Filipović, Damir; Kitapbayev, Yerkin On the American swaption in the linear-rational framework. (English) Zbl 1406.91441 Quant. Finance 18, No. 11, 1865-1876 (2018). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{D. Filipović} and \textit{Y. Kitapbayev}, Quant. Finance 18, No. 11, 1865--1876 (2018; Zbl 1406.91441) Full Text: DOI arXiv
Kitapbayev, Yerkin; Leung, Tim Mean reversion trading with sequential deadlines and transaction costs. (English) Zbl 1395.91411 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850004, 22 p. (2018). MSC: 91G10 60G40 62P05 PDFBibTeX XMLCite \textit{Y. Kitapbayev} and \textit{T. Leung}, Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850004, 22 p. (2018; Zbl 1395.91411) Full Text: DOI arXiv
Kitapbayev, Yerkin; Leung, Tim Optimal mean-reverting spread trading: nonlinear integral equation approach. (English) Zbl 1388.91145 Ann. Finance 13, No. 2, 181-203 (2017). MSC: 91G80 60G40 60J70 45D05 PDFBibTeX XMLCite \textit{Y. Kitapbayev} and \textit{T. Leung}, Ann. Finance 13, No. 2, 181--203 (2017; Zbl 1388.91145) Full Text: DOI arXiv
Ohashi, Alberto; Shamarova, Evelina; Shamarov, Nikolai N. Path-dependent Itô formulas under \((p,q)\)-variations. (English) Zbl 1332.60076 ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 1, 1-31 (2016). MSC: 60H05 60H20 60G48 60J55 PDFBibTeX XMLCite \textit{A. Ohashi} et al., ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 1, 1--31 (2016; Zbl 1332.60076) Full Text: Link
Peskir, Goran A change-of-variable formula with local time on surfaces. (English) Zbl 1141.60035 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XL. Berlin: Springer (ISBN 978-3-540-71188-9/pbk). Lecture Notes in Mathematics 1899, 69-96 (2007). Reviewer: Nicolas Privault (Hong Kong) MSC: 60H05 60J55 60G44 60J60 60J65 35R35 PDFBibTeX XMLCite \textit{G. Peskir}, Lect. Notes Math. 1899, 69--96 (2007; Zbl 1141.60035) Full Text: DOI
du Toit, J.; Peskir, G. The trap of complacency in predicting the maximum. (English) Zbl 1120.60044 Ann. Probab. 35, No. 1, 340-365 (2007). Reviewer: Ryszard Doman (Poznan) MSC: 60G40 60J65 60J60 35R35 45G15 PDFBibTeX XMLCite \textit{J. du Toit} and \textit{G. Peskir}, Ann. Probab. 35, No. 1, 340--365 (2007; Zbl 1120.60044) Full Text: DOI arXiv
Jaeger, Markus A generalization of Itō’s formula for the evaluation of options in time-continuous finance markets. (Eine Verallgemeinerung der Itō-Formel zur Bewertung von Optionen in zeitstetigen Finanzmärkten.) (German) Zbl 1116.91045 Münster: Univ. Münster, Fachbereich Mathematik und Informatik, Mathematisch-Naturwissenschaftliche Fakultät (Diss.). ii, 145 p. (2005). Reviewer: Klaus Schürger (Bonn) MSC: 91B28 60H05 60G40 PDFBibTeX XMLCite \textit{M. Jaeger}, Eine Verallgemeinerung der Itō-Formel zur Bewertung von Optionen in zeitstetigen Finanzmärkten. Münster: Univ. Münster, Fachbereich Mathematik und Informatik, Mathematisch-Natur\-wissen\-schaftliche Fakultät (Diss.) (2005; Zbl 1116.91045)
Peskir, Goran On the American option problem. (English) Zbl 1109.91028 Math. Finance 15, No. 1, 169-181 (2005). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{G. Peskir}, Math. Finance 15, No. 1, 169--181 (2005; Zbl 1109.91028) Full Text: DOI