Volume 14 Issue 3
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Mark S. Joshi
Approximate Formulas for Zero-coupon Bonds
Fabricio Tourrucôo; Patrick S. Hagan; Gilberto F. Schleiniger
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines
Alessio Sancetta; Steve E. Satchell
Term Structure Models with Parallel and Proportional Shifts
Fredrik Armerin; Bjarne Astrup Jensen; Tomas Björk
Using Utility Functions to Model Risky Bonds
Joanna Goard
Volume 14 Issue 4
Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models
Oh Kang Kwon
Indifference Pricing and Hedging for Volatility Derivatives
M. R. Grasselli; T. R. Hurd
Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage
Nikolai Dokuchaev
A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Jia-Hau Guo; Mao-Wei Hung
Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
Fred Espen Benth; Martin Groth; Rodwell Kufakunesu
Volume 14 Issue 5
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
Carl Chiarella; Christina Nikitopoulos Sklibosios; Erik Schlögl
Optimal Financial Portfolios
S. V. Stoyanov; S. T. Rachev; F. J. Fabozzi
Convex Hedging in Incomplete Markets
Birgit Rudloff
An Improved Binomial Lattice Method for Multi-Dimensional Options
Andrea Gamba; Lenos Trigeorgis
Volume 15 Issue 1
Valuation of Performance-Dependent Options
Thomas Gerstner; Markus Holtz
Market Influence of Portfolio Optimizers
Suhas Nayak; George Papanicolaou
Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
N. K. Nomikos; O. Soldatos
Multiscale Intensity Models for Single Name Credit Derivatives
E. Papageorgiou; R. Sircar
Huu Tue Huynh, Van Son Lai & Issouf Soumare A comprehensive text explaining the theory and practice of stochastic processes in financial engineering covering mathematical and computational techniques. ISBN: 9780470725382 – 360 pages – Cloth - 19-Jan-09 - £60.0Featured Product
Stochastic Simulation and Applications in Finance with MATLAB Programs
