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There are 3908 results for: content related to: PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

  1. THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS

    Mathematical Finance

    Paolo Guasoni and Jan Obłój

    Article first published online : 2 DEC 2013, DOI: 10.1111/mafi.12057

  2. BLACK–SCHOLES REPRESENTATION FOR ASIAN OPTIONS

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 598–626, Jan Vecer

    Article first published online : 2 NOV 2012, DOI: 10.1111/mafi.12012

  3. TIME-CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

    Mathematical Finance

    Volume 24, Issue 2, April 2014, Pages: 289–330, Lingfei Li and Vadim Linetsky

    Article first published online : 2 NOV 2012, DOI: 10.1111/mafi.12003

  4. MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS

    Mathematical Finance

    Volume 24, Issue 2, April 2014, Pages: 364–402, Sylvain Corlay, Joachim Lebovits and Jacques Lévy Véhel

    Article first published online : 11 FEB 2013, DOI: 10.1111/mafi.12024

  5. PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 533–566, Vicky Henderson, Jia Sun and A. Elizabeth Whalley

    Article first published online : 2 NOV 2012, DOI: 10.1111/mafi.12008

  6. A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

    Mathematical Finance

    B. Acciaio, M. Beiglböck, F. Penkner and W. Schachermayer

    Article first published online : 6 DEC 2013, DOI: 10.1111/mafi.12060

  7. STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

    Mathematical Finance

    Aurélien Alfonsi, Céline Labart and Jérôme Lelong

    Article first published online : 2 DEC 2013, DOI: 10.1111/mafi.12059

  8. MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS

    Mathematical Finance

    Alexander M. G. Cox and Christoph Hoeggerl

    Article first published online : 2 DEC 2013, DOI: 10.1111/mafi.12058

  9. BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 505–532, Daniel Mitchell, Jonathan Goodman and Kumar Muthuraman

    Article first published online : 2 NOV 2012, DOI: 10.1111/mafi.12002

  10. RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 442–463, Marco Frittelli, Marco Maggis and Ilaria Peri

    Article first published online : 18 FEB 2013, DOI: 10.1111/mafi.12028

  11. ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS

    Mathematical Finance

    Dilip B. Madan and Marc Yor

    Article first published online : 2 DEC 2013, DOI: 10.1111/mafi.12056

  12. Asset Pricing with Dynamic Margin Constraints

    The Journal of Finance

    Volume 69, Issue 1, February 2014, Pages: 405–452, OLEG RYTCHKOV

    Article first published online : 7 JAN 2014, DOI: 10.1111/jofi.12100

  13. PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME-SWITCHING MARKETS

    Mathematical Finance

    Volume 24, Issue 2, April 2014, Pages: 250–288, Agostino Capponi, José E. Figueroa-López and Jeffrey Nisen

    Article first published online : 19 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00533.x

  14. DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING

    Mathematical Finance

    Volume 24, Issue 2, April 2014, Pages: 207–249, Agostino Capponi and José E. Figueroa-López

    Article first published online : 19 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00522.x

  15. LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 567–597, Yan Dolinsky

    Article first published online : 14 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00525.x

  16. RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS

    Mathematical Finance

    Hamed Amini, Rama Cont and Andreea Minca

    Article first published online : 9 OCT 2013, DOI: 10.1111/mafi.12051

  17. COMMENT ON “SKEWNESS-AWARE ASSET ALLOCATION”

    Mathematical Finance

    Volume 24, Issue 2, April 2014, Pages: 403–410, Kwangil Bae

    Article first published online : 6 JUN 2013, DOI: 10.1111/mafi.12040

  18. CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 464–484, Takuji Arai and Masaaki Fukasawa

    Article first published online : 11 FEB 2013, DOI: 10.1111/mafi.12020

  19. DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 411–441, Tomasz R. Bielecki, Igor Cialenco and Zhao Zhang

    Article first published online : 14 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00524.x

  20. A comprehensive note on “Lot-sizing decisions for deteriorating items with two warehouses under an order-size-dependent trade credit”

    International Transactions in Operational Research

    Volume 21, Issue 5, September 2014, Pages: 855–868, Sheng-Chih Chen, Chun-Tao Chang and Jinn-Tsair Teng

    Article first published online : 17 SEP 2013, DOI: 10.1111/itor.12045