article
The β-variance gamma model.
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- Review of Derivatives Research, 2011, v. 14, n. 3, p. 263, doi. 10.1007/s11147-010-9057-y
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- Article
Single name credit default swaptions meet single sided jump models.
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- Review of Derivatives Research, 2008, v. 11, n. 1/2, p. 153, doi. 10.1007/s11147-008-9027-9
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- Article
It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling.
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- Risks, 2021, v. 9, n. 11, p. 196, doi. 10.3390/risks9110196
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- Article
Contingent Capital: An In-Depth Discussion* Contingent Capital: An In-Depth Discussion.
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- Economic Notes, 2012, v. 41, n. 1/2, p. 59, doi. 10.1111/j.1468-0300.2012.00238.x
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- Article
Bilateral multiple gamma returns: Their risks and rewards.
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- International Journal of Financial Engineering, 2020, v. 7, n. 1, p. N.PAG, doi. 10.1142/S2424786320500085
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- Article
The impact of skew on the pricing of CoCo bonds.
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- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500128
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- Article
Contingent conversion convertible bond: New avenue to raise bank capital.
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- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500013
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- Article
EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS.
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- International Journal of Theoretical & Applied Finance, 2019, v. 22, n. 2, p. N.PAG, doi. 10.1142/S0219024918500632
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- Article
PREFACE.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 2, p. -1, doi. 10.1142/S0219024918020016
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- Article
CONIC CPPIs.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 2, p. -1, doi. 10.1142/S0219024918500127
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- Article
MEASURING AND MONITORING THE EFFICIENCY OF MARKETS.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 8, p. -1, doi. 10.1142/S0219024917500510
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- Article
CONIC TRADING IN A MARKOVIAN STEADY STATE.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 2, p. -1, doi. 10.1142/S0219024917500108
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- Article
TWO PROCESSES FOR TWO PRICES.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 1, p. 1, doi. 10.1142/S0219024914500058
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- Article
TENOR SPECIFIC PRICING.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500434
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- Article
CONIC FINANCE AND THE CORPORATE BALANCE SHEET.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 5, p. 587, doi. 10.1142/S0219024911006541
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- Article
Pricing Contingent Convertibles: A Derivatives Approach.
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- Journal of Derivatives, 2012, v. 20, n. 2, p. 27, doi. 10.3905/jod.2012.20.2.027
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- Article
Static Hedging of Asian Options under Lévy Models.
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- Journal of Derivatives, 2005, v. 12, n. 3, p. 63, doi. 10.3905/jod.2005.479381
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- Article
Optimal Investment in a Levy Market.
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- Applied Mathematics & Optimization, 2006, v. 53, n. 3, p. 279, doi. 10.1007/s00245-005-0846-x
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- Article
Multiple Trigger CoCos: Contingent Debt Without Death Spiral Risk.
- Published in:
- Financial Markets, Institutions & Instruments, 2013, v. 22, n. 2, p. 129, doi. 10.1111/fmii.12007
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- Article