Yamazaki, Akira On valuation with stochastic proportional hazard models in finance. (English) Zbl 1269.91046 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350017, 34 p. (2013). MSC: 91B30 91B70 91G40 91G20 PDFBibTeX XMLCite \textit{A. Yamazaki}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350017, 34 p. (2013; Zbl 1269.91046) Full Text: DOI
Ould Aly, S. M. Monotonicity of prices in Heston model. (English) Zbl 1270.91098 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350016, 23 p. (2013). MSC: 91G20 91G80 34F05 60H10 PDFBibTeX XMLCite \textit{S. M. Ould Aly}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350016, 23 p. (2013; Zbl 1270.91098) Full Text: DOI
O’Sullivan, Conall; O’Sullivan, Stephen Pricing European and American options in the Heston model with accelerated explicit finite differencing methods. (English) Zbl 1269.91088 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350015, 35 p. (2013). MSC: 91G20 65C30 91G80 60H10 PDFBibTeX XMLCite \textit{C. O'Sullivan} and \textit{S. O'Sullivan}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350015, 35 p. (2013; Zbl 1269.91088) Full Text: DOI
Malham, Simon J. A.; Wiese, Anke Chi-square simulation of the CIR process and the Heston model. (English) Zbl 1269.91104 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350014, 38 p. (2013). MSC: 91G80 60H10 62P05 PDFBibTeX XMLCite \textit{S. J. A. Malham} and \textit{A. Wiese}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350014, 38 p. (2013; Zbl 1269.91104) Full Text: DOI arXiv
Li, Hui A note on the double impact on CVA for CDS: wrong-way risk with stochastic recovery. (English) Zbl 1269.91087 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350013, 14 p. (2013). MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{H. Li}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350013, 14 p. (2013; Zbl 1269.91087) Full Text: DOI
Coqueret, Guillaume Lookback option prices under a spectrally negative tempered-stable model. (English) Zbl 1269.91085 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350012, 15 p. (2013). MSC: 91G20 91G60 60G51 PDFBibTeX XMLCite \textit{G. Coqueret}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350012, 15 p. (2013; Zbl 1269.91085) Full Text: DOI
Boyarchenko, Svetlana; Levendorskiĭ, Sergei Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks. (English) Zbl 1269.91084 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350011, 40 p. (2013). MSC: 91G20 44A10 60G51 PDFBibTeX XMLCite \textit{S. Boyarchenko} and \textit{S. Levendorskiĭ}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350011, 40 p. (2013; Zbl 1269.91084) Full Text: DOI