Torricelli, Lorenzo Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. (English) Zbl 1345.91075 Rev. Deriv. Res. 19, No. 1, 1-39 (2016). MSC: 91G20 60G51 60G44 PDFBibTeX XMLCite \textit{L. Torricelli}, Rev. Deriv. Res. 19, No. 1, 1--39 (2016; Zbl 1345.91075) Full Text: DOI arXiv
Jarrow, Robert Capital adequacy rules, catastrophic firm failure, and systemic risk. (English) Zbl 1276.91101 Rev. Deriv. Res. 16, No. 3, 219-231 (2013). MSC: 91G50 PDFBibTeX XMLCite \textit{R. Jarrow}, Rev. Deriv. Res. 16, No. 3, 219--231 (2013; Zbl 1276.91101) Full Text: DOI
Jarrow, Robert A.; Protter, Philip Foreign currency bubbles. (English) Zbl 1213.91173 Rev. Deriv. Res. 14, No. 1, 67-83 (2011). MSC: 91G80 91G99 PDFBibTeX XMLCite \textit{R. A. Jarrow} and \textit{P. Protter}, Rev. Deriv. Res. 14, No. 1, 67--83 (2011; Zbl 1213.91173) Full Text: DOI
Jarrow, Robert A. Convenience yields. (English) Zbl 1202.91319 Rev. Deriv. Res. 13, No. 1, 25-43 (2010). MSC: 91G20 PDFBibTeX XMLCite \textit{R. A. Jarrow}, Rev. Deriv. Res. 13, No. 1, 25--43 (2010; Zbl 1202.91319) Full Text: DOI
Kallsen, Jan; Vierthauer, Richard Quadratic hedging in affine stochastic volatility models. (English) Zbl 1168.91463 Rev. Deriv. Res. 12, No. 1, 3-27 (2009). MSC: 91B70 PDFBibTeX XMLCite \textit{J. Kallsen} and \textit{R. Vierthauer}, Rev. Deriv. Res. 12, No. 1, 3--27 (2009; Zbl 1168.91463) Full Text: DOI Link
Leippold, Markus; Wiener, Zvi Efficient calibration of trinomial trees for one-factor short rate models. (English) Zbl 1097.91038 Rev. Deriv. Res. 7, No. 3, 213-239 (2004). MSC: 91B26 91B28 PDFBibTeX XMLCite \textit{M. Leippold} and \textit{Z. Wiener}, Rev. Deriv. Res. 7, No. 3, 213--239 (2004; Zbl 1097.91038) Full Text: DOI Link
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe The dynamics of implied volatilities: a common principal components approach. (English) Zbl 1059.91038 Rev. Deriv. Res. 6, No. 3, 179-202 (2003). MSC: 91B28 PDFBibTeX XMLCite \textit{M. R. Fengler} et al., Rev. Deriv. Res. 6, No. 3, 179--202 (2003; Zbl 1059.91038) Full Text: DOI
Schönbucher, Philipp J. Term structure modelling of defaultable bonds. (English) Zbl 1274.91452 Rev. Deriv. Res. 2, No. 2-3, 161-192 (1998). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{P. J. Schönbucher}, Rev. Deriv. Res. 2, No. 2--3, 161--192 (1998; Zbl 1274.91452) Full Text: DOI
Madan, Dilip B.; Unal, Haluk Pricing the risks of default. (English) Zbl 1274.91426 Rev. Deriv. Res. 2, No. 2-3, 121-160 (1998). MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{H. Unal}, Rev. Deriv. Res. 2, No. 2--3, 121--160 (1998; Zbl 1274.91426) Full Text: DOI