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Applied Mathematical Finance wrote a new blog post titled Implied Filtering Densities on the Hidden State of Stochastic Volatility
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-40, Ahead of Print.
1926 days ago
Applied Mathematical Finance wrote a new blog post titled Optimal Trade Execution Under Stochastic Volatility and Liquidity
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-21, Ahead of Print.
1993 days ago
Applied Mathematical Finance wrote a new blog post titled Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-35, Ahead of Print.
1993 days ago
Applied Mathematical Finance wrote a new blog post titled Option Pricing with Transaction Costs and Stochastic Interest Rate
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-18, Ahead of Print.
1993 days ago
Applied Mathematical Finance wrote a new blog post titled A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-32, Ahead of Print.
2038 days ago
Applied Mathematical Finance wrote a new blog post titled Tail VaR Measures in a Multi-period Setting
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-28, Ahead of Print.
2049 days ago
Applied Mathematical Finance wrote a new blog post titled Optimal Execution and Price Manipulations in Time-varying Limit Order Books
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-37, Ahead of Print.
2100 days ago
Applied Mathematical Finance wrote a new blog post titled Perpetual Options on Multiple Underlyings
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-27, Ahead of Print.
2144 days ago
Applied Mathematical Finance wrote a new blog post titled Erratum: Erratum
Applied Mathematical Finance, Volume 0, Issue 0, Page 1, Ahead of Print.
2168 days ago
Applied Mathematical Finance wrote a new blog post titled Prices and Asymptotics for Discrete Variance Swaps
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-34, Ahead of Print.
2176 days ago
Applied Mathematical Finance wrote a new blog post titled Forward Variance Dynamics: Bergomi's Model Revisited
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-24, Ahead of Print.
2182 days ago
Applied Mathematical Finance wrote a new blog post titled Optimal Selling of an Asset with Jumps Under Incomplete Information
Applied Mathematical Finance, Volume 0, Issue 0, Page 1-12, Ahead of Print.
2207 days ago