Pirjol, Dan; Zhu, Lingjiong Short-maturity asymptotics for option prices with interest rate effects. (English) Zbl 07806897 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350023, 28 p. (2023). MSC: 91G20 91G30 60F10 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350023, 28 p. (2023; Zbl 07806897) Full Text: DOI
Shirai, Yoshihiro A Lévy-driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions. (English) Zbl 07806896 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350022, 37 p. (2023). MSC: 91G20 91G40 60G51 60J60 PDFBibTeX XMLCite \textit{Y. Shirai}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350022, 37 p. (2023; Zbl 07806896) Full Text: DOI arXiv
Dall’Acqua, Enrico; Longoni, Riccardo; Pallavicini, Andrea Rough-Heston local-volatility model. (English) Zbl 07806895 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350021, 18 p. (2023). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{E. Dall'Acqua} et al., Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350021, 18 p. (2023; Zbl 07806895) Full Text: DOI arXiv
Yousuf, M.; Khaliq, A. Q. M. Pricing American option using a modified fractional Black-Scholes model under multi-state regime switching. (English) Zbl 07793177 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350019, 21 p. (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 35R11 91G20 60G40 PDFBibTeX XMLCite \textit{M. Yousuf} and \textit{A. Q. M. Khaliq}, Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350019, 21 p. (2023; Zbl 07793177) Full Text: DOI
Hess, Markus VIX modeling for a market insider. (English) Zbl 07793175 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350015, 27 p. (2023). MSC: 91G20 60G51 60H30 PDFBibTeX XMLCite \textit{M. Hess}, Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350015, 27 p. (2023; Zbl 07793175) Full Text: DOI
Forsyth, Peter A.; Van Staden, Pieter M.; Li, Yuying Beating a constant weight benchmark: easier done than said. (English) Zbl 07793171 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350011, 24 p. (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. A. Forsyth} et al., Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350011, 24 p. (2023; Zbl 07793171) Full Text: DOI
Mendes, R. Vilela The fractional volatility model and rough volatility. (English) Zbl 1521.91362 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350010, 12 p. (2023). MSC: 91G20 60H07 60G22 PDFBibTeX XMLCite \textit{R. V. Mendes}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350010, 12 p. (2023; Zbl 1521.91362) Full Text: DOI arXiv
Cousin, Areski; Lelong, Jérǒme; Picard, Tom Rating transitions forecasting: a filtering approach. (English) Zbl 1521.91369 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350009, 53 p. (2023). MSC: 91G40 60J20 PDFBibTeX XMLCite \textit{A. Cousin} et al., Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350009, 53 p. (2023; Zbl 1521.91369) Full Text: DOI arXiv
Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDFBibTeX XMLCite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) Full Text: DOI
Ye, Jiang; Wang, Yiwei; Raza, Muhammad Wajid Bounded strategies for maximizing the Sharpe ratio. (English) Zbl 1512.91129 Int. J. Theor. Appl. Finance 26, No. 1, Article ID 2350002, 15 p. (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G10 91G15 PDFBibTeX XMLCite \textit{J. Ye} et al., Int. J. Theor. Appl. Finance 26, No. 1, Article ID 2350002, 15 p. (2023; Zbl 1512.91129) Full Text: DOI
Donfack, Hermann Azemtsa; Soh, Celestin Wafo; Kotze, Antonie Volatility smile interpolation with radial basis functions. (English) Zbl 1508.91615 Int. J. Theor. Appl. Finance 25, No. 7-8, Article ID 2250030, 23 p. (2022). MSC: 91G60 65D12 91G20 PDFBibTeX XMLCite \textit{H. A. Donfack} et al., Int. J. Theor. Appl. Finance 25, No. 7--8, Article ID 2250030, 23 p. (2022; Zbl 1508.91615) Full Text: DOI
Bayer, Christian; Hall, Eric Joseph; Tempone, Raúl Weak error rates for option pricing under linear rough volatility. (English) Zbl 1508.91549 Int. J. Theor. Appl. Finance 25, No. 7-8, Article ID 2250029, 47 p. (2022). MSC: 91G20 60G22 91-04 PDFBibTeX XMLCite \textit{C. Bayer} et al., Int. J. Theor. Appl. Finance 25, No. 7--8, Article ID 2250029, 47 p. (2022; Zbl 1508.91549) Full Text: DOI arXiv
Deelstra, Griselda; Grzelak, Lech A.; Wolf, Felix L. Sensitivities and hedging of the collateral choice option. (English) Zbl 1510.91162 Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250027, 35 p. (2022). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 PDFBibTeX XMLCite \textit{G. Deelstra} et al., Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250027, 35 p. (2022; Zbl 1510.91162) Full Text: DOI arXiv
Madan, Dilip B.; Wang, King Option surface statistics with applications. (English) Zbl 1505.91385 Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250024, 16 p. (2022). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250024, 16 p. (2022; Zbl 1505.91385) Full Text: DOI
Ma, Guiyuan; Zhu, Song-Ping; Guo, Ivan Valuation of general contingent claims with short selling bans: an equal-risk pricing approach. (English) Zbl 1496.91087 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250022, 33 p. (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Ma} et al., Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250022, 33 p. (2022; Zbl 1496.91087) Full Text: DOI arXiv
Sun, Fei; Luo, Kui; Feng, Yu Multivariate dynamic cash sub-additive risk measures for processes. (English) Zbl 1498.91506 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250020, 13 p. (2022). MSC: 91G70 PDFBibTeX XMLCite \textit{F. Sun} et al., Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250020, 13 p. (2022; Zbl 1498.91506) Full Text: DOI
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping An empirical analysis of option pricing with short sell bans. (English) Zbl 1503.91116 Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250012, 26 p. (2022). Reviewer: Claudio Fontana (Paris) MSC: 91G20 PDFBibTeX XMLCite \textit{M. Alfeus} et al., Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250012, 26 p. (2022; Zbl 1503.91116) Full Text: DOI
Boguslavskaya, Elena; Boguslavsky, Michael; Muravey, Dmitry Trading multiple mean reversion. (English) Zbl 1484.91416 Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250006, 34 p. (2022). MSC: 91G10 60J60 PDFBibTeX XMLCite \textit{E. Boguslavskaya} et al., Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250006, 34 p. (2022; Zbl 1484.91416) Full Text: DOI arXiv
Desmettre, Sascha; Hochgerner, Simon; Omerovic, Sanela; Thonhauser, Stefan A mean-field extension of the LIBOR market model. (English) Zbl 1484.91495 Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250005, 35 p. (2022). MSC: 91G30 91A16 PDFBibTeX XMLCite \textit{S. Desmettre} et al., Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250005, 35 p. (2022; Zbl 1484.91495) Full Text: DOI arXiv
Roch, Alexandre F. Hedging of American options in illiquid markets with price impacts. (English) Zbl 1484.91489 Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250001, 29 p. (2022). MSC: 91G20 60G40 90C17 PDFBibTeX XMLCite \textit{A. F. Roch}, Int. J. Theor. Appl. Finance 25, No. 1, Article ID 2250001, 29 p. (2022; Zbl 1484.91489) Full Text: DOI
Antonacci, Flavia; Costantini, Cristina; D’Ippoliti, Fernanda; Papi, Marco Inflation, central bank and short-term interest rates: a new model with calibration to market data. (English) Zbl 1484.91492 Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150042, 31 p. (2021). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{F. Antonacci} et al., Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150042, 31 p. (2021; Zbl 1484.91492) Full Text: DOI arXiv
Lavagnini, Silvia Pricing Asian options with correlators. (English) Zbl 1484.91480 Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021). MSC: 91G20 33C45 60J74 PDFBibTeX XMLCite \textit{S. Lavagnini}, Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021; Zbl 1484.91480) Full Text: DOI arXiv
Boyarchenko, Svetlana; Levendorskiĭ, Sergei; Kyrkby, J. Lars; Cui, Zhenyu Sinh-acceleration for b-spline projection with option pricing applications. (English) Zbl 1484.91515 Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150040, 50 p. (2021). MSC: 91G60 65D07 65T50 91G20 PDFBibTeX XMLCite \textit{S. Boyarchenko} et al., Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150040, 50 p. (2021; Zbl 1484.91515) Full Text: DOI arXiv
Hess, Markus The VIX and future information. (English) Zbl 1491.91146 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150038, 30 p. (2021). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{M. Hess}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150038, 30 p. (2021; Zbl 1491.91146) Full Text: DOI
Lepinette, Emmanuel; Vu, Duc Thinh Coherent risk measure on \(L^0\): NA condition, pricing and dual representation. (English) Zbl 1484.91457 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150037, 26 p. (2021). MSC: 91G15 91G70 PDFBibTeX XMLCite \textit{E. Lepinette} and \textit{D. T. Vu}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150037, 26 p. (2021; Zbl 1484.91457) Full Text: DOI
Dupret, Jean-Loup; Hainaut, Donatien Portfolio insurance under rough volatility and Volterra processes. (English) Zbl 1484.91418 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150036, 35 p. (2021). MSC: 91G10 91G05 PDFBibTeX XMLCite \textit{J.-L. Dupret} and \textit{D. Hainaut}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150036, 35 p. (2021; Zbl 1484.91418) Full Text: DOI
Cartea, Álvaro; Jaimungal, Sebastian; Sánchez-Betancourt, Leandro Latency and liquidity risk. (English) Zbl 1484.91448 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150035, 37 p. (2021). MSC: 91G15 60H30 93E20 PDFBibTeX XMLCite \textit{Á. Cartea} et al., Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150035, 37 p. (2021; Zbl 1484.91448) Full Text: DOI arXiv
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana Dynamic probabilistic forecasting with uncertainty. (English) Zbl 1484.91445 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150034, 18 p. (2021). MSC: 91G15 91G20 60J60 PDFBibTeX XMLCite \textit{F. E. Benth} et al., Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150034, 18 p. (2021; Zbl 1484.91445) Full Text: DOI
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization. (English) Zbl 1471.91516 Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150029, 49 p. (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150029, 49 p. (2021; Zbl 1471.91516) Full Text: DOI
Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. (English) Zbl 1471.91537 Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150025, 43 p. (2021). MSC: 91G15 93E20 PDFBibTeX XMLCite \textit{M. Fukasawa} et al., Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150025, 43 p. (2021; Zbl 1471.91537) Full Text: DOI
Auer, Benjamin R.; Schumacher, Frank Comparing the small-sample estimation error of conceptually different risk measures. (English) Zbl 1471.91625 Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150024, 21 p. (2021). MSC: 91G70 PDFBibTeX XMLCite \textit{B. R. Auer} and \textit{F. Schumacher}, Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150024, 21 p. (2021; Zbl 1471.91625) Full Text: DOI
Kim, Sung Ik; Kim, Young Shin Factor copula model for portfolio credit risk. (English) Zbl 1475.91383 Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150021, 25 p. (2021). Reviewer: Stefan Tappe (Freiburg) MSC: 91G40 91G10 91G20 62P05 62H05 PDFBibTeX XMLCite \textit{S. I. Kim} and \textit{Y. S. Kim}, Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150021, 25 p. (2021; Zbl 1475.91383) Full Text: DOI
Shi, Xiang; Kim, Young Shin Coherent risk measures and normal mixture distributions with applications in portfolio optimization. (English) Zbl 1470.91334 Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150019, 18 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G70 91G10 90C20 PDFBibTeX XMLCite \textit{X. Shi} and \textit{Y. S. Kim}, Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150019, 18 p. (2021; Zbl 1470.91334) Full Text: DOI
Le Floc’h, Fabien Pricing American options with the Runge-Kutta-Legendre finite difference scheme. (English) Zbl 1470.91327 Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150018, 24 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDFBibTeX XMLCite \textit{F. Le Floc'h}, Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150018, 24 p. (2021; Zbl 1470.91327) Full Text: DOI arXiv
Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell An ergodic BSDE risk representation in a jump-diffusion framework. (English) Zbl 1470.91330 Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150015, 28 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G70 60J74 60H30 PDFBibTeX XMLCite \textit{C. Guambe} et al., Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150015, 28 p. (2021; Zbl 1470.91330) Full Text: DOI
Funahashi, Hideharu Replication scheme for the pricing of European options. (English) Zbl 1470.91275 Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150014, 37 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 PDFBibTeX XMLCite \textit{H. Funahashi}, Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150014, 37 p. (2021; Zbl 1470.91275) Full Text: DOI
Huang, Zhenzhen; Kwok, Yue Kuen Efficient risk measures calculations for generalized CreditRisk\(^+\) models. (English) Zbl 1466.91365 Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150012, 51 p. (2021). MSC: 91G40 91G70 PDFBibTeX XMLCite \textit{Z. Huang} and \textit{Y. K. Kwok}, Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150012, 51 p. (2021; Zbl 1466.91365) Full Text: DOI
Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S. CVA and vulnerable options in stochastic volatility models. (English) Zbl 1467.62163 Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150010, 34 p. (2021). MSC: 62P05 62H20 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{E. Alòs} et al., Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150010, 34 p. (2021; Zbl 1467.62163) Full Text: DOI arXiv
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; Sottinen, Tommi; Vives, Josep Decomposition formula for rough Volterra stochastic volatility models. (English) Zbl 1466.91350 Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150008, 47 p. (2021). MSC: 91G20 91G15 PDFBibTeX XMLCite \textit{R. Merino} et al., Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150008, 47 p. (2021; Zbl 1466.91350) Full Text: DOI arXiv
Lipton, Alexander; López de Prado, Marcos A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. (English) Zbl 1457.91361 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050056, 34 p. (2020). MSC: 91G15 60J70 PDFBibTeX XMLCite \textit{A. Lipton} and \textit{M. López de Prado}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050056, 34 p. (2020; Zbl 1457.91361) Full Text: DOI arXiv
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel Financial contagion in a stochastic block model. (English) Zbl 1459.91216 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050053, 53 p. (2020). MSC: 91G45 PDFBibTeX XMLCite \textit{N. Detering} et al., Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050053, 53 p. (2020; Zbl 1459.91216) Full Text: DOI arXiv
Shiraya, Kenichirpo An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. (English) Zbl 1459.91204 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050051, 20 p. (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{K. Shiraya}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050051, 20 p. (2020; Zbl 1459.91204) Full Text: DOI
de Gennaro Aquino, Luca; Bernard, Carole Bounds on multi-asset derivatives via neural networks. (English) Zbl 1457.91371 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050050, 31 p. (2020). MSC: 91G20 68T05 PDFBibTeX XMLCite \textit{L. de Gennaro Aquino} and \textit{C. Bernard}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050050, 31 p. (2020; Zbl 1457.91371) Full Text: DOI arXiv
Løkka, Arne; Xu, Junwei Optimal liquidation trajectories for the Almgren-Chriss model. (English) Zbl 1459.91177 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050049, 35 p. (2020). MSC: 91G10 60G51 93E20 PDFBibTeX XMLCite \textit{A. Løkka} and \textit{J. Xu}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050049, 35 p. (2020; Zbl 1459.91177) Full Text: DOI arXiv
Schatz, Michael; Sornette, Didier Inefficient bubbles and efficient drawdowns in financial markets. (English) Zbl 1459.91191 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050047, 56 p. (2020). MSC: 91G15 PDFBibTeX XMLCite \textit{M. Schatz} and \textit{D. Sornette}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050047, 56 p. (2020; Zbl 1459.91191) Full Text: DOI
van Appel, Jacques; McWalter, Thomas A. Moment approximations of displaced forward-LIBOR rates with application to swaptions. (English) Zbl 1470.91297 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050046, 29 p. (2020). Reviewer: Claudio Fontana (Paris) MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{J. van Appel} and \textit{T. A. McWalter}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050046, 29 p. (2020; Zbl 1470.91297) Full Text: DOI
Willems, Sander Linear stochastic dividend model. (English) Zbl 1470.91291 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050044, 20 p. (2020). Reviewer: Claudio Fontana (Paris) MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{S. Willems}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050044, 20 p. (2020; Zbl 1470.91291) Full Text: DOI arXiv
Bichuch, Maxim; Chen, Ke Systemic risk: the effect of market confidence. (English) Zbl 1459.91215 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050043, 39 p. (2020). MSC: 91G45 35Q91 PDFBibTeX XMLCite \textit{M. Bichuch} and \textit{K. Chen}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050043, 39 p. (2020; Zbl 1459.91215) Full Text: DOI
Vigna, Elena On time consistency for mean-variance portfolio selection. (English) Zbl 1457.91352 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050042, 22 p. (2020). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{E. Vigna}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050042, 22 p. (2020; Zbl 1457.91352) Full Text: DOI
Leduc, Guillaume; Palmer, Kenneth What a difference one probability makes in the convergence of binomial trees. (English) Zbl 1457.91381 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050040, 26 p. (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Leduc} and \textit{K. Palmer}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050040, 26 p. (2020; Zbl 1457.91381) Full Text: DOI
Njike Leunga, Charles Guy; Hainaut, Donatien Interbank credit risk modeling with self-exciting jump processes. (English) Zbl 1457.91403 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050039, 32 p. (2020). MSC: 91G40 91G30 PDFBibTeX XMLCite \textit{C. G. Njike Leunga} and \textit{D. Hainaut}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050039, 32 p. (2020; Zbl 1457.91403) Full Text: DOI
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. Collocating volatility: a competitive alternative to stochastic local volatility models. (English) Zbl 1454.91309 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020; Zbl 1454.91309) Full Text: DOI
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. Option pricing in markets with informed traders. (English) Zbl 1457.91378 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{Y. Hu} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020; Zbl 1457.91378) Full Text: DOI arXiv
Van Bakel, Sjoerd; Borovkova, Svetlana; Michielon, Matteo Conic CVA and DVA for option portfolios. (English) Zbl 1457.91393 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{S. Van Bakel} et al., Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020; Zbl 1457.91393) Full Text: DOI
Mishura, Yuliya; Yurchenko-Tytarenko, Anton Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model. (English) Zbl 1460.91272 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050031, 36 p. (2020). Reviewer: Nikolaos Halidias (Athína) MSC: 91G20 60G22 60H07 PDFBibTeX XMLCite \textit{Y. Mishura} and \textit{A. Yurchenko-Tytarenko}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050031, 36 p. (2020; Zbl 1460.91272) Full Text: DOI
Michaelsen, Markus Information flow dependence in financial markets. (English) Zbl 1457.91362 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050029, 34 p. (2020). MSC: 91G15 60G51 62P05 62H05 PDFBibTeX XMLCite \textit{M. Michaelsen}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050029, 34 p. (2020; Zbl 1457.91362) Full Text: DOI
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; Kiesel, Rüdiger Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling. (English) Zbl 1447.91175 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050027, 38 p. (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Kremer} et al., Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050027, 38 p. (2020; Zbl 1447.91175) Full Text: DOI
Aguilar, Jean-Philippe Some pricing tools for the variance gamma model. (English) Zbl 1448.91289 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020). Reviewer: Shyam Sundar Chandramouli (New York) MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{J.-P. Aguilar}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020; Zbl 1448.91289) Full Text: DOI arXiv
Lipton, Alexander Old problems, classical methods, new solutions. (English) Zbl 1447.91178 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050024, 37 p. (2020). MSC: 91G20 60G40 35Q91 PDFBibTeX XMLCite \textit{A. Lipton}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050024, 37 p. (2020; Zbl 1447.91178) Full Text: DOI arXiv
Pellegrino, Tommaso Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives. (English) Zbl 1447.91181 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050021, 30 p. (2020). MSC: 91G20 34E15 PDFBibTeX XMLCite \textit{T. Pellegrino}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050021, 30 p. (2020; Zbl 1447.91181) Full Text: DOI
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio Smile modeling in commodity markets. (English) Zbl 1447.91180 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050019, 28 p. (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{E. Nastasi} et al., Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050019, 28 p. (2020; Zbl 1447.91180) Full Text: DOI arXiv
Grishenko, Olesya; Han, Xiao; Nistor, Victor A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (English) Zbl 1441.91075 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020). MSC: 91G20 91G80 35K08 41A60 PDFBibTeX XMLCite \textit{O. Grishenko} et al., Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020; Zbl 1441.91075) Full Text: DOI arXiv
Chen, Yanhong; Hu, Yijun Set-valued dynamic risk measures for bounded discrete-time processes. (English) Zbl 1447.91158 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050017, 42 p. (2020). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Hu}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050017, 42 p. (2020; Zbl 1447.91158) Full Text: DOI
Cartea, Álvaro; Wang, Yixuan Market making with alpha signals. (English) Zbl 1447.91167 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050016, 26 p. (2020). MSC: 91G15 PDFBibTeX XMLCite \textit{Á. Cartea} and \textit{Y. Wang}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050016, 26 p. (2020; Zbl 1447.91167) Full Text: DOI
Sester, Julian Robust bounds for derivative prices in Markovian models. (English) Zbl 1447.91183 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050015, 39 p. (2020). MSC: 91G20 60G44 PDFBibTeX XMLCite \textit{J. Sester}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050015, 39 p. (2020; Zbl 1447.91183) Full Text: DOI
Grunspan, Cyril; Van Der Hoeven, Joris Effective asymptotics analysis for finance. (English) Zbl 1443.91290 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050013, 23 p. (2020). MSC: 91G20 41A60 PDFBibTeX XMLCite \textit{C. Grunspan} and \textit{J. Van Der Hoeven}, Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050013, 23 p. (2020; Zbl 1443.91290) Full Text: DOI HAL
Jokhadze, Valeriane; Schmidt, Wolfgang M. Measuring model risk in financial risk management and pricing. (English) Zbl 1443.91342 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050012, 37 p. (2020). MSC: 91G70 62F15 PDFBibTeX XMLCite \textit{V. Jokhadze} and \textit{W. M. Schmidt}, Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050012, 37 p. (2020; Zbl 1443.91342) Full Text: DOI
Centrone, Francesca; Rosazza Gianin, Emanuela Capital allocation for set-valued risk measures. (English) Zbl 1443.91340 Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050009, 16 p. (2020). MSC: 91G70 PDFBibTeX XMLCite \textit{F. Centrone} and \textit{E. Rosazza Gianin}, Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050009, 16 p. (2020; Zbl 1443.91340) Full Text: DOI
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI
Liu, Chen; Schellhorn, Henry; Peng, Qidi American option pricing with regression: convergence analysis. (English) Zbl 1430.91130 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950044, 31 p. (2019). MSC: 91G60 65C05 91G20 60G40 PDFBibTeX XMLCite \textit{C. Liu} et al., Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950044, 31 p. (2019; Zbl 1430.91130) Full Text: DOI
Arai, Takuji Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. (English) Zbl 1430.91103 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950043, 26 p. (2019). MSC: 91G20 60J60 91G60 65T50 PDFBibTeX XMLCite \textit{T. Arai}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950043, 26 p. (2019; Zbl 1430.91103) Full Text: DOI arXiv
Hess, Markus An arithmetic pure-jump multi-curve interest rate model. (English) Zbl 1431.91408 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950042, 30 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G30 60J60 60J76 PDFBibTeX XMLCite \textit{M. Hess}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950042, 30 p. (2019; Zbl 1431.91408) Full Text: DOI
Lars Kirkby, J.; Deng, Shi-Jie Swing option pricing by dynamic programming with b-spline density projection. (English) Zbl 1430.91113 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950038, 53 p. (2019). MSC: 91G20 60G40 90C39 PDFBibTeX XMLCite \textit{J. Lars Kirkby} and \textit{S.-J. Deng}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950038, 53 p. (2019; Zbl 1430.91113) Full Text: DOI
Basnarkov, Lasko; Stojkoski, Viktor; Utkovski, Zoran; Kocarev, Ljupco Option pricing with heavy-tailed distributions of logarithmic returns. (English) Zbl 1429.91315 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950041, 35 p. (2019). MSC: 91G20 62P05 62G32 PDFBibTeX XMLCite \textit{L. Basnarkov} et al., Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950041, 35 p. (2019; Zbl 1429.91315) Full Text: DOI arXiv
Cassese, Gianluca Nonparametric estimates of option prices and related quantities. (English) Zbl 1445.91063 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950040, 29 p. (2019). Reviewer: Weiping Li (Stillwater) MSC: 91G20 62P05 62G08 PDFBibTeX XMLCite \textit{G. Cassese}, Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950040, 29 p. (2019; Zbl 1445.91063) Full Text: DOI arXiv
De Franco, Carmine; Nicolle, Johann; Pham, Huyên Bayesian learning for the Markowitz portfolio selection problem. (English) Zbl 1430.91084 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950037, 40 p. (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 91A26 35Q91 PDFBibTeX XMLCite \textit{C. De Franco} et al., Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950037, 40 p. (2019; Zbl 1430.91084) Full Text: DOI arXiv
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino Numerical stability of a hybrid method for pricing options. (English) Zbl 1430.91129 Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950036, 46 p. (2019). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDFBibTeX XMLCite \textit{M. Briani} et al., Int. J. Theor. Appl. Finance 22, No. 7, Article ID 1950036, 46 p. (2019; Zbl 1430.91129) Full Text: DOI arXiv
Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, Sergii M.; Dias, José Carlos Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. (English) Zbl 1426.91269 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950030, 24 p. (2019). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{I. V. Kravchenko} et al., Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950030, 24 p. (2019; Zbl 1426.91269) Full Text: DOI arXiv
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching. (English) Zbl 1426.91208 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950029, 33 p. (2019). MSC: 91G05 PDFBibTeX XMLCite \textit{Z. Chen} et al., Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950029, 33 p. (2019; Zbl 1426.91208) Full Text: DOI
Ramirez, Hugo E.; Duck, Peter; Johnson, Paul V.; Howell, Sydney Hedge-fund management with liquidity constraint. (English) Zbl 1426.91255 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950026, 31 p. (2019). MSC: 91G10 91G20 93E20 PDFBibTeX XMLCite \textit{H. E. Ramirez} et al., Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950026, 31 p. (2019; Zbl 1426.91255) Full Text: DOI
Baviera, Roberto Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model. (English) Zbl 1422.91681 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950027, 24 p. (2019). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{R. Baviera}, Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950027, 24 p. (2019; Zbl 1422.91681) Full Text: DOI arXiv
Garcin, Matthieu Hurst exponents and delampertized fractional Brownian motions. (English) Zbl 1488.60095 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950024, 26 p. (2019). MSC: 60G22 60G10 60G18 62M09 62M10 PDFBibTeX XMLCite \textit{M. Garcin}, Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950024, 26 p. (2019; Zbl 1488.60095) Full Text: DOI
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea Multi-currency credit default swaps. (English) Zbl 1411.91546 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950018, 35 p. (2019). MSC: 91G20 91G40 91B64 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950018, 35 p. (2019; Zbl 1411.91546) Full Text: DOI
Lejay, Antoine; Pigato, Paolo A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (English) Zbl 1411.91645 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{A. Lejay} and \textit{P. Pigato}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019; Zbl 1411.91645) Full Text: DOI arXiv
He, Xin-Jiang; Zhu, Song-Ping Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. (English) Zbl 1411.91557 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950009, 19 p. (2019). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S.-P. Zhu}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950009, 19 p. (2019; Zbl 1411.91557) Full Text: DOI
Pfante, Oliver; Bertschinger, Nils Volatility inference and return dependencies in stochastic volatility models. (English) Zbl 1411.91578 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950013, 44 p. (2019). MSC: 91G20 60J60 PDFBibTeX XMLCite \textit{O. Pfante} and \textit{N. Bertschinger}, Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950013, 44 p. (2019; Zbl 1411.91578) Full Text: DOI arXiv
Boyarchenko, Svetlana; Levendorskiĭ, Sergei Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. (English) Zbl 1411.91615 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950011, 49 p. (2019). MSC: 91G60 91G20 65C05 60G51 PDFBibTeX XMLCite \textit{S. Boyarchenko} and \textit{S. Levendorskiĭ}, Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950011, 49 p. (2019; Zbl 1411.91615) Full Text: DOI arXiv
Gatheral, Jim; Radoičić, Radoš Rational approximation of the rough Heston solution. (English) Zbl 1458.91211 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950010, 19 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 26A33 91B70 PDFBibTeX XMLCite \textit{J. Gatheral} and \textit{R. Radoičić}, Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950010, 19 p. (2019; Zbl 1458.91211) Full Text: DOI
Chen, Yanhong; Hu, Yijun Set-valued law invariant coherent and convex risk measures. (English) Zbl 1411.91634 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950004, 18 p. (2019). MSC: 91G70 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{Y. Hu}, Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950004, 18 p. (2019; Zbl 1411.91634) Full Text: DOI
Itkin, A.; Shcherbakov, V.; Veygman, A. New model for pricing quanto credit default swaps. (English) Zbl 1411.91561 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950003, 37 p. (2019). MSC: 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{A. Itkin} et al., Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950003, 37 p. (2019; Zbl 1411.91561) Full Text: DOI
Jafari, Hossein; Rahimi, Ghazaleh Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. (English) Zbl 1411.91563 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1950005, 19 p. (2019). MSC: 91G20 60G51 60H07 60J75 PDFBibTeX XMLCite \textit{H. Jafari} and \textit{G. Rahimi}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1950005, 19 p. (2019; Zbl 1411.91563) Full Text: DOI
Madan, Dilip B.; Schoutens, Wim Equilibrium asset returns in financial markets. (English) Zbl 1411.91520 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850063, 43 p. (2019). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{W. Schoutens}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850063, 43 p. (2019; Zbl 1411.91520) Full Text: DOI
Barger, Weston; Lorig, Matthew Optimal liquidation under stochastic price impact. (English) Zbl 1411.91477 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850059, 28 p. (2019). MSC: 91G10 41A60 91G60 PDFBibTeX XMLCite \textit{W. Barger} and \textit{M. Lorig}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850059, 28 p. (2019; Zbl 1411.91477) Full Text: DOI arXiv
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia Multivariate marked Poisson processes and market related multidimensional information flows. (English) Zbl 1411.91249 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850058, 26 p. (2019). MSC: 91B25 62P20 60G51 PDFBibTeX XMLCite \textit{P. Jevtić} et al., Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850058, 26 p. (2019; Zbl 1411.91249) Full Text: DOI
Liu, Wen-Qiong; Huang, Wen-Li Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach. (English) Zbl 1411.91574 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850057, 17 p. (2019). MSC: 91G20 91G40 03E72 PDFBibTeX XMLCite \textit{W.-Q. Liu} and \textit{W.-L. Huang}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850057, 17 p. (2019; Zbl 1411.91574) Full Text: DOI
Bouzianis, George; Hughston, Lane P. Determination of the Lévy exponent in asset pricing models. (English) Zbl 1419.91605 Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1950008, 18 p. (2019). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{G. Bouzianis} and \textit{L. P. Hughston}, Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1950008, 18 p. (2019; Zbl 1419.91605) Full Text: DOI arXiv
Avellaneda, M.; Papanicolaou, A. Statistics of VIX futures and applications to trading volatility exchange-traded products. (English) Zbl 1419.91604 Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1850061, 30 p. (2019). MSC: 91G20 62P05 62H25 PDFBibTeX XMLCite \textit{M. Avellaneda} and \textit{A. Papanicolaou}, Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1850061, 30 p. (2019; Zbl 1419.91604) Full Text: DOI
Choi, Youngna Borrowing capacity, financial instability, and contagion. (English) Zbl 1419.91666 Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1850060, 25 p. (2019). MSC: 91G99 62P05 62M10 PDFBibTeX XMLCite \textit{Y. Choi}, Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1850060, 25 p. (2019; Zbl 1419.91666) Full Text: DOI
Neufeld, Ariel Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. (English) Zbl 1419.91622 Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850051, 12 p. (2018). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Neufeld}, Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850051, 12 p. (2018; Zbl 1419.91622) Full Text: DOI arXiv
Altay, Sühan; Colaneri, Katia; Eksi, Zehra Pairs trading under drift uncertainty and risk penalization. (English) Zbl 1417.91430 Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850046, 24 p. (2018). MSC: 91G10 93E20 60G35 PDFBibTeX XMLCite \textit{S. Altay} et al., Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850046, 24 p. (2018; Zbl 1417.91430) Full Text: DOI arXiv