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ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250024-1, doi. 10.1142/S0219024912500240
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- Article
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250022-1, doi. 10.1142/S0219024912500227
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- Article
ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK:: A LITERATURE OVERVIEW AND ASSESSMENT.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250023-1, doi. 10.1142/S0219024912500239
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- Article
MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250018-1, doi. 10.1142/S0219024912500185
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- Article
THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250019-1, doi. 10.1142/S0219024912500197
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- Article
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250020-1, doi. 10.1142/S0219024912500203
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- Article
INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250021-1, doi. 10.1142/S0219024912500215
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- Article