ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 821, doi. 10.1111/mafi.12021
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2014 AND VI 24 AND IP 4
Results: 8
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OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 651, doi. 10.1111/mafi.12022
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- Publication type:
- Article
3
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 627, doi. 10.1111/j.1467-9965.2012.00529.x
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- Publication type:
- Article
4
SWAPTION PRICING IN AFFINE AND OTHER MODELS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 790, doi. 10.1111/mafi.12014
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- Publication type:
- Article
5
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 855, doi. 10.1111/mafi.12016
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- Publication type:
- Article
6
PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 762, doi. 10.1111/mafi.12019
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- Publication type:
- Article
7
OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 696, doi. 10.1111/mafi.12033
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- Publication type:
- Article
8
ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 4, p. 728, doi. 10.1111/mafi.12001
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- Publication type:
- Article