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Applied Mathematical Finance's Blog

Implied Filtering Densities on the Hidden State of Stochastic Volatility

April 9, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-40, Ahead of Print.

Variational Solutions of the Pricing PIDEs for European Options in Lévy Models

April 5, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-34, Ahead of Print.

On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach

April 2, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-31, Ahead of Print.

Optimal Trade Execution Under Stochastic Volatility and Liquidity

February 1, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-21, Ahead of Print.

Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance

February 1, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-35, Ahead of Print.

Option Pricing with Transaction Costs and Stochastic Interest Rate

February 1, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-18, Ahead of Print.

Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

January 23, 2014 Comments (0)

Applied Mathematical Finance, Volume 0, Issue 0, Page 1-29, Ahead of Print.