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
Ögetbil, Orcan; Ganesan, Narayan; Hientzsch, Bernhard Calibrating local volatility models with stochastic drift and diffusion. (English) Zbl 1484.91497 Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250011, 43 p. (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{O. Ögetbil} et al., Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250011, 43 p. (2022; Zbl 1484.91497) Full Text: DOI arXiv
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
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
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
Effio Saldivar, Carolina; Herskovits, José; Luna, Juan Pablo; Sagastizábal, Claudia Multidimensional calibration of crude oil and refined products via semidefinite programming techniques. (English) Zbl 1419.91305 Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1850056, 31 p. (2019). MSC: 91B25 90C22 PDFBibTeX XMLCite \textit{C. Effio Saldivar} et al., Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1850056, 31 p. (2019; Zbl 1419.91305) Full Text: DOI
Van Appel, Jacques; Mcwalter, Thomas A. Efficient long-dated swaption volatility approximation in the forward-LIBOR model. (English) Zbl 1395.91476 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850020, 26 p. (2018); correction ibid. 21, No. 7, Article ID 1892002, 2 p. (2018). MSC: 91G30 91G60 PDFBibTeX XMLCite \textit{J. Van Appel} and \textit{T. A. Mcwalter}, Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850020, 26 p. (2018; Zbl 1395.91476) Full Text: DOI
Albani, Vinicius; De Cezaro, Adriano; Zubelli, Jorge P. Convex regularization of local volatility estimation. (English) Zbl 1396.91711 Int. J. Theor. Appl. Finance 20, No. 1, Article ID 1750006, 37 p. (2017). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{V. Albani} et al., Int. J. Theor. Appl. Finance 20, No. 1, Article ID 1750006, 37 p. (2017; Zbl 1396.91711) Full Text: DOI arXiv
Assonken, Patrick; Ladde, G. S. Option pricing with a Lévy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations. (English) Zbl 1337.91084 Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550052, 72 p. (2015). MSC: 91G20 60G51 60J75 60H30 60K15 60K20 62P05 PDFBibTeX XMLCite \textit{P. Assonken} and \textit{G. S. Ladde}, Int. J. Theor. Appl. Finance 18, No. 8, Article ID 1550052, 72 p. (2015; Zbl 1337.91084) Full Text: DOI
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. The time-dependent FX-SABR model: efficient calibration based on effective parameters. (English) Zbl 1337.91133 Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550042, 38 p. (2015). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550042, 38 p. (2015; Zbl 1337.91133)
Alòs, Elisa; de Santiago, Rafael; Vives, Josep Calibration of stochastic volatility models via second-order approximation: the Heston case. (English) Zbl 1337.91083 Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550036, 31 p. (2015). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{E. Alòs} et al., Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550036, 31 p. (2015; Zbl 1337.91083)
Brigo, Damiano; Garcia, João; Pede, Nicola CoCo bonds pricing with credit and equity calibrated first-passage firm value models. (English) Zbl 1337.91090 Int. J. Theor. Appl. Finance 18, No. 3, Article ID 1550015, 31 p. (2015). MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 18, No. 3, Article ID 1550015, 31 p. (2015; Zbl 1337.91090) Full Text: DOI
Lo, Chia Chun; Skindilias, Konstantinos An improved Markov chain approximation methodology: derivatives pricing and model calibration. (English) Zbl 1304.91221 Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450047, 22 p. (2014). MSC: 91G20 60J28 60J75 62P05 62F10 62M05 PDFBibTeX XMLCite \textit{C. C. Lo} and \textit{K. Skindilias}, Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450047, 22 p. (2014; Zbl 1304.91221) Full Text: DOI
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. The Heston stochastic-local volatility model: efficient Monte Carlo simulation. (English) Zbl 1303.91194 Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450045, 30 p. (2014). MSC: 91G60 60H35 65C05 91G30 PDFBibTeX XMLCite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 17, No. 7, Article ID 1450045, 30 p. (2014; Zbl 1303.91194) Full Text: DOI
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy The CARMA interest rate model. (English) Zbl 1290.91170 Int. J. Theor. Appl. Finance 17, No. 2, Article ID 1450008, 27 p. (2014). MSC: 91G30 62P05 62M10 91G70 PDFBibTeX XMLCite \textit{A. Andresen} et al., Int. J. Theor. Appl. Finance 17, No. 2, Article ID 1450008, 27 p. (2014; Zbl 1290.91170) Full Text: DOI
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. Credit modeling under jump diffusions with exponentially distributed jumps – stable calibration, dynamics and gap risk. (English) Zbl 1271.91107 Int. J. Theor. Appl. Finance 16, No. 4, Article ID 1350021, 26 p. (2013). MSC: 91G40 91G20 PDFBibTeX XMLCite \textit{M. Hellmich} et al., Int. J. Theor. Appl. Finance 16, No. 4, Article ID 1350021, 26 p. (2013; Zbl 1271.91107) Full Text: DOI
Levendorskiĭ, Sergei Efficient pricing and reliable calibration in the Heston model. (English) Zbl 1282.91338 Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250050, 44 p. (2012). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{S. Levendorskiĭ}, Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250050, 44 p. (2012; Zbl 1282.91338) Full Text: DOI
Heider, Pascal An implied volatility model determined by credit default swaps. (English) Zbl 1282.91238 Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250049, 21 p. (2012). MSC: 91B70 91G20 91G40 PDFBibTeX XMLCite \textit{P. Heider}, Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250049, 21 p. (2012; Zbl 1282.91238) Full Text: DOI
Pistorius, Martijn; Stolte, Johannes Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. (English) Zbl 1246.91151 Int. J. Theor. Appl. Finance 15, No. 4, Article ID 1250031, 34 p. (2012). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{M. Pistorius} and \textit{J. Stolte}, Int. J. Theor. Appl. Finance 15, No. 4, Article ID 1250031, 34 p. (2012; Zbl 1246.91151) Full Text: DOI arXiv
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander A parsimonious multi-asset Heston model: calibration and derivative pricing. (English) Zbl 1233.91263 Int. J. Theor. Appl. Finance 14, No. 8, 1299-1333 (2011). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{G. Dimitroff} et al., Int. J. Theor. Appl. Finance 14, No. 8, 1299--1333 (2011; Zbl 1233.91263) Full Text: DOI
Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model. (English) Zbl 1203.91282 Int. J. Theor. Appl. Finance 13, No. 7, 1047-1063 (2010). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{G. Bormetti} et al., Int. J. Theor. Appl. Finance 13, No. 7, 1047--1063 (2010; Zbl 1203.91282) Full Text: DOI arXiv
Walker, Michael B. Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model. (English) Zbl 1175.91165 Int. J. Theor. Appl. Finance 12, No. 5, 633-662 (2009). MSC: 91G10 91B25 91G20 90C05 PDFBibTeX XMLCite \textit{M. B. Walker}, Int. J. Theor. Appl. Finance 12, No. 5, 633--662 (2009; Zbl 1175.91165) Full Text: DOI
Yang, Zhaojun; Ewald, Christian-Oliver; Xiao, Yajun Implied volatility from Asian options via Monte Carlo methods. (English) Zbl 1183.91183 Int. J. Theor. Appl. Finance 12, No. 2, 153-178 (2009). MSC: 91G20 91G60 65C05 PDFBibTeX XMLCite \textit{Z. Yang} et al., Int. J. Theor. Appl. Finance 12, No. 2, 153--178 (2009; Zbl 1183.91183) Full Text: DOI
Capponi, Agostino; Cvitanić, Jakša Credit risk modeling with misreporting and incomplete information. (English) Zbl 1182.91186 Int. J. Theor. Appl. Finance 12, No. 1, 83-112 (2009). MSC: 91G40 91G70 91B74 91B25 93E11 PDFBibTeX XMLCite \textit{A. Capponi} and \textit{J. Cvitanić}, Int. J. Theor. Appl. Finance 12, No. 1, 83--112 (2009; Zbl 1182.91186) Full Text: DOI
Alfonsi, Aurélien; Jourdain, Benjamin General duality for perpetual American options. (English) Zbl 1232.91640 Int. J. Theor. Appl. Finance 11, No. 6, 545-566 (2008). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{A. Alfonsi} and \textit{B. Jourdain}, Int. J. Theor. Appl. Finance 11, No. 6, 545--566 (2008; Zbl 1232.91640) Full Text: DOI arXiv
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names. (English) Zbl 1291.91243 Int. J. Theor. Appl. Finance 10, No. 4, 607-631 (2007). MSC: 91G70 91G40 62P05 62N05 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 10, No. 4, 607--631 (2007; Zbl 1291.91243) Full Text: DOI
Yang, Hongtao A new finite element method for pricing of bond options under time inhomogeneous affine term structure models of interest rates. (English) Zbl 1291.91240 Int. J. Theor. Appl. Finance 10, No. 1, 31-49 (2007). MSC: 91G60 91G20 65L60 PDFBibTeX XMLCite \textit{H. Yang}, Int. J. Theor. Appl. Finance 10, No. 1, 31--49 (2007; Zbl 1291.91240) Full Text: DOI
Tanimura, Hidetoshi; Yamada, Yuji An efficient calibration method for the multi-factor LIBOR market model and its application to the Japanese market. (English) Zbl 1140.91370 Int. J. Theor. Appl. Finance 9, No. 7, 1123-1139 (2006). MSC: 91B26 91G30 PDFBibTeX XMLCite \textit{H. Tanimura} and \textit{Y. Yamada}, Int. J. Theor. Appl. Finance 9, No. 7, 1123--1139 (2006; Zbl 1140.91370) Full Text: DOI
Bayraktar, Erhan; Chen, Li; Poor, H. Vincent Projecting the forward rate flow onto a finite dimensional manifold. (English) Zbl 1138.91419 Int. J. Theor. Appl. Finance 9, No. 5, 777-785 (2006). MSC: 91B28 60H15 60H30 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Int. J. Theor. Appl. Finance 9, No. 5, 777--785 (2006; Zbl 1138.91419) Full Text: DOI arXiv
Rebonato, Riccardo Forward-rate volatilities and the swaption matrix: why neither time-homogeneity nor time-dependence are enough. (English) Zbl 1138.91473 Int. J. Theor. Appl. Finance 9, No. 5, 705-746 (2006). MSC: 91B28 PDFBibTeX XMLCite \textit{R. Rebonato}, Int. J. Theor. Appl. Finance 9, No. 5, 705--746 (2006; Zbl 1138.91473) Full Text: DOI
Brigo, Damiano; Cousot, Laurent The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation. (English) Zbl 1154.91429 Int. J. Theor. Appl. Finance 9, No. 3, 315-339 (2006). MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{L. Cousot}, Int. J. Theor. Appl. Finance 9, No. 3, 315--339 (2006; Zbl 1154.91429) Full Text: DOI
King, Alan J.; Koivu, Matti; Pennanen, Teemu Calibrated option bounds. (English) Zbl 1100.91045 Int. J. Theor. Appl. Finance 8, No. 2, 141-159 (2005). MSC: 91B28 90C25 PDFBibTeX XMLCite \textit{A. J. King} et al., Int. J. Theor. Appl. Finance 8, No. 2, 141--159 (2005; Zbl 1100.91045) Full Text: DOI
Barlow, Martin; Gusev, Yuri; Lai, Manpo Calibration of multifactor models in electricity markets. (English) Zbl 1107.91307 Int. J. Theor. Appl. Finance 7, No. 2, 101-120 (2004). MSC: 91B24 PDFBibTeX XMLCite \textit{M. Barlow} et al., Int. J. Theor. Appl. Finance 7, No. 2, 101--120 (2004; Zbl 1107.91307) Full Text: DOI
Schoenmakers, John; Coffey, Brian Systematic generation of parametric correlation structures for the LIBOR market model. (English) Zbl 1079.91041 Int. J. Theor. Appl. Finance 6, No. 5, 507-519 (2003). MSC: 91G30 91B26 PDFBibTeX XMLCite \textit{J. Schoenmakers} and \textit{B. Coffey}, Int. J. Theor. Appl. Finance 6, No. 5, 507--519 (2003; Zbl 1079.91041) Full Text: DOI
Achdou, Yves; Pironneau, Olivier Volatility smile by multilevel least square. (English) Zbl 1107.91319 Int. J. Theor. Appl. Finance 5, No. 6, 619-643 (2002). MSC: 91B28 PDFBibTeX XMLCite \textit{Y. Achdou} and \textit{O. Pironneau}, Int. J. Theor. Appl. Finance 5, No. 6, 619--643 (2002; Zbl 1107.91319) Full Text: DOI
Avellaneda, Marco Minimum-relative-entropy calibration of asset-pricing models. (English) Zbl 0979.91024 Int. J. Theor. Appl. Finance 1, No. 4, 447-472 (1998). Reviewer: Oleksandr Kukush (Kiev) MSC: 91B24 91B28 91A60 PDFBibTeX XMLCite \textit{M. Avellaneda}, Int. J. Theor. Appl. Finance 1, No. 4, 447--472 (1998; Zbl 0979.91024) Full Text: DOI