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Recovering Statistical Theory in the Context of Model Calibrations.
- Published in:
- Journal of Financial Econometrics, 2015, v. 13, n. 2, p. 260, doi. 10.1093/jjfinec/nbu020
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- Publication type:
- Article
Optimal Duration and Speed in the Long Run.
- Published in:
- Review of Economic Studies, 1987, v. 54, n. 4, p. 695, doi. 10.2307/2297491
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- Publication type:
- Article
CONTINUOUS-TIME FINANCE (Book).
- Published in:
- 1993
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- Publication type:
- Book Review
Calibration for Weak Variance-Alpha-Gamma Processes.
- Published in:
- Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1151, doi. 10.1007/s11009-018-9655-y
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- Publication type:
- Article
Multiple Priors and Asset Pricing.
- Published in:
- Methodology & Computing in Applied Probability, 2009, v. 11, n. 2, p. 211, doi. 10.1007/s11009-007-9051-5
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- Publication type:
- Article
Rational hedging with a diversity of implied volatilities.
- Published in:
- Frontiers of Mathematical Finance, 2024, v. 3, n. 3, p. 1, doi. 10.3934/fmf.2024009
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- Publication type:
- Article
HIGH DIMENSIONAL MARKOVIAN TRADING OF A SINGLE STOCK.
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- Frontiers of Mathematical Finance, 2022, v. 1, n. 3, p. 375, doi. 10.3934/fmf.2022001
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- Publication type:
- Article
FINANCIAL ACTIVITY TIME.
- Published in:
- Frontiers of Mathematical Finance, 2023, v. 2, n. 4, p. 416, doi. 10.3934/fmf.2023016
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- Publication type:
- Article
Exposure valuations and their capital requirements.
- Published in:
- Frontiers of Mathematical Finance, 2023, v. 2, n. 3, p. 1, doi. 10.3934/fmf.2023006
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- Publication type:
- Article
Option returns.
- Published in:
- Frontiers of Mathematical Finance, 2023, v. 2, n. 2, p. 1, doi. 10.3934/fmf.2023007
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- Publication type:
- Article
IMPLIED PRICE PROCESSES ANCHORED IN STATISTICAL REALIZATIONS.
- Published in:
- Frontiers of Mathematical Finance, 2022, v. 1, n. 3, p. 321, doi. 10.3934/fmf.2021008
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- Publication type:
- Article
QUADRATIC VARIATION, MODELS, APPLICATIONS AND LESSONS.
- Published in:
- Frontiers of Mathematical Finance, 2022, v. 1, n. 2, p. 189, doi. 10.3934/fmf.2021007
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- Publication type:
- Article
Pricing Product Options and Using Them to Complete Markets for Functions of Two Underlying Asset Prices.
- Published in:
- Journal of Risk & Financial Management, 2021, v. 14, n. 8, p. 1, doi. 10.3390/jrfm14080355
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- Publication type:
- Article
Arbitrage Free Approximations to Candidate Volatility Surface Quotations.
- Published in:
- Journal of Risk & Financial Management, 2019, v. 12, n. 2, p. 1, doi. 10.3390/jrfm12020069
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- Publication type:
- Article
Project Evaluation and Accounting Income Forecasts.
- Published in:
- Abacus, 1985, v. 21, n. 2, p. 197, doi. 10.1111/j.1467-6281.1985.tb00119.x
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- Publication type:
- Article
Pricing options on realized variance.
- Published in:
- Finance & Stochastics, 2005, v. 9, n. 4, p. 453, doi. 10.1007/s00780-005-0155-x
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- Publication type:
- Article
Stochastic volatility, jumps and hidden time changes<AUG><AU>Hélyette<SNM>Geman<ORF RID="A1"><AU><FNMS>Dilip B.<SNM>Madan<ORF RID="A2"><AU><FNMS>Marc<SNM>Yor<ORF RID="A3"><AFF TYPE="ORG"><OID ID="A1"><OAD>University of Paris Dauphine and ESSEC...
- Published in:
- Finance & Stochastics, 2002, v. 6, n. 1, p. 63, doi. 10.1007/s780-002-8401-3
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- Publication type:
- Article
Optimal investment in derivative securities.
- Published in:
- Finance & Stochastics, 2001, v. 5, n. 1, p. 33, doi. 10.1007/s007800000023
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- Publication type:
- Article
Hedging contingent claims on semimartingales.
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- Finance & Stochastics, 1999, v. 3, n. 1, p. 111, doi. 10.1007/s007800050054
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- Publication type:
- Article
Two sided efficient frontiers at multiple time horizons.
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- Annals of Finance, 2022, v. 18, n. 3, p. 327, doi. 10.1007/s10436-022-00411-0
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- Publication type:
- Article
The valuation of corporations: a derivative pricing perspective.
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- Annals of Finance, 2023, v. 19, n. 1, p. 1, doi. 10.1007/s10436-023-00424-3
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- Publication type:
- Article
Two price economic equilibria and financial market bid/ask prices.
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- Annals of Finance, 2021, v. 17, n. 1, p. 27, doi. 10.1007/s10436-020-00377-x
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- Publication type:
- Article
Conic asset pricing and the costs of price fluctuations.
- Published in:
- Annals of Finance, 2019, v. 15, n. 1, p. 29, doi. 10.1007/s10436-018-0328-1
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- Publication type:
- Article
Financial equilibrium with non-linear valuations.
- Published in:
- Annals of Finance, 2018, v. 14, n. 2, p. 211, doi. 10.1007/s10436-017-0312-1
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- Publication type:
- Article
INFORMATIONAL CONTENT IN INTEREST RATE TERM STRUCTURES.
- Published in:
- Review of Economics & Statistics, 1993, v. 75, n. 4, p. 695, doi. 10.2307/2110024
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- Publication type:
- Article
APPROACHES TO THE SOLUTION OF STOCHASTIC INTERTEMPORAL CONSUMPTION MODELS.
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- Australian Economic Papers, 1995, v. 34, n. 64, p. 86, doi. 10.1111/j.1467-8454.1995.tb00018.x
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- Publication type:
- Article
The multinomial option pricing model and its Brownian and Poisson limits.
- Published in:
- Review of Financial Studies, 1989, v. 2, n. 2, doi. 10.1093/rfs/2.2.251
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- Publication type:
- Article
Now decision theory.
- Published in:
- Probability, Uncertainty & Quantitative Risk, 2023, v. 8, n. 3, p. 391, doi. 10.3934/puqr.2023018
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- Publication type:
- Article
Lower and upper pricing of financial assets.
- Published in:
- Probability, Uncertainty & Quantitative Risk, 2022, v. 7, n. 1, p. 45, doi. 10.3934/puqr.2022004
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- Publication type:
- Article
Correlated squared returns#.
- Published in:
- Probability, Uncertainty & Quantitative Risk, 2021, v. 6, n. 2, p. 139, doi. 10.3934/puqr.2021007
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- Publication type:
- Article
Zero covariation returns.
- Published in:
- Probability, Uncertainty & Quantitative Risk, 2018, v. 3, n. 1, p. N.PAG, doi. 10.1186/s41546-018-0031-1
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- Publication type:
- Article
HEDGE FUND PERFORMANCE:: SOURCES AND MEASURES.
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- International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 3, p. 267, doi. 10.1142/S0219024909005282
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- Article
Dealing with complex realities in financial modelling.
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- Current Science (00113891), 2012, v. 103, n. 6, p. 647
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- Publication type:
- Article
EXECUTION COSTS AND EFFICIENT EXECUTION FRONTIERS.
- Published in:
- Annals of Financial Economics, 2012, v. 7, n. 1, p. -1, doi. 10.1142/S2010495212500029
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- Publication type:
- Article
Self‐similarity in long‐horizon returns.
- Published in:
- Mathematical Finance, 2020, v. 30, n. 4, p. 1368, doi. 10.1111/mafi.12269
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- Publication type:
- Article
ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS.
- Published in:
- Mathematical Finance, 2016, v. 26, n. 2, p. 296, doi. 10.1111/mafi.12056
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- Publication type:
- Article
SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS.
- Published in:
- Mathematical Finance, 2013, v. 23, n. 1, p. 198, doi. 10.1111/j.1467-9965.2011.00485.x
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- Publication type:
- Article
SELF-DECOMPOSABILITY AND OPTION PRICING.
- Published in:
- Mathematical Finance, 2007, v. 17, n. 1, p. 31, doi. 10.1111/j.1467-9965.2007.00293.x
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- Publication type:
- Article
STOCHASTIC VOLATILITY FOR LÉVY PROCESSES.
- Published in:
- Mathematical Finance, 2003, v. 13, n. 3, p. 345, doi. 10.1111/1467-9965.00020
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- Publication type:
- Article
TIME CHANGES FOR LÉVY PROCESSES.
- Published in:
- Mathematical Finance, 2001, v. 11, n. 1, p. 79, doi. 10.1111/1467-9965.00108
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- Publication type:
- Article
THE SECOND FUNDAMENTAL THEOREM OF ASSET PRICING.
- Published in:
- Mathematical Finance, 1999, v. 9, n. 3, p. 255, doi. 10.1111/1467-9965.00070
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- Publication type:
- Article
A DISCRETE TIME EQUIVALENT MARTINGALE MEASURE.
- Published in:
- Mathematical Finance, 1998, v. 8, n. 2, p. 127, doi. 10.1111/1467-9965.00048
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- Publication type:
- Article
CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS.
- Published in:
- Mathematical Finance, 1994, v. 4, n. 3, p. 223, doi. 10.1111/j.1467-9965.1994.tb00093.x
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- Publication type:
- Article
Option Pricing With V. G. Martingale Components.
- Published in:
- Mathematical Finance, 1991, v. 1, n. 4, p. 39, doi. 10.1111/j.1467-9965.1991.tb00018.x
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- Publication type:
- Article
A Characterization of Complete Security Markets On A Brownian Filtration.
- Published in:
- Mathematical Finance, 1991, v. 1, n. 3, p. 31, doi. 10.1111/j.1467-9965.1991.tb00014.x
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- Publication type:
- Article
A tale of two volatilities.
- Published in:
- Review of Derivatives Research, 2009, v. 12, n. 3, p. 213, doi. 10.1007/s11147-009-9038-1
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- Publication type:
- Article
It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling.
- Published in:
- Risks, 2021, v. 9, n. 11, p. 196, doi. 10.3390/risks9110196
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- Publication type:
- Article
Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis.
- Published in:
- International Journal of Financial Engineering, 2022, v. 9, n. 2, p. 1, doi. 10.1142/S2424786321500328
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- Publication type:
- Article
Bilateral multiple gamma returns: Their risks and rewards.
- Published in:
- International Journal of Financial Engineering, 2020, v. 7, n. 1, p. N.PAG, doi. 10.1142/S2424786320500085
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- Publication type:
- Article
Asymmetries in financial returns.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 4, p. -1, doi. 10.1142/S2424786317500451
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- Publication type:
- Article