Works matching IS 09601627 AND DT 2012 AND VI 22 AND IP 4
Results: 9
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 753, doi. 10.1111/j.1467-9965.2011.00483.x
- By:
- Publication type:
- Article
MODIFIED LELAND'S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 741, doi. 10.1111/j.1467-9965.2011.00498.x
- By:
- Publication type:
- Article
ON THE DYBVIG-INGERSOLL-ROSS THEOREM.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 729, doi. 10.1111/j.1467-9965.2011.00476.x
- By:
- Publication type:
- Article
THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY-TAILED RISK FACTORS.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 710, doi. 10.1111/j.1467-9965.2011.00482.x
- By:
- Publication type:
- Article
POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 690, doi. 10.1111/j.1467-9965.2011.00480.x
- By:
- Publication type:
- Article
ANALYTIC APPROXIMATIONS FOR MULTI-ASSET OPTION PRICING.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 667, doi. 10.1111/j.1467-9965.2011.00481.x
- By:
- Publication type:
- Article
PERPETUAL CANCELLABLE AMERICAN CALL OPTION.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 645, doi. 10.1111/j.1467-9965.2011.00479.x
- By:
- Publication type:
- Article
GRAPHICAL MODELS FOR CORRELATED DEFAULTS.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 621, doi. 10.1111/j.1467-9965.2011.00499.x
- By:
- Publication type:
- Article
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 591, doi. 10.1111/j.1467-9965.2010.00472.x
- By:
- Publication type:
- Article