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Review of Derivatives Research

Short Title: Rev. Deriv. Res.
Publisher: Springer US, New York, NY
ISSN: 1380-6645; 1573-7144/e
Online: http://link.springer.com/journal/volumesAndIssues/11147
Documents Indexed: 235 Publications (since 1996)
References Indexed: 190 Publications with 6,216 References.
all top 5

Authors

12 Jarrow, Robert Alan
4 Ritchken, Peter H.
4 Wang, Jr-Yan
3 Drimus, Gabriel G.
3 Escobar, Marcos
3 Fengler, Matthias R.
3 Hodges, Stewart D.
3 Huang, James Kuodo
3 Hung, Mao-wei
3 Itkin, Andrey
3 Kijima, Masaaki
3 Madan, Dilip B.
3 Mahayni, Antje
3 Nunes, João Pedro Vidal
3 Pelsser, Antoon A. J.
3 Schwartz, Eduardo S.
3 Uhrig-Homburg, Marliese
3 Zhang, Jin E.
2 Andersen, Leif B. G.
2 Bondarenko, Oleg
2 Carr, Peter P.
2 Chance, Don M.
2 Chang, Lung-Fu
2 Cherian, Joseph A.
2 Chesney, Marc
2 Clewlow, Les
2 Cruz, Aricson
2 Dai, Tian-Shyr
2 Das, Sanjiv Ranjan
2 Dias, José Carlos
2 Dorfleitner, Gregor
2 Düring, Bertram
2 Farkas, Walter
2 Forsyth, Peter A.
2 Gao, Bin
2 Gerer, Johannes
2 Gibson, Rajna
2 Guillaume, Florence
2 Guillaume, Tristan
2 Handley, John C.
2 Hieber, Peter
2 Ingersoll, Jonathan E. jun.
2 Kavussanos, Manolis G.
2 Korn, Olaf
2 Kwok, Yue-Kuen
2 Li, Minqiang
2 Rathgeber, Andreas W.
2 Rich, Don
2 Ronn, Ehud I.
2 Rösch, Daniel
2 Schoutens, Wim
2 Stapleton, Richard C.
2 Stöckl, Stefan
2 Vetzal, Kenneth R.
2 Vitiello, Luiz
2 Wang, Hsiao-Chuan
2 Yildirim, Yildiray
2 Zagst, Rudi
1 Adeinat, Iman
1 Aguilar, Jean-Philippe
1 Ahn, Dong-Hyun
1 Al Rahahleh, Naseem
1 Albeverio, Sergio A.
1 Ammann, Manuel
1 Amzelek, Philippe
1 Andreasen, Jesper
1 Ano, Katsunori
1 Antonelli, Fabio
1 Areal, Nelson
1 Armada, Manuel Rocha
1 Auer, Benjamin R.
1 Baule, Rainer
1 Beisland, Leif Atle
1 Benninga, Simon
1 Bernard, Carole
1 Bizid, Abdelhamid
1 Blenman, Lloyd P.
1 Boen, Lynn
1 Bonnaud, Joe
1 Bossy, Mireille
1 Branger, Nicole
1 Brinkmann, Felix
1 Brorsen, B. Wade
1 Bruand, Martin
1 Büchel, Patrick
1 Bühler, Wolfgang J.
1 Busch, Thomas
1 Camara, Antonio
1 Cao, Charles
1 Carverhill, Andrew P.
1 Cassano, Mark A.
1 Chalasani, Prasad
1 Chan, Ron Tat Lung
1 Chen, Chun-Ying
1 Chen, Qihong
1 Chen, Ren-Raw
1 Cheng, Jun
1 Chern, Shane
1 Cheuk, Terry H. F.
1 Chiang, Shu-Ling
...and 287 more Authors

Publications by Year

Citations contained in zbMATH Open

144 Publications have been cited 1,269 times in 1,055 Documents Cited by Year
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Zbl 1274.91398
Andersen, Leif; Andreasen, Jesper
142
2000
On Cox processes and credit risky securities. Zbl 1274.91459
Lando, David
142
1998
Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508
Lucia, Julio J.; Schwartz, Eduardo S.
98
2002
Pricing the risks of default. Zbl 1274.91426
Madan, Dilip B.; Unal, Haluk
59
1998
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
59
2007
Option pricing using variance gamma Markov chains. Zbl 1064.91044
Konikov, Mikhail; Madan, Dilip B.
32
2002
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
32
2007
Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041
Stentoft, Lars
28
2004
Exact solutions for bond and option prices with systematic jump risk. Zbl 1274.91448
Das, Sanjiv Ranjan; Foresi, Silverio
23
1996
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
22
2002
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
22
2010
Heterogeneity and option pricing. Zbl 1274.91198
Benninga, Simon; Mayshar, Joram
21
2000
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047
Moreno, Manuel; Navas, Javier F.
19
2003
The \(\alpha\)VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
17
2013
Term structure modelling of defaultable bonds. Zbl 1274.91452
Schönbucher, Philipp J.
17
1998
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
17
2006
The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe
15
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069
Chiarella, Carl; Kwon, Oh Kang
15
2003
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
13
2005
Stochastic duration and fast coupon bond option pricing in multi-factor models. Zbl 1274.91431
Munk, Claus
12
1999
Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026
Baule, Rainer; Wilkens, Marco
12
2004
The dynamics of the S&P 500 implied volatility surface. Zbl 1274.91488
Skiadopoulos, George; Hodges, Stewart; Clewlow, Les
11
1999
Valuation of commodity derivatives in a new multi-factor model. Zbl 1070.91014
Yan, Xuemin
11
2002
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
11
2008
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
11
2009
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
10
2014
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
10
2006
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
10
2005
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
9
2013
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
9
2014
Theory of storage and the pricing of commodity claims. Zbl 1090.91029
Nielsen, Martin J.; Schwartz, Eduardo S.
8
2004
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
8
2010
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
8
2006
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
8
2006
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
7
2011
Credit events and the valuation of credit derivatives of basket type. Zbl 1274.91418
Kijima, Masaaki; Muromachi, Yukio
7
2000
Valuation of a credit swap of the basket type. Zbl 1274.91417
Kijima, Masaaki
7
2000
A refined binomial lattice for pricing American Asian options. Zbl 1274.91477
Chalasani, Prasad; Jha, Somesh; Egriboyun, Feyzullah; Varikooty, Ashok
7
1999
On the information in the interest rate term structure and option prices. Zbl 1080.91044
de Jong, Frank; Driessen, Joost; Pelsser, Antoon
7
2004
Efficient, exact algorithms for Asian options with multiresolution lattices. Zbl 1054.91035
Dai, Tian-Shyr; Lyuu, Yuh-Dauh
7
2002
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
7
2010
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
7
2005
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
6
2011
An alternative approach to the valuation of American options and applications. Zbl 1274.91419
Kim, In Joon; Yu, G. George
6
1996
Valuing foreign exchange rate derivatives with a bounded exchange process. Zbl 1274.91415
Ingersoll, Jonathan E. jun.
6
1996
A tractable yield-curve model that guarantees positive interest rates. Zbl 1274.91437
Pelsser, Antoon
6
1996
Interest rate option pricing with volatility humps. Zbl 1274.91441
Ritchken, Peter; Chuang, Iyuan
6
1999
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049
Wong, Hoi Ying; Kwok, Yue Kuen
6
2003
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
6
2014
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
6
2012
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
6
2009
Option pricing using a binomial model with random time steps (A formal model of gamma hedging). Zbl 1274.91409
Dengler, Heike; Jarrow, Robert A.
5
1996
American stochastic volatility call option pricing: a lattice based approach. Zbl 1274.91411
Finucane, Thomas J.; Tomas, Michael J.
5
1996
Tighter option bounds from multiple exercise prices. Zbl 1274.91442
Ryan, Peter J.
5
2000
Dividend forecast biases in index option valuation. Zbl 1274.91405
Chance, Don M.; Kumar, Raman; Rich, Don
5
2000
A universal lattice. Zbl 1274.91478
Chen, Ren-Raw; Yang, Tyler T.
5
1999
American option valuation under stochastic interest rates. Zbl 1274.91408
Chung, San-Lin
5
1999
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
5
2013
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
5
2007
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
5
2016
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
4
2013
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
4
2014
The valuation and behavior of Black-Scholes options subject to intertemporal default risk. Zbl 1274.91440
Rich, Don
4
1996
Variable purchase options. Zbl 1274.91413
Handley, John C.
4
2000
Window double barrier options. Zbl 1065.91024
Guillaume, Tristan
4
2003
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
4
2007
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
4
2006
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
4
2009
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
4
2009
The \(\beta \)-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
3
2011
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
3
2010
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
3
2012
Discrete-time bond and option pricing for jump-diffusion processes. Zbl 1274.91479
Das, Sanjiv Ranjan
3
1996
Effects of callable feature on early exercise policy. Zbl 1274.91421
Kwok, Yue Kuen; Wu, Lixin
3
2000
Pricing of non-redundant derivatives in a complete market. Zbl 1274.91400
Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François
3
1998
Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models. Zbl 1274.91450
Pang, Kin
3
1998
An extended set of risk neutral valuation relationships for the pricing of contingent claims. Zbl 1274.91404
Camara, Antonio
3
1999
A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A.
3
2004
Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035
Grundke, Peter; Riedel, Karl O.
3
2004
Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053
Martzoukos, Spiros H.
3
2003
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
3
2007
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
3
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
3
2008
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
3
2014
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
3
2018
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
3
2005
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
3
2016
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
3
2016
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
3
2005
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
3
2008
A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178
Ji, Dasheng; Brorsen, B. Wade
2
2011
The cost of operational risk loss insurance. Zbl 1213.91090
Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray
2
2010
Valuation of American partial barrier options. Zbl 1296.91264
Jun, Doobae; Ku, Hyejin
2
2013
The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054
Jarrow, Robert; Li, Hao
2
2014
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
2
2012
Pricing of swaps with default risk. Zbl 1274.91422
Li, Haitao
2
1998
Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach. Zbl 1274.91434
Nunes, João Pedro Vidal; Clewlow, Les; Hodges, Stewart
2
1999
Options on the minimum or the maximum of two average prices. Zbl 1274.91446
Wu, Xueping; Zhang, Jin E.
2
1999
Impact of divergent consumer confidence on option prices. Zbl 1059.91041
Huang, James
2
2003
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
2
2007
Implied risk aversion: an alternative rating system for retail structured products. Zbl 1425.91432
Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T.
1
2019
A general closed form option pricing formula. Zbl 1414.91384
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter
1
2019
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
3
2018
Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527
Kim, Sung Ik; Kim, Young Shin
2
2018
Risk-adjusted option-implied moments. Zbl 1417.91493
Brinkmann, Felix; Korn, Olaf
1
2018
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. Zbl 1417.91501
Gerer, Johannes; Dorfleitner, Gregor
1
2018
A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496
Escobar, Marcos; Gschnaidtner, Christoph
1
2018
The pricing kernel puzzle in forward looking data. Zbl 1405.91605
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
1
2018
On the multiplicity of option prices under CEV with positive elasticity of variance. Zbl 1417.91515
Veestraeten, Dirk
2
2017
Structural default model with mutual obligations. Zbl 1417.91556
Itkin, Andrey; Lipton, Alexander
2
2017
A unified approach for the pricing of options relating to averages. Zbl 1418.91512
Funahashi, Hideharu; Kijima, Masaaki
2
2017
A four-factor stochastic volatility model of commodity prices. Zbl 1417.91513
Schöne, Max F.; Spinler, Stefan
1
2017
A bias in the volatility smile. Zbl 1417.91494
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram
1
2017
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
5
2016
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
3
2016
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
3
2016
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. Zbl 1345.91075
Torricelli, Lorenzo
1
2016
Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305
Escobar, Marcos; Krause, Daniel; Zagst, Rudi
1
2016
Commodity derivative valuation under a factor model with time-varying market prices of risk. Zbl 1315.91072
Mirantes, Andrés G.; Población, Javier; Serna, Gregorio
1
2015
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
10
2014
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
9
2014
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
6
2014
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
4
2014
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
3
2014
The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054
Jarrow, Robert; Li, Hao
2
2014
The \(\alpha\)VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
17
2013
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
9
2013
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
5
2013
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
4
2013
Valuation of American partial barrier options. Zbl 1296.91264
Jun, Doobae; Ku, Hyejin
2
2013
Parametric modeling of implied smile functions: a generalized SVI model. Zbl 1269.91101
Zhao, Bo; Hodges, Stewart D.
1
2013
Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. Zbl 1282.91261
Siriopoulos, Costas; Fassas, Athanasios
1
2013
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
6
2012
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
3
2012
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
2
2012
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
7
2011
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
6
2011
The \(\beta \)-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
3
2011
A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178
Ji, Dasheng; Brorsen, B. Wade
2
2011
A remark on static hedging of options written on the last exit time. Zbl 1232.91667
Imamura, Yuri
1
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
22
2010
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
8
2010
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
7
2010
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
3
2010
The cost of operational risk loss insurance. Zbl 1213.91090
Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray
2
2010
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442
Li, Minqiang
2
2010
A comparison of single factor Markov-functional and multi factor market models. Zbl 1213.91083
Pietersz, Raoul; Pelsser, Antoon
1
2010
Convenience yields. Zbl 1202.91319
Jarrow, Robert A.
1
2010
Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159
Li, Minqiang
1
2010
An empirical analysis of alternative recovery risk models and implied recovery rates. Zbl 1231.91454
Zhang, Frank Xiaoling
1
2010
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
11
2009
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
6
2009
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
4
2009
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
4
2009
A tale of two volatilities. Zbl 1188.91228
Madan, Dilip B.
2
2009
Microstructural biases in empirical tests of option pricing models. Zbl 1189.91223
Dennis, Patrick; Mayhew, Stewart
2
2009
A general framework for the derivation of asset price bounds: An application to stochastic volatility option models. Zbl 1175.91069
Bondarenko, Oleg; Longarela, Iñaki R.
2
2009
Dynamic programming and mean-variance hedging with partial execution risk. Zbl 1168.91370
Matsumoto, Koichi
1
2009
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
11
2008
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
3
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
3
2008
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
3
2008
Making the best of best-of. Zbl 1163.91400
Guillaume, Tristan
1
2008
Leverage, options liabilities, and corporate bond pricing. Zbl 1165.91402
Huang, Hongming; Yildirim, Yildiray
1
2008
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
59
2007
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
32
2007
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
5
2007
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
4
2007
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
3
2007
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
2
2007
A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668
Heston, Steven L.
1
2007
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
17
2006
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
10
2006
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
8
2006
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
8
2006
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
4
2006
Price discovery in the U.S. stock and stock options markets: a portfolio approach. Zbl 1274.91383
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren
1
2006
Model misspecification analysis for bond options and Markovian hedging strategies. Zbl 1274.91402
Bossy, Mireille; Gibson, Rajna; Lhabitant, Francois-Serge; Pistre, Nathalie; Talay, Denis
1
2006
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
13
2005
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
10
2005
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
7
2005
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
3
2005
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
3
2005
The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets. Zbl 1201.91210
Doran, James S.; Ronn, Ehud I.
2
2005
Options with constant underlying elasticity in strikes. Zbl 1108.91037
Blenman, Lloyd P.; Clark, Steven P.
2
2005
Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041
Stentoft, Lars
28
2004
Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026
Baule, Rainer; Wilkens, Marco
12
2004
Theory of storage and the pricing of commodity claims. Zbl 1090.91029
Nielsen, Martin J.; Schwartz, Eduardo S.
8
2004
On the information in the interest rate term structure and option prices. Zbl 1080.91044
de Jong, Frank; Driessen, Joost; Pelsser, Antoon
7
2004
A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A.
3
2004
Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035
Grundke, Peter; Riedel, Karl O.
3
2004
Option pricing bounds and the elasticity of the pricing kernel. Zbl 1080.91034
Huang, James
1
2004
Hedging long-term forwards with short-term futures: a two-regime approach. Zbl 1097.91035
Bühler, Wolfgang; Korn, Olaf; Schöbel, Rainer
1
2004
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047
Moreno, Manuel; Navas, Javier F.
19
2003
The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe
15
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069
Chiarella, Carl; Kwon, Oh Kang
15
2003
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049
Wong, Hoi Ying; Kwok, Yue Kuen
6
2003
Window double barrier options. Zbl 1065.91024
Guillaume, Tristan
4
2003
Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053
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3
2003
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Cited by 1,532 Authors

16 Madan, Dilip B.
14 Benth, Fred Espen
14 Chiarella, Carl
10 Grasselli, Martino
10 Lyuu, Yuh-Dauh
9 Elliott, Robert James
9 Escobar, Marcos
9 Kwok, Yue-Kuen
8 Carr, Peter P.
8 Da Fonseca, José
8 Filipović, Damir
8 Jarrow, Robert Alan
8 Liang, Jin
8 Zagst, Rudi
7 Cui, Zhenyu
7 Düring, Bertram
7 Forsyth, Peter A.
7 Gómez-Valle, Lourdes
7 Itkin, Andrey
7 Jeanblanc, Monique
7 Martínez-Rodríguez, Julia
7 Oosterlee, Cornelis Willebrordus
7 Tunaru, Radu S.
6 Ballestra, Luca Vincenzo
6 Company, Rafael
6 Dai, Tian-Shyr
6 Härdle, Wolfgang Karl
6 Ivanov, Roman V.
6 Kim, Jeong-Hoon
6 Nikitopoulos Sklibosios, Christina
6 Pelsser, Antoon A. J.
6 Siu, Tak Kuen
6 Wang, Guojing
6 Wong, Hoi Ying
6 Ye, Zhongxing
5 Biagini, Francesca
5 Costabile, Massimo
5 Deelstra, Griselda
5 Fusai, Gianluca
5 Geman, Hélyette
5 Guillaume, Florence
5 Hinz, Juri
5 Jódar Sanchez, Lucas Antonio
5 Jun, Doobae
5 Kallsen, Jan
5 Kim, Geonwoo
5 Leung, Tim
5 Li, Lingfei
5 Liang, Xue
5 Lipton, Alexander
5 Ma, Yong-Ki
5 Massabó, Ivar
5 Platen, Eckhard
5 Russo, Emilio
5 Schoutens, Wim
5 Tangman, Désiré Yannick
5 Toivanen, Jari
5 Yamazaki, Akira
5 Zheng, Wendong
4 Bender, Christian
4 Bernard, Carole
4 Biffis, Enrico
4 Boen, Lynn
4 Buchmann, Boris
4 Çetin, Umut
4 Chiu, Mei Choi
4 Dai, Min
4 Das, Sanjiv Ranjan
4 Dong, Yinghui
4 Fabozzi, Frank J.
4 Fakharany, M.
4 Gnoatto, Alessandro
4 Kadalbajoo, Mohan K.
4 Kijima, Masaaki
4 Ku, Hyejin
4 Kumar, Alpesh
4 Kyriakou, Ioannis
4 le Courtois, Olivier
4 Li, Shenghong
4 Lian, Guanghua
4 Lorig, Matthew J.
4 Mayerhofer, Eberhard
4 Mehrdoust, Farshid
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4 Millossovich, Pietro
4 Nunes, João Pedro Vidal
4 Pacelli, Graziella
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4 Sherris, Michael
4 Tripathi, Lok Pati
4 Vázquez Cendón, Carlos
4 Wang, Anjiao
4 Wang, Xingchun
4 Wu, Yuan
4 Yang, Hailiang
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3 Ahlip, Rehez
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Cited in 166 Journals

120 Quantitative Finance
75 International Journal of Theoretical and Applied Finance
68 Review of Derivatives Research
52 Journal of Computational and Applied Mathematics
44 Insurance Mathematics & Economics
43 European Journal of Operational Research
43 Applied Mathematical Finance
38 Journal of Economic Dynamics & Control
34 Finance and Stochastics
34 Mathematical Finance
17 Applied Mathematics and Computation
17 Asia-Pacific Financial Markets
16 Stochastic Processes and their Applications
16 SIAM Journal on Financial Mathematics
14 International Journal of Computer Mathematics
14 Mathematics and Financial Economics
13 Applied Numerical Mathematics
12 The Annals of Applied Probability
12 Discrete Dynamics in Nature and Society
11 Journal of Econometrics
11 Decisions in Economics and Finance
9 Computers & Mathematics with Applications
9 Journal of Mathematical Analysis and Applications
9 Mathematical Methods of Operations Research
8 Abstract and Applied Analysis
7 Computers & Operations Research
7 Annals of Operations Research
7 Applied Mathematics. Series B (English Edition)
7 Methodology and Computing in Applied Probability
7 Annals of Finance
6 Advances in Applied Probability
6 Chaos, Solitons and Fractals
6 Journal of Applied Probability
6 Stochastic Analysis and Applications
6 Computational Statistics and Data Analysis
6 Applied Stochastic Models in Business and Industry
6 Computational Management Science
5 Japan Journal of Industrial and Applied Mathematics
5 Communications in Nonlinear Science and Numerical Simulation
5 Journal of Applied Mathematics
4 Physica A
4 Mathematics and Computers in Simulation
4 SIAM Journal on Control and Optimization
4 SIAM Journal on Scientific Computing
4 Scandinavian Actuarial Journal
4 Journal of Systems Science and Complexity
4 Stochastic Models
4 ASTIN Bulletin
4 North American Actuarial Journal
3 Journal of Optimization Theory and Applications
3 Numerische Mathematik
3 Operations Research
3 Operations Research Letters
3 Acta Mathematicae Applicatae Sinica. English Series
3 Journal of Scientific Computing
3 Bernoulli
3 Mathematical Problems in Engineering
3 Studies in Nonlinear Dynamics and Econometrics
3 Probability in the Engineering and Informational Sciences
3 Stochastics and Dynamics
3 Journal of Industrial and Management Optimization
3 Journal of the Korean Statistical Society
3 International Journal of Stochastic Analysis
3 European Actuarial Journal
2 Metrika
2 Calcolo
2 Journal of Differential Equations
2 Journal of Economic Theory
2 Journal of Mathematical Economics
2 Mathematics of Operations Research
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 SIAM Journal on Numerical Analysis
2 Statistics & Probability Letters
2 Econometric Reviews
2 Numerical Methods for Partial Differential Equations
2 Computational Statistics
2 Computational Economics
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Nonlinear Analysis. Real World Applications
2 East Asian Mathematical Journal
2 Asian Journal of Control
2 Mathematical Control and Related Fields
2 East Asian Journal on Applied Mathematics
1 Acta Informatica
1 Applicable Analysis
1 Indian Journal of Pure & Applied Mathematics
1 Information Processing Letters
1 Journal of Mathematical Physics
1 Journal of Statistical Physics
1 Lithuanian Mathematical Journal
1 Theory of Probability and its Applications
1 ACM Transactions on Mathematical Software
1 The Annals of Statistics
1 Applied Mathematics and Optimization
1 Automatica
1 BIT
1 Fuzzy Sets and Systems
1 Mathematical Social Sciences
1 Applied Mathematics and Mechanics. (English Edition)
1 Acta Applicandae Mathematicae
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