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A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250016-1, doi. 10.1142/S0219024912500161
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- Article
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250011-1, doi. 10.1142/S0219024912500112
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- Article
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250013-1, doi. 10.1142/S0219024912500136
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- Article
COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250014-1, doi. 10.1142/S0219024912500148
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- Article
ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250012-1, doi. 10.1142/S0219024912500124
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- Article
METRIZATION OF STOCHASTIC DOMINANCE RULES.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250017-1, doi. 10.1142/S0219024912500173
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- Article
LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250015-1, doi. 10.1142/S021902491250015X
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- Article