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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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- Article
Exposure valuations and their capital requirements.
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- Frontiers of Mathematical Finance, 2023, v. 2, n. 3, p. 1, doi. 10.3934/fmf.2023006
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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
Measuring Dependence in a Set of Asset Returns.
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- Asia-Pacific Financial Markets, 2023, v. 30, n. 2, p. 363, doi. 10.1007/s10690-022-09378-4
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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
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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- 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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- Article
IMPLIED PRICE PROCESSES ANCHORED IN STATISTICAL REALIZATIONS.
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- Frontiers of Mathematical Finance, 2022, v. 1, n. 3, p. 321, doi. 10.3934/fmf.2021008
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- 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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- Article
OPTION SURFACE STATISTICS WITH APPLICATIONS.
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- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 6, p. 1, doi. 10.1142/S0219024922500248
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- Article
QUADRATIC VARIATION, MODELS, APPLICATIONS AND LESSONS.
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- Frontiers of Mathematical Finance, 2022, v. 1, n. 2, p. 189, doi. 10.3934/fmf.2021007
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- Article
Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis.
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- International Journal of Financial Engineering, 2022, v. 9, n. 2, p. 1, doi. 10.1142/S2424786321500328
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- Article
Lower and upper pricing of financial assets.
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- Probability, Uncertainty & Quantitative Risk, 2022, v. 7, n. 1, p. 45, doi. 10.3934/puqr.2022004
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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.
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- Risks, 2021, v. 9, n. 11, p. 196, doi. 10.3390/risks9110196
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- Article
OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES.
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- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 05, p. 1, doi. 10.1142/S0219024921500308
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- Article
Pricing Product Options and Using Them to Complete Markets for Functions of Two Underlying Asset Prices.
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- Journal of Risk & Financial Management, 2021, v. 14, n. 8, p. 1, doi. 10.3390/jrfm14080355
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- Article
Correlated squared returns#.
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- Probability, Uncertainty & Quantitative Risk, 2021, v. 6, n. 2, p. 139, doi. 10.3934/puqr.2021007
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- 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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- 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
MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS.
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- International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 6, p. N.PAG, doi. 10.1142/S0219024920500417
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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
Calibration for Weak Variance-Alpha-Gamma Processes.
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- Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1151, doi. 10.1007/s11009-018-9655-y
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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
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
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
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
Financial equilibrium with non-linear valuations.
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- Annals of Finance, 2018, v. 14, n. 2, p. 211, doi. 10.1007/s10436-017-0312-1
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- Article
Asymmetries in financial returns.
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- International Journal of Financial Engineering, 2017, v. 4, n. 4, p. -1, doi. 10.1142/S2424786317500451
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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
CONIC PORTFOLIO THEORY.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 3, p. -1, doi. 10.1142/S0219024916500199
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- 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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- Article
Recovering Statistical Theory in the Context of Model Calibrations.
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- Journal of Financial Econometrics, 2015, v. 13, n. 2, p. 260, doi. 10.1093/jjfinec/nbu020
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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
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
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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- Article
TENOR SPECIFIC PRICING.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 6, p. -1, doi. 10.1142/S0219024912500434
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- Article
EXECUTION COSTS AND EFFICIENT EXECUTION FRONTIERS.
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- Annals of Financial Economics, 2012, v. 7, n. 1, p. -1, doi. 10.1142/S2010495212500029
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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
MARKETS AS A COUNTERPARTY:: AN INTRODUCTION TO CONIC FINANCE.
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- International Journal of Theoretical & Applied Finance, 2010, v. 13, n. 8, p. 1149, doi. 10.1142/S0219024910006157
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- Article
A tale of two volatilities.
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- Review of Derivatives Research, 2009, v. 12, n. 3, p. 213, doi. 10.1007/s11147-009-9038-1
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- Article
Multiple Priors and Asset Pricing.
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- Methodology & Computing in Applied Probability, 2009, v. 11, n. 2, p. 211, doi. 10.1007/s11009-007-9051-5
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- 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
Pricing Reinsurance Contracts on FDIC Losses.
- Published in:
- Financial Markets, Institutions & Instruments, 2008, v. 17, n. 3, p. 225, doi. 10.1111/j.1468-0416.2008.00140.x
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- 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
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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- 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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- 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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- 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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- 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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- Article