Nagler, Florian Yield spreads and the corporate bond rollover channel. (English) Zbl 1434.91066 Rev. Finance 24, No. 2, 345-379 (2020). MSC: 91G50 91G40 PDF BibTeX XML Cite \textit{F. Nagler}, Rev. Finance 24, No. 2, 345--379 (2020; Zbl 1434.91066) Full Text: DOI
Shiraya, Kenichiro; Takahashi, Akihiko Pricing average and spread options under local-stochastic volatility jump-diffusion models. (English) Zbl 1435.91191 Math. Oper. Res. 44, No. 1, 303-333 (2019). MSC: 91G20 41A60 PDF BibTeX XML Cite \textit{K. Shiraya} and \textit{A. Takahashi}, Math. Oper. Res. 44, No. 1, 303--333 (2019; Zbl 1435.91191) Full Text: DOI
Alfeus, Mesias; Schlögl, Erik On spread option pricing using two-dimensional Fourier transform. (English) Zbl 1422.91761 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950023, 20 p. (2019). MSC: 91G60 65T50 91G20 PDF BibTeX XML Cite \textit{M. Alfeus} and \textit{E. Schlögl}, Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950023, 20 p. (2019; Zbl 1422.91761) Full Text: DOI
Mukherjee, Kedar nath Demystifying yield spread on corporate bonds trades in India. (English) Zbl 1414.91406 Asia-Pac. Financ. Mark. 26, No. 2, 253-284 (2019). MSC: 91G50 PDF BibTeX XML Cite \textit{K. n. Mukherjee}, Asia-Pac. Financ. Mark. 26, No. 2, 253--284 (2019; Zbl 1414.91406) Full Text: DOI
Zhao, Jing; Fang, Zhaoben On the relationship between stock liquidity and corporate bond credit spreads. (Chinese. English summary) Zbl 1424.91161 J. Univ. Sci. Technol. China 48, No. 8, 667-682 (2018). MSC: 91G50 91G40 PDF BibTeX XML Cite \textit{J. Zhao} and \textit{Z. Fang}, J. Univ. Sci. Technol. China 48, No. 8, 667--682 (2018; Zbl 1424.91161) Full Text: DOI
Deelstra, Griselda; Kozpınar, Sinem; Simon, Matthieu Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps. (English) Zbl 1419.91610 Appl. Stoch. Models Bus. Ind. 34, No. 6, 782-802 (2018). MSC: 91G20 60J75 60G51 PDF BibTeX XML Cite \textit{G. Deelstra} et al., Appl. Stoch. Models Bus. Ind. 34, No. 6, 782--802 (2018; Zbl 1419.91610) Full Text: DOI
Feunou, Bruno; Fontaine, Jean-Sébastien; Tédongap, Roméo Implied volatility and skewness surface. (English) Zbl 1404.62104 Rev. Deriv. Res. 20, No. 2, 167-202 (2017). MSC: 62P05 91G20 62G08 PDF BibTeX XML Cite \textit{B. Feunou} et al., Rev. Deriv. Res. 20, No. 2, 167--202 (2017; Zbl 1404.62104) Full Text: DOI
Colldeforns-Papiol, G.; Ortiz-Gracia, L.; Oosterlee, C. W. Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options. (English) Zbl 1414.91409 Appl. Numer. Math. 117, 115-138 (2017). MSC: 91G60 65T50 91G20 60G51 PDF BibTeX XML Cite \textit{G. Colldeforns-Papiol} et al., Appl. Numer. Math. 117, 115--138 (2017; Zbl 1414.91409) Full Text: DOI
Kariya, Takeaki; Tanokura, Yoko; Takada, Hideyuki; Yamamura, Yoshiro Measuring credit risk of individual corporate bonds in US energy sector. (English) Zbl 1418.91576 Asia-Pac. Financ. Mark. 23, No. 3, 229-262 (2016). MSC: 91G40 91G50 PDF BibTeX XML Cite \textit{T. Kariya} et al., Asia-Pac. Financ. Mark. 23, No. 3, 229--262 (2016; Zbl 1418.91576) Full Text: DOI
Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian The impact of cointegration on commodity spread options. (English) Zbl 1398.91583 Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 421-435 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{W. Farkas} et al., in: Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 -- April 1, 2015. Cham: Springer Open. 421--435 (2016; Zbl 1398.91583) Full Text: DOI
Papanicolaou, A. Analysis of VIX markets with a time-spread portfolio. (English) Zbl 1396.91758 Appl. Math. Finance 23, No. 5-6, 374-408 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{A. Papanicolaou}, Appl. Math. Finance 23, No. 5--6, 374--408 (2016; Zbl 1396.91758) Full Text: DOI
Benth, Fred Espen Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework. (English) Zbl 1367.91174 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 477-496 (2016). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{F. E. Benth}, in: Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22--25, 2015. Cham: Springer. 477--496 (2016; Zbl 1367.91174) Full Text: DOI
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael Additive subordination and its applications in finance. (English) Zbl 1372.60110 Finance Stoch. 20, No. 3, 589-634 (2016). Reviewer: Alexander Schnurr (Siegen) MSC: 60J25 60J35 60J60 60J75 91G20 91G80 47D06 47D07 PDF BibTeX XML Cite \textit{J. Li} et al., Finance Stoch. 20, No. 3, 589--634 (2016; Zbl 1372.60110) Full Text: DOI
Bayer, Christian; Laurence, Peter Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model. (English) Zbl 1418.91595 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 213-237 (2015). MSC: 91G60 65C05 91G20 35K08 PDF BibTeX XML Cite \textit{C. Bayer} and \textit{P. Laurence}, Springer Proc. Math. Stat. 110, 213--237 (2015; Zbl 1418.91595) Full Text: DOI
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane Pricing of spread options on a bivariate jump market and stability to model risk. (English) Zbl 1396.91717 Appl. Math. Finance 22, No. 1-2, 28-62 (2015). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Appl. Math. Finance 22, No. 1--2, 28--62 (2015; Zbl 1396.91717) Full Text: DOI
Chen, Rongda; Yang, Liu; Wang, Weijin; Tang, Ling Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management. (English) Zbl 1406.91476 Ann. Oper. Res. 234, 3-15 (2015). MSC: 91G50 91G40 62P05 91G70 PDF BibTeX XML Cite \textit{R. Chen} et al., Ann. Oper. Res. 234, 3--15 (2015; Zbl 1406.91476) Full Text: DOI
Benth, Fred Espen; Krühner, Paul Derivatives pricing in energy markets: an infinite-dimensional approach. (English) Zbl 1347.60082 SIAM J. Financ. Math. 6, 825-869 (2015). MSC: 60H30 60H15 60H10 60G60 60G51 91G20 91G80 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{P. Krühner}, SIAM J. Financ. Math. 6, 825--869 (2015; Zbl 1347.60082) Full Text: DOI arXiv
Pindza, Edson; Patidar, Kailash C.; Ngounda, Edgard Rational spectral collocation method for pricing American vanilla and butterfly spread options. (English) Zbl 1410.91463 Dimov, Ivan (ed.) et al., Finite difference methods, theory and applications. 6th international conference, FDM 2014, Lozenetz, Bulgaria, June 18–23, 2014. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 9045, 323-331 (2015). MSC: 91G20 60G40 35R35 PDF BibTeX XML Cite \textit{E. Pindza} et al., Lect. Notes Comput. Sci. 9045, 323--331 (2015; Zbl 1410.91463) Full Text: DOI
Elliott, Robert J.; Shen, Jia Dynamic optimal capital structure with regime switching. (English) Zbl 1403.91367 Ann. Finance 11, No. 2, 199-220 (2015). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G50 60H10 60J20 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{J. Shen}, Ann. Finance 11, No. 2, 199--220 (2015; Zbl 1403.91367) Full Text: DOI
He, Zhiguo; Milbradt, Konstantin Endogenous liquidity and defaultable bonds. (English) Zbl 1419.91641 Econometrica 82, No. 4, 1443-1508 (2014). MSC: 91G50 91G40 PDF BibTeX XML Cite \textit{Z. He} and \textit{K. Milbradt}, Econometrica 82, No. 4, 1443--1508 (2014; Zbl 1419.91641) Full Text: DOI
O, Hyong-Chol; Kim, Yong-Gon; Kim, Dong-Hyok Higher order binaries with time dependent coefficients and two factors-model for defaultable bond with discrete default information. (English) Zbl 1371.35020 Malaya J. Mat. 2, No. 4, 330-344 (2014). MSC: 35C15 35Q91 91G20 91G40 91G50 91G80 PDF BibTeX XML Cite \textit{H.-C. O} et al., Malaya J. Mat. 2, No. 4, 330--344 (2014; Zbl 1371.35020) Full Text: Link
Bjerksund, Petter; Stensland, Gunnar Closed form spread option valuation. (English) Zbl 1402.91755 Quant. Finance 14, No. 10, 1785-1794 (2014). MSC: 91G20 60H15 PDF BibTeX XML Cite \textit{P. Bjerksund} and \textit{G. Stensland}, Quant. Finance 14, No. 10, 1785--1794 (2014; Zbl 1402.91755) Full Text: DOI
Lo, C. F. A simple derivation of Kirk’s approximation for spread options. (English) Zbl 1308.91166 Appl. Math. Lett. 26, No. 8, 904-907 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{C. F. Lo}, Appl. Math. Lett. 26, No. 8, 904--907 (2013; Zbl 1308.91166) Full Text: DOI
Pindza, Edson; Patidar, Kailash C.; Ngounda, Edgard Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options. (English) Zbl 1292.91187 ETNA, Electron. Trans. Numer. Anal. 40, 268-293 (2013). MSC: 91G60 65C30 65L06 65M70 91G20 PDF BibTeX XML Cite \textit{E. Pindza} et al., ETNA, Electron. Trans. Numer. Anal. 40, 268--293 (2013; Zbl 1292.91187) Full Text: EMIS
Yousuf, M.; Khaliq, A. Q. M. An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs. (English) Zbl 1275.91149 Numer. Methods Partial Differ. Equations 29, No. 6, 1864-1880 (2013). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{M. Yousuf} and \textit{A. Q. M. Khaliq}, Numer. Methods Partial Differ. Equations 29, No. 6, 1864--1880 (2013; Zbl 1275.91149) Full Text: DOI
Aïd, René; Campi, Luciano; Langrené, Nicolas A structural risk-neutral model for pricing and hedging power derivatives. (English) Zbl 1311.91177 Math. Finance 23, No. 3, 387-438 (2013). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G20 91B74 60J70 PDF BibTeX XML Cite \textit{R. Aïd} et al., Math. Finance 23, No. 3, 387--438 (2013; Zbl 1311.91177) Full Text: DOI
Carmona, René; Coulon, Michael; Schwarz, Daniel Electricity price modeling and asset valuation: a multi-fuel structural approach. (English) Zbl 1269.91037 Math. Financ. Econ. 7, No. 2, 167-202 (2013). MSC: 91B24 91B25 91B84 91B54 PDF BibTeX XML Cite \textit{R. Carmona} et al., Math. Financ. Econ. 7, No. 2, 167--202 (2013; Zbl 1269.91037) Full Text: DOI
Carmona, René; Coulon, Michael; Schwarz, Daniel The valuation of clean spread options: linking electricity, emissions and fuels. (English) Zbl 1280.91163 Quant. Finance 12, No. 12, 1951-1965 (2012). MSC: 91G20 91B25 91G60 PDF BibTeX XML Cite \textit{R. Carmona} et al., Quant. Finance 12, No. 12, 1951--1965 (2012; Zbl 1280.91163) Full Text: DOI
van der Hoek, John; Korolkiewicz, Małgorzata W. New analytic approximations for pricing spread options. (English) Zbl 1277.91177 Cohen, Samuel N. (ed.) et al., Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Hackensack, NJ: World Scientific (ISBN 978-981-4383-30-1/hbk). Advances in Statistics, Probability and Actuarial Science 1, 259-284 (2012). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{J. van der Hoek} and \textit{M. W. Korolkiewicz}, Adv. Stat. Probab. Actuar. Sci. 1, 259--284 (2012; Zbl 1277.91177)
Frikha, Noufel; Sagna, Abass Quantization based recursive importance sampling. (English) Zbl 1272.65004 Monte Carlo Methods Appl. 18, No. 4, 287-326 (2012). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 65C50 65C60 60H35 91G60 PDF BibTeX XML Cite \textit{N. Frikha} and \textit{A. Sagna}, Monte Carlo Methods Appl. 18, No. 4, 287--326 (2012; Zbl 1272.65004) Full Text: DOI arXiv
Venkatramanan, Aanand; Alexander, Carol Closed form approximations for spread options. (English) Zbl 1239.91156 Appl. Math. Finance 18, No. 5-6, 447-472 (2011). MSC: 91G10 PDF BibTeX XML Cite \textit{A. Venkatramanan} and \textit{C. Alexander}, Appl. Math. Finance 18, No. 5--6, 447--472 (2011; Zbl 1239.91156) Full Text: DOI
Suárez-Taboada, M.; Vázquez, C. A numerical method for pricing spread options on LIBOR rates with a PDE model. (English) Zbl 1205.91170 Math. Comput. Modelling 52, No. 7-8, 1074-1080 (2010). MSC: 91G60 65M25 65M60 91G30 91G20 PDF BibTeX XML Cite \textit{M. Suárez-Taboada} and \textit{C. Vázquez}, Math. Comput. Modelling 52, No. 7--8, 1074--1080 (2010; Zbl 1205.91170) Full Text: DOI
Hurd, T. R.; Zhou, Zhuowei A Fourier transform method for spread option pricing. (English) Zbl 1188.91218 SIAM J. Financ. Math. 1, 142-157 (2010). MSC: 91G20 60H35 33B15 65T50 PDF BibTeX XML Cite \textit{T. R. Hurd} and \textit{Z. Zhou}, SIAM J. Financ. Math. 1, 142--157 (2010; Zbl 1188.91218) Full Text: DOI
Li, Minqiang; Zhou, Jieyun; Deng, Shi-Jie Multi-asset spread option pricing and hedging. (English) Zbl 1205.91160 Quant. Finance 10, No. 3, 305-324 (2010). MSC: 91G20 PDF BibTeX XML Cite \textit{M. Li} et al., Quant. Finance 10, No. 3, 305--324 (2010; Zbl 1205.91160) Full Text: DOI
Gustafson, Karl Operator trigonometry of multivariate finance. (English) Zbl 1187.91229 J. Multivariate Anal. 101, No. 2, 374-384 (2010). MSC: 91G70 62H20 91B25 62P05 15A18 PDF BibTeX XML Cite \textit{K. Gustafson}, J. Multivariate Anal. 101, No. 2, 374--384 (2010; Zbl 1187.91229) Full Text: DOI
Li, Lide; Kleindorfer, Paul R. On hedging spark spread options in electricity markets. (English) Zbl 1232.91671 Risk Decis. Anal. 1, No. 4, 211-220 (2009). MSC: 91G20 91B24 91G10 PDF BibTeX XML Cite \textit{L. Li} and \textit{P. R. Kleindorfer}, Risk Decis. Anal. 1, No. 4, 211--220 (2009; Zbl 1232.91671) Full Text: DOI
Benth, Fred Espen; Kufakunesu, Rodwell Pricing of exotic energy derivatives based on arithmetic spot models. (English) Zbl 1178.91190 Int. J. Theor. Appl. Finance 12, No. 4, 491-506 (2009). MSC: 91G20 91G80 42A38 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{R. Kufakunesu}, Int. J. Theor. Appl. Finance 12, No. 4, 491--506 (2009; Zbl 1178.91190) Full Text: DOI
Lin, Hanyan; Deng, Guohe; Su, Yu Credit risk management of a corporation with asymmetric information. (Chinese. English summary) Zbl 1199.91253 J. Nat. Sci. Hunan Norm. Univ. 31, No. 3, 12-15 (2008). MSC: 91G40 91G50 91B30 PDF BibTeX XML Cite \textit{H. Lin} et al., J. Nat. Sci. Hunan Norm. Univ. 31, No. 3, 12--15 (2008; Zbl 1199.91253)
Hikspoors, Samuel; Jaimungal, Sebastian Asymptotic pricing of commodity derivatives using stochastic volatility spot models. (English) Zbl 1156.91374 Appl. Math. Finance 15, No. 5-6, 449-477 (2008). MSC: 91G20 60H15 PDF BibTeX XML Cite \textit{S. Hikspoors} and \textit{S. Jaimungal}, Appl. Math. Finance 15, No. 5--6, 449--477 (2008; Zbl 1156.91374) Full Text: DOI
Nakajima, Katsushi; Maeda, Akira Pricing commodity spread options with stochastic term structure of convenience yields and interest rates. (English) Zbl 1151.91528 Asia-Pac. Financ. Mark. 14, No. 1-2, 157-184 (2007). MSC: 91B28 PDF BibTeX XML Cite \textit{K. Nakajima} and \textit{A. Maeda}, Asia-Pac. Financ. Mark. 14, No. 1--2, 157--184 (2007; Zbl 1151.91528) Full Text: DOI
Linetsky, Vadim Pricing equity derivatives subject to bankruptcy. (English) Zbl 1145.91351 Math. Finance 16, No. 2, 255-282 (2006). MSC: 91B28 60H10 33C90 60H30 PDF BibTeX XML Cite \textit{V. Linetsky}, Math. Finance 16, No. 2, 255--282 (2006; Zbl 1145.91351) Full Text: DOI
Giacometti, Rosella; Teocchi, Mariangela On pricing of credit spread options. (English) Zbl 1066.91075 Eur. J. Oper. Res. 163, No. 1, 52-64 (2005). MSC: 91B70 91B28 PDF BibTeX XML Cite \textit{R. Giacometti} and \textit{M. Teocchi}, Eur. J. Oper. Res. 163, No. 1, 52--64 (2005; Zbl 1066.91075) Full Text: DOI
Alexander, Carol; Scourse, Andrew Bivariate normal mixture spread option valuation. (English) Zbl 1405.91687 Quant. Finance 4, No. 6, 637-648 (2004). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{C. Alexander} and \textit{A. Scourse}, Quant. Finance 4, No. 6, 637--648 (2004; Zbl 1405.91687) Full Text: DOI
Duan, Jin-Chuan; Pliska, Stanley R. Option valuation with co-integrated asset prices. (English) Zbl 1179.91261 J. Econ. Dyn. Control 28, No. 4, 727-754 (2004). MSC: 91G70 91G20 62P05 PDF BibTeX XML Cite \textit{J.-C. Duan} and \textit{S. R. Pliska}, J. Econ. Dyn. Control 28, No. 4, 727--754 (2004; Zbl 1179.91261) Full Text: DOI
Carmona, René; Durrleman, Valdo Pricing and hedging spread options. (English) Zbl 1033.60069 SIAM Rev. 45, No. 4, 627-685 (2003). Reviewer: George Stoica (Saint John) MSC: 60H10 91G20 PDF BibTeX XML Cite \textit{R. Carmona} and \textit{V. Durrleman}, SIAM Rev. 45, No. 4, 627--685 (2003; Zbl 1033.60069) Full Text: DOI
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc Long-term risk management of nuclear waste: A real options approach. (English) Zbl 1009.91040 J. Econ. Dyn. Control 27, No. 1, 157-180 (2002). MSC: 91B74 91G50 91G20 PDF BibTeX XML Cite \textit{H. Loubergé} et al., J. Econ. Dyn. Control 27, No. 1, 157--180 (2002; Zbl 1009.91040) Full Text: DOI
Duan, Jin-Chuan; Pliska, Stanley R. Option pricing for co-integrated assets. (English) Zbl 1002.91030 Sandmann, Klaus (ed.) et al., Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 85-99 (2002). MSC: 91G20 91B84 PDF BibTeX XML Cite \textit{J.-C. Duan} and \textit{S. R. Pliska}, in: Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 85--99 (2002; Zbl 1002.91030)
Dempster, M. A. H.; Hong, S. S. G. Spread option valuation and the fast Fourier transform. (English) Zbl 1018.91022 Geman, Helyette (ed.) et al., Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 - July 1, 2000. Berlin: Springer. Springer Finance. 203-220 (2002). Reviewer: Elias Shiu (Iowa City) MSC: 91G60 PDF BibTeX XML Cite \textit{M. A. H. Dempster} and \textit{S. S. G. Hong}, in: Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 -- July 1, 2000. Berlin: Springer. 203--220 (2002; Zbl 1018.91022)
Mbanefo, A. Co-movement term structure and the valuation of energy spread options. (English) Zbl 0913.90021 Dempster, M. A. H. (ed.) et al., Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. Publ. Newton Inst. 15, 88-102 (1997). MSC: 91B28 PDF BibTeX XML Cite \textit{A. Mbanefo}, in: Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. 88--102 (1997; Zbl 0913.90021)