Kim, Young Shin Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse. (English) Zbl 1396.62242 Appl. Math. Finance 23, No. 3-4, 309-322 (2016). MSC: 62P05 60G22 91G20 PDFBibTeX XMLCite \textit{Y. S. Kim}, Appl. Math. Finance 23, No. 3--4, 309--322 (2016; Zbl 1396.62242) Full Text: DOI
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo Indifference fee rate for variable annuities. (English) Zbl 1396.91295 Appl. Math. Finance 23, No. 3-4, 278-308 (2016). MSC: 91B30 60H10 PDFBibTeX XMLCite \textit{E. Chevalier} et al., Appl. Math. Finance 23, No. 3--4, 278--308 (2016; Zbl 1396.91295) Full Text: DOI
Tvedt, Jostein Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting. (English) Zbl 1396.91768 Appl. Math. Finance 23, No. 3-4, 261-277 (2016). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. Tvedt}, Appl. Math. Finance 23, No. 3--4, 261--277 (2016; Zbl 1396.91768) Full Text: DOI
Eberlein, Ernst; Eddahbi, M’hamed; Cherif, S. M. Lalaoui Ben Computation of Greeks in LIBOR models driven by time-inhomogeneous Lévy processes. (English) Zbl 1396.91779 Appl. Math. Finance 23, No. 3-4, 236-260 (2016). MSC: 91G30 60G51 60H07 PDFBibTeX XMLCite \textit{E. Eberlein} et al., Appl. Math. Finance 23, No. 3--4, 236--260 (2016; Zbl 1396.91779) Full Text: DOI
Ménassé, Clément; Tankov, Peter Approximate indifference pricing in exponential Lévy models. (English) Zbl 1396.91752 Appl. Math. Finance 23, No. 3-4, 197-235 (2016). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{C. Ménassé} and \textit{P. Tankov}, Appl. Math. Finance 23, No. 3--4, 197--235 (2016; Zbl 1396.91752) Full Text: DOI arXiv
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis W. Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. (English) Zbl 1396.91741 Appl. Math. Finance 23, No. 3-4, 175-196 (2016). MSC: 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{P. Karlsson} et al., Appl. Math. Finance 23, No. 3--4, 175--196 (2016; Zbl 1396.91741) Full Text: DOI