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An Equilibrium Model for Spot and Forward Prices of Commodities.
- Published in:
- Mathematics of Operations Research, 2018, v. 43, n. 1, p. 152, doi. 10.1287/moor.2017.0850
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- Article
Old and new approaches to LIBOR modeling.
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- Statistica Neerlandica, 2010, v. 64, n. 3, p. 257, doi. 10.1111/j.1467-9574.2010.00458.x
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- Article
On the duality principle in option pricing: semimartingale setting.
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- Finance & Stochastics, 2008, v. 12, n. 2, p. 265, doi. 10.1007/s00780-008-0061-0
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- Article
SYMMETRIES IN LÉVY TERM STRUCTURE MODELS.
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- International Journal of Theoretical & Applied Finance, 2006, v. 9, n. 6, p. 967, doi. 10.1142/S0219024906003809
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- Article
THE AFFINE LIBOR MODELS.
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- Mathematical Finance, 2013, v. 23, n. 4, p. 627, doi. 10.1111/j.1467-9965.2012.00531.x
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- Article
Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation.
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- Management Science, 2023, v. 69, n. 4, p. 2051, doi. 10.1287/mnsc.2022.4456
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- Article
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA.
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- Probability, Uncertainty & Quantitative Risk, 2018, v. 3, n. 1, p. N.PAG, doi. 10.1186/s41546-017-0025-4
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- Article
EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 2, p. -1, doi. 10.1142/S0219024918500176
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- Article