Mordecki, Ernesto; Moreira, Walter Russian options for a diffusion with negative jumps. (English) Zbl 07786356 Publ. Mat. Urug. 9, 37-51 (2001). MSC: 91G20 60J60 60J65 PDFBibTeX XMLCite \textit{E. Mordecki} and \textit{W. Moreira}, Publ. Mat. Urug. 9, 37--51 (2001; Zbl 07786356)
Kijima, M.; Suzuki, T. A jump-diffusion model for pricing corporate debt securities in a complex capital structure. (English) Zbl 1405.91632 Quant. Finance 1, No. 6, 611-620 (2001). MSC: 91G20 91G30 60J75 PDFBibTeX XMLCite \textit{M. Kijima} and \textit{T. Suzuki}, Quant. Finance 1, No. 6, 611--620 (2001; Zbl 1405.91632) Full Text: DOI
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G. Pricing, no-arbitrage bounds and robust hedging of installment options. (English) Zbl 1405.91608 Quant. Finance 1, No. 6, 597-610 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{M. H. A. Davis} et al., Quant. Finance 1, No. 6, 597--610 (2001; Zbl 1405.91608) Full Text: DOI
Feigenbaum, J. A. More on a statistical analysis of log-periodic precursors to financial crashes. (English) Zbl 1405.91613 Quant. Finance 1, No. 5, 527-532 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{J. A. Feigenbaum}, Quant. Finance 1, No. 5, 527--532 (2001; Zbl 1405.91613) Full Text: DOI arXiv
Barndorff-Nielsen, O. E.; Levendorskii, S. Z. Feller processes of normal inverse Gaussian type. (English) Zbl 1405.91582 Quant. Finance 1, No. 3, 318-331 (2001). MSC: 91G20 91G80 60G51 47G30 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} and \textit{S. Z. Levendorskii}, Quant. Finance 1, No. 3, 318--331 (2001; Zbl 1405.91582) Full Text: DOI
Davis, M. Pricing weather derivatives by marginal value. (English) Zbl 1405.91607 Quant. Finance 1, No. 3, 305-308 (2001). MSC: 91G20 60J70 PDFBibTeX XMLCite \textit{M. Davis}, Quant. Finance 1, No. 3, 305--308 (2001; Zbl 1405.91607) Full Text: DOI
Samuelides, Y.; Nahum, E. A tractable market model with jumps for pricing short-term interest rate derivatives. (English) Zbl 1405.91649 Quant. Finance 1, No. 2, 270-283 (2001). MSC: 91G20 91G30 60J75 PDFBibTeX XMLCite \textit{Y. Samuelides} and \textit{E. Nahum}, Quant. Finance 1, No. 2, 270--283 (2001; Zbl 1405.91649) Full Text: DOI
Engle, R. F.; Patton, A. J. What good is a volatility model? (English) Zbl 1405.91612 Quant. Finance 1, No. 2, 237-245 (2001). MSC: 91G20 62M10 62P05 PDFBibTeX XMLCite \textit{R. F. Engle} and \textit{A. J. Patton}, Quant. Finance 1, No. 2, 237--245 (2001; Zbl 1405.91612) Full Text: DOI Link
Bouchaud, J.-P.; Giardina, I.; Mzard, M. On a universal mechanism for long-range volatility correlations. (English) Zbl 1405.91589 Quant. Finance 1, No. 2, 212-216 (2001). MSC: 91G20 91A40 PDFBibTeX XMLCite \textit{J. P. Bouchaud} et al., Quant. Finance 1, No. 2, 212--216 (2001; Zbl 1405.91589) Full Text: DOI arXiv
Hommes, C. H. Financial markets as nonlinear adaptive evolutionary systems. (English) Zbl 1405.91624 Quant. Finance 1, No. 1, 149-167 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{C. H. Hommes}, Quant. Finance 1, No. 1, 149--167 (2001; Zbl 1405.91624) Full Text: DOI Link
Bouchaud, J.-P. Power laws in economics and finance: some ideas from physics. (English) Zbl 1405.91710 Quant. Finance 1, No. 1, 105-112 (2001). MSC: 91G80 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{J. P. Bouchaud}, Quant. Finance 1, No. 1, 105--112 (2001; Zbl 1405.91710) Full Text: DOI arXiv
Lo, C. F.; Hui, C. H. Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach. (English) Zbl 1405.91637 Quant. Finance 1, No. 1, 73-78 (2001). MSC: 91G20 17B45 PDFBibTeX XMLCite \textit{C. F. Lo} and \textit{C. H. Hui}, Quant. Finance 1, No. 1, 73--78 (2001; Zbl 1405.91637) Full Text: DOI
Haugh, M. B.; Lo, A. W. Asset allocation and derivatives. (English) Zbl 1405.91694 Quant. Finance 1, No. 1, 45-72 (2001). MSC: 91G60 91G20 91G10 60J60 PDFBibTeX XMLCite \textit{M. B. Haugh} and \textit{A. W. Lo}, Quant. Finance 1, No. 1, 45--72 (2001; Zbl 1405.91694) Full Text: DOI
Guo, X. Information and option pricings. (English) Zbl 1405.91619 Quant. Finance 1, No. 1, 38-44 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{X. Guo}, Quant. Finance 1, No. 1, 38--44 (2001; Zbl 1405.91619) Full Text: DOI
Carr, P.; Madan, D. Optimal positioning in derivative securities. (English) Zbl 1405.91599 Quant. Finance 1, No. 1, 19-37 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Madan}, Quant. Finance 1, No. 1, 19--37 (2001; Zbl 1405.91599) Full Text: DOI
Devolder, Pierre The virtual universe of finance. (Les univers virtuels de la finance.) (French. English summary) Zbl 1358.91098 Belg. Actuar. Bull. 1, No. 1, 10-17 (2001). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{P. Devolder}, Belg. Actuar. Bull. 1, No. 1, 10--17 (2001; Zbl 1358.91098)
Cvsa, V.; Ritchken, P. Pricing claims under GARCH-level dependent interest rate processes. (English) Zbl 1232.91658 Manage. Sci. 47, No. 12, 1693-1711 (2001). MSC: 91G20 91G30 62M10 PDFBibTeX XMLCite \textit{V. Cvsa} and \textit{P. Ritchken}, Manage. Sci. 47, No. 12, 1693--1711 (2001; Zbl 1232.91658) Full Text: DOI Link
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy Asymptotic distribution of the EMS option price estimator. (English) Zbl 1232.91703 Manage. Sci. 47, No. 8, 1122-1132 (2001). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{J.-C. Duan} et al., Manage. Sci. 47, No. 8, 1122--1132 (2001; Zbl 1232.91703) Full Text: DOI
Davydov, Dmitry; Linetsky, Vadim Pricing and hedging path-dependent options under the CEV process. (English) Zbl 1232.91659 Manage. Sci. 47, No. 7, 949-965 (2001). MSC: 91G20 60J70 PDFBibTeX XMLCite \textit{D. Davydov} and \textit{V. Linetsky}, Manage. Sci. 47, No. 7, 949--965 (2001; Zbl 1232.91659) Full Text: DOI
Tse, Wai Man; Li, Leong Kwan; Ng, Kai Wang Pricing discrete barrier and hindsight options with the tridiagonal probability algorithm. (English) Zbl 1232.91677 Manage. Sci. 47, No. 3, 383-393 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{W. M. Tse} et al., Manage. Sci. 47, No. 3, 383--393 (2001; Zbl 1232.91677) Full Text: DOI
Mèndez, O.; Stumpf, S. Pricing European options of assets with dividends and stochastic volatility. (Portuguese. English summary) Zbl 1208.91150 TEMA, Tend. Mat. Apl. Comput. 2, 135-143 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{O. Mèndez} and \textit{S. Stumpf}, TEMA, Tend. Mat. Apl. Comput. 2, 135--143 (2001; Zbl 1208.91150)
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. Hedging derivative securities and incomplete markets: an \(\varepsilon\)-arbitrage approach. (English) Zbl 1163.91381 Oper. Res. 49, No. 3, 372-397 (2001). MSC: 91G20 90C15 PDFBibTeX XMLCite \textit{D. Bertsimas} et al., Oper. Res. 49, No. 3, 372--397 (2001; Zbl 1163.91381) Full Text: DOI Link
Topper, Jürgen Worst case pricing of rainbow options. (English) Zbl 1232.91676 J. Mong. Math. Soc. 5, 96-109 (2001). MSC: 91G20 91G60 65M60 PDFBibTeX XMLCite \textit{J. Topper}, J. Mong. Math. Soc. 5, 96--109 (2001; Zbl 1232.91676)
Skiadopoulos, George Volatility smile consistent option models: a survey. (English) Zbl 1152.91551 Int. J. Theor. Appl. Finance 4, No. 3, 403-437 (2001). MSC: 91G20 91-02 PDFBibTeX XMLCite \textit{G. Skiadopoulos}, Int. J. Theor. Appl. Finance 4, No. 3, 403--437 (2001; Zbl 1152.91551) Full Text: DOI
Yasuoka, Takashi Mathematical pseudo-completion of the BGM model. (English) Zbl 1153.91578 Int. J. Theor. Appl. Finance 4, No. 3, 375-401 (2001). MSC: 91B28 60H15 PDFBibTeX XMLCite \textit{T. Yasuoka}, Int. J. Theor. Appl. Finance 4, No. 3, 375--401 (2001; Zbl 1153.91578) Full Text: DOI
Bizid, A.; Jouini, E. Incomplete markets and short-sales constraints: an equilibrium approach. (English) Zbl 1154.91543 Int. J. Theor. Appl. Finance 4, No. 2, 211-243 (2001). MSC: 91B50 91B28 91B44 PDFBibTeX XMLCite \textit{A. Bizid} and \textit{E. Jouini}, Int. J. Theor. Appl. Finance 4, No. 2, 211--243 (2001; Zbl 1154.91543) Full Text: DOI
Fedotov, Sergei; Mikhailov, Sergei Option pricing for incomplete markets via stochastic optimization: transaction costs, adaptive control and forecast. (English) Zbl 1153.91494 Int. J. Theor. Appl. Finance 4, No. 1, 179-195 (2001). MSC: 91G20 90C15 PDFBibTeX XMLCite \textit{S. Fedotov} and \textit{S. Mikhailov}, Int. J. Theor. Appl. Finance 4, No. 1, 179--195 (2001; Zbl 1153.91494) Full Text: DOI
Lesne, J. L.; Prigent, J. L. A general subordinated stochastic process for derivatives pricing. (English) Zbl 1153.91537 Int. J. Theor. Appl. Finance 4, No. 1, 121-146 (2001). MSC: 91B28 60H15 60J70 PDFBibTeX XMLCite \textit{J. L. Lesne} and \textit{J. L. Prigent}, Int. J. Theor. Appl. Finance 4, No. 1, 121--146 (2001; Zbl 1153.91537) Full Text: DOI
Lee, Roger W. Implied and local volatilities under stochastic volatility. (English) Zbl 1153.91536 Int. J. Theor. Appl. Finance 4, No. 1, 45-89 (2001). MSC: 91G20 60H15 PDFBibTeX XMLCite \textit{R. W. Lee}, Int. J. Theor. Appl. Finance 4, No. 1, 45--89 (2001; Zbl 1153.91536) Full Text: DOI
Dillmann, Tobias; Ruß, Jochen Implicit options in life insurance contracts. II: The case of flexible expiration options in endowment contracts. (English) Zbl 1354.91062 Bl., Dtsch. Ges. Versicherungsmath. 25, No. 2, 225-235 (2001). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{T. Dillmann} and \textit{J. Ruß}, Bl., Dtsch. Ges. Versicherungsmath. 25, No. 2, 225--235 (2001; Zbl 1354.91062) Full Text: DOI
Ruiz de Chávez S., J. Predictable representation of the binomial process and application to options in finance. (Spanish) Zbl 1139.91018 Alfaro, Javier (ed.) et al., XXXIII congreso nacional de la Sociedad Matemática Mexicana, Saltillo, México, 2000. Memorias. México: Sociedad Matemática Mexicana (ISBN 968-36-9631-7/pbk). Aportaciones Mat., Comun. 29, 223-230 (2001). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G42 PDFBibTeX XMLCite \textit{J. Ruiz de Chávez S.}, Aportaciones Mat., Comun. 29, 223--230 (2001; Zbl 1139.91018)
Lari-Lavassani, Ali; Simchi, Mohamadreza; Ware, Antony A discrete valuation of swing options. (English) Zbl 1073.91035 Can. Appl. Math. Q. 9, No. 1, 35-73 (2001). MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{A. Lari-Lavassani} et al., Can. Appl. Math. Q. 9, No. 1, 35--73 (2001; Zbl 1073.91035)
Nakamura, Nobuhiro Valuation of mortgage-backed securities based upon a structural approach. (English) Zbl 1089.91038 Asia-Pac. Financ. Mark. 8, No. 4, 259-289 (2001). MSC: 91G20 91G30 91G60 60H30 PDFBibTeX XMLCite \textit{N. Nakamura}, Asia-Pac. Financ. Mark. 8, No. 4, 259--289 (2001; Zbl 1089.91038) Full Text: DOI
Heath, David; Hurst, Simon; Platen, Eckhard Modelling the stochastic dynamics of volatility for equity indices. (English) Zbl 1054.91037 Asia-Pac. Financ. Mark. 8, No. 3, 179-195 (2001). MSC: 91G20 91B62 91B70 PDFBibTeX XMLCite \textit{D. Heath} et al., Asia-Pac. Financ. Mark. 8, No. 3, 179--195 (2001; Zbl 1054.91037) Full Text: DOI
Kašćelan, Vladimir Estimation of beta coefficient and stock option pricing. (English) Zbl 1031.91052 Math. Montisnigri 13, 41-48 (2001). Reviewer: Ljiljana Petrović (Kragujevac) MSC: 91G20 PDFBibTeX XMLCite \textit{V. Kašćelan}, Math. Montisnigri 13, 41--48 (2001; Zbl 1031.91052)
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R. Valuation of segregated funds: shout options with maturity extensions. (English) Zbl 1055.91036 Insur. Math. Econ. 29, No. 1, 1-21 (2001). MSC: 91B28 PDFBibTeX XMLCite \textit{H. Windcliff} et al., Insur. Math. Econ. 29, No. 1, 1--21 (2001; Zbl 1055.91036) Full Text: DOI
Wang, Xiao-Tian; Qiu, Wei-Yuan; Ren, Fu-Yao Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\). (English) Zbl 1041.91038 Chaos Solitons Fractals 12, No. 3, 599-608 (2001). Reviewer: Gong Guanglu (Beijing) MSC: 91G20 PDFBibTeX XMLCite \textit{X.-T. Wang} et al., Chaos Solitons Fractals 12, No. 3, 599--608 (2001; Zbl 1041.91038) Full Text: DOI
Akcoglu, Karhan; Kao, Ming-Yang; Raghavan, Shuba V. Fast pricing of European Asian options with provable accuracy: single-stock and basket options. (English) Zbl 1037.91041 Meyer auf der Heide, Friedhelm (ed.), Algorithms - ESA 2001. 9th annual European symposium, Århus, Denmark, August 28–31, 2001. Proceedings. Berlin: Springer (ISBN 3-540-42493-8). Lect. Notes Comput. Sci. 2161, 404-415 (2001). MSC: 91G20 91B24 PDFBibTeX XMLCite \textit{K. Akcoglu} et al., Lect. Notes Comput. Sci. 2161, 404--415 (2001; Zbl 1037.91041) Full Text: Link
Gonchar, Mykola S. Mathematical model of a stock market. (Ukrainian. English summary) Zbl 1002.91023 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 5, 32-37 (2001). Reviewer: A.D.Borisenko (Kyïv) MSC: 91B28 PDFBibTeX XMLCite \textit{M. S. Gonchar}, Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2001, No. 5, 32--37 (2001; Zbl 1002.91023)
Whittle, Peter On the structure of proper Black-Scholes formulae. (English) Zbl 1029.91037 J. Appl. Probab. 38A, Spec. Iss., 243-248 (2001). MSC: 91B28 93E20 PDFBibTeX XMLCite \textit{P. Whittle}, J. Appl. Probab. 38A, 243--248 (2001; Zbl 1029.91037) Full Text: DOI
Zühlsdorff, Christian The pricing of derivatives of assets with quadratic volatility. (English) Zbl 1067.91018 Appl. Math. Finance 8, No. 4, 235-262 (2001). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B24 60H10 60H15 PDFBibTeX XMLCite \textit{C. Zühlsdorff}, Appl. Math. Finance 8, No. 4, 235--262 (2001; Zbl 1067.91018) Full Text: DOI
Stummer, Wolfgang Some divergence properties of asset price models. (English) Zbl 1015.91031 Entropy 3, No. 4, 300-324 (2001). MSC: 91B28 60H10 62P05 PDFBibTeX XMLCite \textit{W. Stummer}, Entropy 3, No. 4, 300--324 (2001; Zbl 1015.91031) Full Text: DOI Link
Sztuba, P.; Weron, A. Pricing forward-start options in the HJM framework; evidence from the Polish market. (English) Zbl 1020.91031 Appl. Math. 28, No. 2, 211-224 (2001). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91B28 60G44 60H30 PDFBibTeX XMLCite \textit{P. Sztuba} and \textit{A. Weron}, Appl. Math. 28, No. 2, 211--224 (2001; Zbl 1020.91031) Full Text: DOI
Howison, Sam; Lamper, David Trading volume in models of financial derivatives. (English) Zbl 1013.91047 Appl. Math. Finance 8, No. 2, 119-135 (2001). MSC: 91B28 91B60 PDFBibTeX XMLCite \textit{S. Howison} and \textit{D. Lamper}, Appl. Math. Finance 8, No. 2, 119--135 (2001; Zbl 1013.91047) Full Text: DOI
Henderson, Vicky; Hobson, David Passport options with stochastic volatility. (English) Zbl 1013.91046 Appl. Math. Finance 8, No. 2, 97-118 (2001). MSC: 91B28 PDFBibTeX XMLCite \textit{V. Henderson} and \textit{D. Hobson}, Appl. Math. Finance 8, No. 2, 97--118 (2001; Zbl 1013.91046) Full Text: DOI
Bouchard, B.; Kabanov, Yu. A.; Touzi, N. Option pricing by large risk aversion utility under transaction costs. (English) Zbl 1011.91043 Decis. Econ. Finance 24, No. 2, 127-136 (2001). Reviewer: Anatoliy Swishchuk (Kyïv) MSC: 91G20 91B16 62P05 PDFBibTeX XMLCite \textit{B. Bouchard} et al., Decis. Econ. Finance 24, No. 2, 127--136 (2001; Zbl 1011.91043) Full Text: DOI
Pellizzari, P. Efficient Monte Carlo pricing of European options using mean value control variates. (English) Zbl 1010.91051 Decis. Econ. Finance 24, No. 2, 107-126 (2001). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{P. Pellizzari}, Decis. Econ. Finance 24, No. 2, 107--126 (2001; Zbl 1010.91051) Full Text: DOI
Kashcheev, D. E. Compound Cox processes and option pricing. (English) Zbl 1012.91023 J. Math. Sci., New York 106, No. 1, 2682-2690 (2001). Reviewer: C.L.Parihar (Indore) MSC: 91G20 91B82 62P05 PDFBibTeX XMLCite \textit{D. E. Kashcheev}, J. Math. Sci., New York 106, No. 1, 2682--2690 (2001; Zbl 1012.91023) Full Text: DOI
Hauksson, H. A.; Rachev, S. T. The GARCH-stable option pricing model. (English) Zbl 1008.91048 Math. Comput. Modelling 34, No. 9-11, 1199-1212 (2001). MSC: 91G20 62M10 PDFBibTeX XMLCite \textit{H. A. Hauksson} and \textit{S. T. Rachev}, Math. Comput. Modelling 34, No. 9--11, 1199--1212 (2001; Zbl 1008.91048) Full Text: DOI
Vollert, A. Margrabe’s option to exchange in a Paretian-stable subordinated market. (English) Zbl 1090.91546 Math. Comput. Modelling 34, No. 9-11, 1185-1197 (2001). MSC: 91B28 60G99 PDFBibTeX XMLCite \textit{A. Vollert}, Math. Comput. Modelling 34, No. 9--11, 1185--1197 (2001; Zbl 1090.91546) Full Text: DOI
Kusuoka, Shigeo Approximation of expectation of diffusion process and mathematical finance. (English) Zbl 1028.60052 Maruyama, Masaki (ed.) et al., Taniguchi conference on mathematics Nara ’98. Papers from the conference, Nara, Japan, December 15-20, 1998. Tokyo: Mathematical Society of Japan. Adv. Stud. Pure Math. 31, 147-165 (2001). Reviewer: Fima C.Klebaner (Parkville, Victoria) MSC: 60J60 65C50 91G20 91G60 60H07 60H10 PDFBibTeX XMLCite \textit{S. Kusuoka}, Adv. Stud. Pure Math. 31, 147--165 (2001; Zbl 1028.60052)
Meyer, G. H. On pricing American and Asian options with PDE methods. (English) Zbl 0992.91034 Acta Math. Univ. Comen., New Ser. 70, No. 1, 153-165 (2001). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{G. H. Meyer}, Acta Math. Univ. Comen., New Ser. 70, No. 1, 153--165 (2001; Zbl 0992.91034) Full Text: EuDML
Goll, Thomas Derivative pricing and logarithmic portfolio optimization in incomplete markets. (English) Zbl 0990.91024 Freiburg i.Br.: Univ. Freiburg, Mathematische Fakultät, vi, 93 p. (2001). Reviewer: José Lúis Fernandez Perez (Madrid) MSC: 91G10 91G20 91B26 91G80 PDFBibTeX XMLCite \textit{T. Goll}, Derivative pricing and logarithmic portfolio optimization in incomplete markets. Freiburg i.Br.: Univ. Freiburg, Mathematische Fakultät (2001; Zbl 0990.91024)
Rajasekera, J. R.; Yamada, M. Estimating the firm value distribution function by entropy optimization and geometric programming. (English) Zbl 1012.90066 Ann. Oper. Res. 105, 61-75 (2001). MSC: 90C30 90C59 PDFBibTeX XMLCite \textit{J. R. Rajasekera} and \textit{M. Yamada}, Ann. Oper. Res. 105, 61--75 (2001; Zbl 1012.90066) Full Text: DOI
Reisman, Haim Black and Scholes pricing and markets with transaction costs: An example. (English) Zbl 0997.91021 Finance Stoch. 5, No. 4, 549-555 (2001). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 91B28 60J60 PDFBibTeX XMLCite \textit{H. Reisman}, Finance Stoch. 5, No. 4, 549--555 (2001; Zbl 0997.91021) Full Text: DOI
Schweizer, Martin A guided tour through quadratic hedging approaches. (English) Zbl 0992.91036 Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 538-574 (2001). Reviewer: Sergei V.Rogosin (Minsk) MSC: 91G20 91-02 60G99 91G80 PDFBibTeX XMLCite \textit{M. Schweizer}, in: Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. 538--574 (2001; Zbl 0992.91036)
Heath, David; Platen, Eckhard; Schweizer, Martin Numerical comparison of local risk-minimisation and mean-variance hedging. (English) Zbl 1004.91031 Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 509-537 (2001). Reviewer: Horst Behncke (Osnabrück) MSC: 91G20 91B30 60G44 91G60 PDFBibTeX XMLCite \textit{D. Heath} et al., in: Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. 509--537 (2001; Zbl 1004.91031)
Boyle, Phelim; Broadie, Mark; Glasserman, Paul Monte Carlo methods for security pricing. (English) Zbl 0991.91026 Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 185-238 (2001). Reviewer: Prabhat Kumar Mahanti (New Brunswick) MSC: 91G60 65C10 91G20 PDFBibTeX XMLCite \textit{P. Boyle} et al., in: Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. 185--238 (2001; Zbl 0991.91026)
Detemple, Jérôme American options: symmetry properties. (English) Zbl 1107.91329 Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press (ISBN 0-521-79237-1/hbk). Handbooks in Mathematical Finance, 67-104 (2001). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{J. Detemple}, in: Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. 67--104 (2001; Zbl 1107.91329)
Wu, Dongsheng Probabilistic numerical approach for PDE and its application in the valuation of European options. (English) Zbl 0993.65005 J. Comput. Math. 19, No. 6, 591-600 (2001). Reviewer: Ilya S.Molchanov (Glasgow) MSC: 65C05 65M12 65Y05 65C30 35K15 91G60 91G20 PDFBibTeX XMLCite \textit{D. Wu}, J. Comput. Math. 19, No. 6, 591--600 (2001; Zbl 0993.65005)
Ruffing, Andreas; Windpassinger, Patrick; Panig, Stefan Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics. (English) Zbl 1001.91050 Discrete Dyn. Nat. Soc. 6, No. 3, 159-169 (2001). MSC: 91G60 35Q91 65M06 91G20 PDFBibTeX XMLCite \textit{A. Ruffing} et al., Discrete Dyn. Nat. Soc. 6, No. 3, 159--169 (2001; Zbl 1001.91050) Full Text: DOI
Gobet, Emmanuel; Teman, Emmanuel Discrete time hedging errors for options with irregular payoffs. (English) Zbl 0978.91036 Finance Stoch. 5, No. 3, 357-367 (2001); correction ibid. 18, No. 2, 483-485 (2014). Reviewer: A.D.Borisenko (Kyïv) MSC: 91G20 60H05 PDFBibTeX XMLCite \textit{E. Gobet} and \textit{E. Teman}, Finance Stoch. 5, No. 3, 357--367 (2001; Zbl 0978.91036) Full Text: DOI
Nualart, David; Schoutens, Wim Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance. (English) Zbl 0991.60045 Bernoulli 7, No. 5, 761-776 (2001). Reviewer: Gheorghe Stoica (Saint John) MSC: 60H10 91B24 60G51 PDFBibTeX XMLCite \textit{D. Nualart} and \textit{W. Schoutens}, Bernoulli 7, No. 5, 761--776 (2001; Zbl 0991.60045) Full Text: DOI
Prigent, Jean-Luc Option pricing with a general marked point process. (English) Zbl 1073.91592 Math. Oper. Res. 26, No. 1, 50-66 (2001). MSC: 91G20 60G55 60K15 91B24 PDFBibTeX XMLCite \textit{J.-L. Prigent}, Math. Oper. Res. 26, No. 1, 50--66 (2001; Zbl 1073.91592) Full Text: DOI
Palmer, Ken A note on the Boyle-Vorst discrete-time option pricing model with transactions costs. (English) Zbl 1055.91032 Math. Finance 11, No. 3, 357-363 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{K. Palmer}, Math. Finance 11, No. 3, 357--363 (2001; Zbl 1055.91032) Full Text: DOI
Grandits, Peter; Schachinger, Werner Leland’s approach to option pricing: The evolution of a discontinuity. (English) Zbl 0996.91062 Math. Finance 11, No. 3, 347-355 (2001). Reviewer: Fima C.Klebaner (Parkville, Victoria) MSC: 91G20 PDFBibTeX XMLCite \textit{P. Grandits} and \textit{W. Schachinger}, Math. Finance 11, No. 3, 347--355 (2001; Zbl 0996.91062) Full Text: DOI Link
Constantinides, George M.; Zariphopoulou, Thaleia Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities. (English) Zbl 0980.91019 Math. Finance 11, No. 3, 331-346 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{G. M. Constantinides} and \textit{T. Zariphopoulou}, Math. Finance 11, No. 3, 331--346 (2001; Zbl 0980.91019) Full Text: DOI
Brown, Haydyn; Hobson, David; Rogers, L. C. G. Robust hedging of barrier options. (English) Zbl 1047.91024 Math. Finance 11, No. 3, 285-314 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{H. Brown} et al., Math. Finance 11, No. 3, 285--314 (2001; Zbl 1047.91024) Full Text: DOI
Amaro de Matos, João MSM estimators of European options on assets with jumps. (English) Zbl 0996.91065 Math. Finance 11, No. 2, 189-203 (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91G60 65C05 PDFBibTeX XMLCite \textit{J. Amaro de Matos}, Math. Finance 11, No. 2, 189--203 (2001; Zbl 0996.91065) Full Text: DOI
Otto, Matthias Finite arbitrage times and the volatility smile? (English) Zbl 0997.91029 Physica A 299, No. 1-2, 299-304 (2001). MSC: 91B28 60G50 PDFBibTeX XMLCite \textit{M. Otto}, Physica A 299, No. 1--2, 299--304 (2001; Zbl 0997.91029) Full Text: DOI
Guo, Xin; Shepp, Larry Option pricing in a world with arbitrage. (English) Zbl 1017.91044 Uryasev, Stanislav (ed.) et al., Stochastic optimization: Algorithms and applications. Conference, Univ. of Florida, Tallahassee, FL, USA, February 20-22, 2000. Dordrecht: Kluwer Academic Publishers. Appl. Optim. 54, 87-96 (2001). MSC: 91G20 60G35 PDFBibTeX XMLCite \textit{X. Guo} and \textit{L. Shepp}, Appl. Optim. 54, 87--96 (2001; Zbl 1017.91044)
Prékopa, András Discrete higher order convex functions and their applications. (English) Zbl 0994.90096 Hadjisavvas, Nicolas (ed.) et al., Generalized convexity and generalized monotonicity. Proceedings of the 6th international symposium, Samos, Greece, September 1999. Berlin: Springer. Lect. Notes Econ. Math. Syst. 502, 21-47 (2001). Reviewer: Juan-E.Martínez-Legaz (Barcelona) MSC: 90C05 60E99 26B25 65C50 91B28 PDFBibTeX XMLCite \textit{A. Prékopa}, Lect. Notes Econ. Math. Syst. 502, 21--47 (2001; Zbl 0994.90096)
Zvan, R.; Forsyth, P. A.; Vetzal, K. R. A finite volume approach for contingent claims valuation. (English) Zbl 1004.91032 IMA J. Numer. Anal. 21, No. 3, 703-731 (2001). Reviewer: Miguel Ángel Mirás Calvo (Vigo) MSC: 91B28 60H35 PDFBibTeX XMLCite \textit{R. Zvan} et al., IMA J. Numer. Anal. 21, No. 3, 703--731 (2001; Zbl 1004.91032) Full Text: DOI
Heidergott, Bernd Option pricing via Monte Carlo simulation. A weak derivative approach. (English) Zbl 1017.91045 Probab. Eng. Inf. Sci. 15, No. 3, 335-349 (2001). MSC: 91G60 65C05 91G20 60G40 PDFBibTeX XMLCite \textit{B. Heidergott}, Probab. Eng. Inf. Sci. 15, No. 3, 335--349 (2001; Zbl 1017.91045) Full Text: DOI
Xiao, Qingxian; Zhang, Jianhai The estimation of parameters in Black-Scholes model. (Chinese. English summary) Zbl 0985.91032 J. Henan Norm. Univ., Nat. Sci. 29, No. 1, 16-19 (2001). MSC: 91G20 62F10 PDFBibTeX XMLCite \textit{Q. Xiao} and \textit{J. Zhang}, J. Henan Norm. Univ., Nat. Sci. 29, No. 1, 16--19 (2001; Zbl 0985.91032)
Basso, A.; Pianca, P. Option pricing bounds with standard risk aversion preferences. (English) Zbl 1017.91035 Eur. J. Oper. Res. 134, No. 2, 249-260 (2001). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Basso} and \textit{P. Pianca}, Eur. J. Oper. Res. 134, No. 2, 249--260 (2001; Zbl 1017.91035) Full Text: DOI
Carr, Peter; Jin, Xing; Madan, Dilip B. Optimal investment in derivative securities. (English) Zbl 0977.60056 Finance Stoch. 5, No. 1, 33-59 (2001). Reviewer: A.Ya.Olenko (Kyïv) MSC: 60G44 49L20 60J75 PDFBibTeX XMLCite \textit{P. Carr} et al., Finance Stoch. 5, No. 1, 33--59 (2001; Zbl 0977.60056) Full Text: DOI
Davis, Mark H. A.; Schachermayer, Walter; Tompkins, Robert G. Installment options and static hedging. (English) Zbl 0994.91022 Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 131-139 (2001). MSC: 91B28 91B24 91B30 PDFBibTeX XMLCite \textit{M. H. A. Davis} et al., in: Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5--7, 2000. Basel: Birkhäuser. 131--139 (2001; Zbl 0994.91022)
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. Option pricing and hedging under regular Lévy processes of exponential type. (English) Zbl 1008.91043 Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 121-130 (2001). MSC: 91G20 91B24 60G99 PDFBibTeX XMLCite \textit{S. I. Boyarchenko} and \textit{S. Z. Levendorskij}, in: Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5--7, 2000. Basel: Birkhäuser. 121--130 (2001; Zbl 1008.91043)
Duan, J.-C.; Simonato, J.-G. American option pricing under GARCH by a Markov chain approximation. (English) Zbl 0981.91041 J. Econ. Dyn. Control 25, No. 11, 1689-1718 (2001). MSC: 91G20 60G40 60J05 PDFBibTeX XMLCite \textit{J. C. Duan} and \textit{J. G. Simonato}, J. Econ. Dyn. Control 25, No. 11, 1689--1718 (2001; Zbl 0981.91041) Full Text: DOI
Das Varma, Gopal; Vettas, Nikolaos Optimal dynamic pricing with inventories. (English) Zbl 0988.91020 Econ. Lett. 72, No. 3, 335-340 (2001). MSC: 91B24 90B05 PDFBibTeX XMLCite \textit{G. Das Varma} and \textit{N. Vettas}, Econ. Lett. 72, No. 3, 335--340 (2001; Zbl 0988.91020) Full Text: DOI
Jouini, E. (ed.); Cvitanić, J. (ed.); Musiela, Marek (ed.) Option pricing, interest rates and risk management. (English) Zbl 0967.91001 Handbooks in Mathematical Finance. Cambridge: Cambridge University Press. xvi, 669 p. (2001). MSC: 91-00 91G20 91G30 00B15 PDFBibTeX XMLCite \textit{E. Jouini} (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press (2001; Zbl 0967.91001)
Paulsen, V. Bounds for the American perpetual put on a stock index. (English) Zbl 0979.91042 J. Appl. Probab. 38, No. 1, 55-66 (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91G20 62P05 60G40 PDFBibTeX XMLCite \textit{V. Paulsen}, J. Appl. Probab. 38, No. 1, 55--66 (2001; Zbl 0979.91042) Full Text: DOI
Barndorff-Nielsen, Ole E.; Shephard, Neil Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). (English) Zbl 0983.60028 J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, No. 2, 167-241 (2001). Reviewer: René L.Schilling (Brighton) MSC: 60G35 91B28 60J70 62P05 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, No. 2, 167--241 (2001; Zbl 0983.60028) Full Text: DOI
Booth, Philip; Walsh, Duncan An option pricing approach to valuing upward only rent review properties with multiple reviews. (English) Zbl 0976.91033 Insur. Math. Econ. 28, No. 2, 151-171 (2001). MSC: 91G20 60G35 PDFBibTeX XMLCite \textit{P. Booth} and \textit{D. Walsh}, Insur. Math. Econ. 28, No. 2, 151--171 (2001; Zbl 0976.91033) Full Text: DOI
Lipton, Alexander How to use self-similarities to discover similarities of path-dependent options. (English) Zbl 0985.91028 Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 317-334 (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91G20 PDFBibTeX XMLCite \textit{A. Lipton}, in: Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. II. Singapore: World Scientific. 317--334 (2001; Zbl 0985.91028)
Coleman, Thomas F.; Li, Yuying; Verma, Arun Reconstructing the unknown local volatility function. (English) Zbl 0976.91019 Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 192-215 (2001). MSC: 91B24 PDFBibTeX XMLCite \textit{T. F. Coleman} et al., in: Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. II. Singapore: World Scientific. 192--215 (2001; Zbl 0976.91019)
Carr, Peter; Madan, Dilip Determining volatility surfaces and option values from an implied volatility smile. (English) Zbl 1012.91017 Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 163-191 (2001). Reviewer: Oleksandr Kukush (Kiev) MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr} and \textit{D. Madan}, in: Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. II. Singapore: World Scientific. 163--191 (2001; Zbl 1012.91017)
Bally, Vlad; Pagès, Gilles; Printems, Jacques A stochastic quantization method for nonlinear problems. (English) Zbl 1035.65008 Monte Carlo Methods Appl. 7, No. 1-2, 21-33 (2001). MSC: 65C30 60G40 91G60 60H15 60H35 PDFBibTeX XMLCite \textit{V. Bally} et al., Monte Carlo Methods Appl. 7, No. 1--2, 21--33 (2001; Zbl 1035.65008) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio Interest rate models – theory and practice. (English) Zbl 1038.91040 Springer Finance. Berlin: Springer (ISBN 3-540-41772-9). xxxviii, 518 p. (2001). Reviewer: José Lúis Fernandez Perez (Madrid) MSC: 91G30 91G10 91-01 91B26 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Interest rate models -- theory and practice. Berlin: Springer (2001; Zbl 1038.91040)
Forsyth, P. A.; Vetzal, K. R. Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. (English) Zbl 1072.91578 Appl. Numer. Math. 36, No. 4, 427-445 (2001). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{P. A. Forsyth} and \textit{K. R. Vetzal}, Appl. Numer. Math. 36, No. 4, 427--445 (2001; Zbl 1072.91578) Full Text: DOI
Jiang, Lishang; Tao, Youshan Identifying the volatility of underlying assets from option prices. (English) Zbl 0997.91024 Inverse Probl. 17, No. 1, 137-155 (2001). Reviewer: Sergei V.Rogosin (Minsk) MSC: 91G20 49J20 91B40 PDFBibTeX XMLCite \textit{L. Jiang} and \textit{Y. Tao}, Inverse Probl. 17, No. 1, 137--155 (2001; Zbl 0997.91024) Full Text: DOI
Chalasani, Prasad; Jha, Somesh Randomized stopping times and American option pricing with transaction costs. (English) Zbl 0993.91021 Math. Finance 11, No. 1, 33-77 (2001). Reviewer: Yu.S.Mishura (Kyïv) MSC: 91G20 60G40 60G42 PDFBibTeX XMLCite \textit{P. Chalasani} and \textit{S. Jha}, Math. Finance 11, No. 1, 33--77 (2001; Zbl 0993.91021) Full Text: DOI
Marcozzi, Michael D. On the approximation of optimal stopping problems with application to financial mathematics. (English) Zbl 0980.60047 SIAM J. Sci. Comput. 22, No. 5, 1865-1884 (2001). MSC: 60G40 91B28 35K65 PDFBibTeX XMLCite \textit{M. D. Marcozzi}, SIAM J. Sci. Comput. 22, No. 5, 1865--1884 (2001; Zbl 0980.60047) Full Text: DOI
Galeeva, R. Binomial trees as dynamical systems. (English) Zbl 0972.91048 Physica A 292, No. 1-4, 519-535 (2001). MSC: 91B24 37N40 PDFBibTeX XMLCite \textit{R. Galeeva}, Physica A 292, No. 1--4, 519--535 (2001; Zbl 0972.91048) Full Text: DOI
Potters, M.; Bouchaud, J.-P.; Sestovic, D. Hedged Monte-Carlo: low variance derivative pricing with objective probabilities. (English) Zbl 0971.91503 Physica A 289, No. 3-4, 517-525 (2001). MSC: 91G20 91B84 PDFBibTeX XMLCite \textit{M. Potters} et al., Physica A 289, No. 3--4, 517--525 (2001; Zbl 0971.91503) Full Text: DOI arXiv
Korn, Ralf; Korn, Elke Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. (English) Zbl 0965.91020 Graduate Studies in Mathematics. 31. Providence, RI: American Mathematical Society (AMS). xiv, 253 p. (2001). Reviewer: T.Postelnicu (Bucureşti) MSC: 91-02 91G10 91G20 91G60 91G80 62P05 93E20 60G44 60H05 60H30 PDFBibTeX XMLCite \textit{R. Korn} and \textit{E. Korn}, Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. Providence, RI: AMS, American Mathematical Society (2001; Zbl 0965.91020)