Works matching IS 09601627 AND DT 2007 AND VI 17 AND IP 1

Results: 7

THE RANGE OF TRADED OPTION PRICES.

Published in:

Mathematical Finance, 2007, v. 17, n. 1, p. 1, doi. 10.1111/j.1467-9965.2007.00291.x

By:

Davis, Mark H. A.;
Hobson, David G.

Publication type:

Article

MODELING LIQUIDITY EFFECTS IN DISCRETE TIME.

Published in:

Mathematical Finance, 2007, v. 17, n. 1, p. 15, doi. 10.1111/j.1467-9965.2007.00292.x

By:

Çetin, Umut;
Rogers, L. C. G.

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

By:

Carr, Peter;
Geman, Hélyette;
Madan, Dilip B.;
Yor, Marc

Publication type:

Article

HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING.

Published in:

Mathematical Finance, 2007, v. 17, n. 1, p. 59, doi. 10.1111/j.1467-9965.2007.00294.x

By:

Soner, H. Mete;
Touzi, Nizar

Publication type:

Article

OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR.

Published in:

Mathematical Finance, 2007, v. 17, n. 1, p. 81, doi. 10.1111/j.1467-9965.2007.00295.x

By:

Cadenillas, Abel;
Sarkar, Sudipto;
Zapatero, Fernando

Publication type:

Article

THEORY AND CALIBRATION OF SWAP MARKET MODELS.

Published in:

Mathematical Finance, 2007, v. 17, n. 1, p. 111, doi. 10.1111/j.1467-9965.2007.00296.x

By:

Galluccio, S.;
Ly, J.-M.;
Huang, Z.;
Scaillet, O.

Publication type:

Article

MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES.

Published in:

Mathematical Finance, 2007, v. 17, n. 1, p. 143, doi. 10.1111/j.1467-9965.2007.00297.x

By:

Borell, Christer

Publication type:

Article