Applied Mathematical Finance's Blog
Option Replication in Discrete Time with Illiquidity
May 23, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-24, Ahead of Print.
Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization
May 11, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-30, Ahead of Print.
Stock Loans in Incomplete Markets
March 10, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-19, Ahead of Print.
Pricing Equity Swaps in an Economy with Jumps
March 8, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-24, Ahead of Print.
Concentrated Equilibrium and Intraday Patterns in Financial Markets
March 7, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-19, Ahead of Print.
Joint Modelling of Gas and Electricity Spot Prices
March 7, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-25, Ahead of Print.
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis
March 3, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-18, Ahead of Print.
Assessing the Costs of Protection in a Context of Switching Stochastic Regimes
March 1, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-17, Ahead of Print.
Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
February 29, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-25, Ahead of Print.
American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
February 28, 2012
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Applied Mathematical Finance, Volume 0, Issue 0, Page 1-24, Ahead of Print.
