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Publication search results
found 39 matches
- 2011
- Frédéric Abergel, Nicolas Millot:
Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets. SIAM J. Financial Math. 2(1): 342-356 (2011) - Takuji Arai:
Good Deal Bounds Induced by Shortfall Risk. SIAM J. Financial Math. 2(1): 1-21 (2011) - Mathias Beiglböck, Peter Friz, Stephan Sturm:
Is the Minimum Value of an Option on Variance Generated by Local Volatility? SIAM J. Financial Math. 2(1): 213-220 (2011) - Christian Bender:
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time. SIAM J. Financial Math. 2(1): 562-586 (2011) - Marie Bernhart, Peter Tankov, Xavier Warin:
A Finite-Dimensional Approximation for Pricing Moving Average Options. SIAM J. Financial Math. 2(1): 989-1013 (2011) - Baojun Bian, Sheng Miao, Harry Zheng:
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems. SIAM J. Financial Math. 2(1): 727-747 (2011) - Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle:
Optimal Control of Trading Algorithms: A General Impulse Control Approach. SIAM J. Financial Math. 2(1): 404-438 (2011) - Mats Brodén, Magnus Wiktorsson:
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case. SIAM J. Financial Math. 2(1): 55-78 (2011) - N. Bush, Ben M. Hambly, Helen Haworth, L. Jin, Christoph Reisinger:
Stochastic Evolution Equations in Portfolio Credit Modelling. SIAM J. Financial Math. 2(1): 627-664 (2011) - Peter Carr, Sergey Nadtochiy:
Static Hedging under Time-Homogeneous Diffusions. SIAM J. Financial Math. 2(1): 794-838 (2011) - Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor:
Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing. SIAM J. Financial Math. 2(1): 901-934 (2011) - Rama Cont, Yu Hang Kan:
Dynamic Hedging of Portfolio Credit Derivatives. SIAM J. Financial Math. 2(1): 112-140 (2011) - Rama Cont, Nicolas Lantos, Olivier Pironneau:
A Reduced Basis for Option Pricing. SIAM J. Financial Math. 2(1): 287-316 (2011) - Alexander M. G. Cox, Jan Oblój:
Robust Hedging of Double Touch Barrier Options. SIAM J. Financial Math. 2(1): 141-182 (2011) - Mark Davis, Sébastien Lleo:
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM J. Financial Math. 2(1): 22-54 (2011) - El Hadj Aly Dia, Damien Lamberton:
Continuity Correction for Barrier Options in Jump-Diffusion Models. SIAM J. Financial Math. 2(1): 866-900 (2011) - Gordana Dmitrasinovic-Vidovic, Antony Ware:
Optimal Portfolios of Mean-Reverting Instruments. SIAM J. Financial Math. 2(1): 748-767 (2011) - Wahid Faidi, Anis Matoussi, Mohamed Mnif:
Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach. SIAM J. Financial Math. 2(1): 1014-1041 (2011) - Fang Fang, Cornelis W. Oosterlee:
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. SIAM J. Financial Math. 2(1): 439-463 (2011) - Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig:
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2(1): 665-691 (2011) - Jean-Pierre Fouque, Matthew J. Lorig:
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. SIAM J. Financial Math. 2(1): 221-254 (2011) - Marco Frittelli, Marco Maggis:
Dual Representation of Quasi-convex Conditional Maps. SIAM J. Financial Math. 2(1): 357-382 (2011) - Gianluca Fusai, Daniele Marazzina, Marina Marena:
Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM J. Financial Math. 2(1): 383-403 (2011) - Jonathan Goodman, Daniel N. Ostrov:
An Option to Reduce Transaction Costs. SIAM J. Financial Math. 2(1): 512-537 (2011) - Lech A. Grzelak, Cornelis W. Oosterlee:
On the Heston Model with Stochastic Interest Rates. SIAM J. Financial Math. 2(1): 255-286 (2011) - Xinzheng Huang, Cornelis W. Oosterlee:
Saddlepoint Approximations for Expectations and an Application to CDO Pricing. SIAM J. Financial Math. 2(1): 692-714 (2011) - Sebastian Jaimungal, Vladimir Surkov:
Lévy-Based Cross-Commodity Models and Derivative Valuation. SIAM J. Financial Math. 2(1): 464-487 (2011) - Robert Jarrow, Younes Kchia, Philip Protter:
How to Detect an Asset Bubble. SIAM J. Financial Math. 2(1): 839-865 (2011) - Rudra P. Jena, Peter Tankov:
Arbitrage Opportunities in Misspecified Stochastic Volatility Models. SIAM J. Financial Math. 2(1): 317-341 (2011) - Paul V. Johnson, Nicholas J. Sharp, Peter W. Duck, David P. Newton:
A Bridge between American and European Options: The "Ameripean" Delayed-Exercise Model. SIAM J. Financial Math. 2(1): 965-988 (2011)
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