Volume 7; Issue 5

Quantitative Finance

Volume 7; Issue 5
1

A jump telegraph model for option pricing

Ratanov, Nikita
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 194 KB
english, 2007
2

A test of the beta model on Eurodollar futures options

Gulko, Les
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 201 KB
english, 2007
3

Insiders' hedging in a jump diffusion model

Lee, Kiseop, Song, Seongjoo
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 239 KB
english, 2007
4

On option pricing models in the presence of heavy tails

Vellekoop, Michel, Nieuwenhuis, Hans
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 439 KB
english, 2007
5

On the structure of Gaussian pricing models and Gaussian Markov functional models

Neumann, C. D. D.
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 190 KB
english, 2007
6

Solvable local and stochastic volatility models: supersymmetric methods in option pricing

Henry-labordère, Pierre
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 212 KB
english, 2007
7

Model-free price hedge ratios for homogeneous claims on tradable assets

Alexander, Carol, Nogueira§, Leonardo M.
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 172 KB
english, 2007
8

The volatility of temperature and pricing of weather derivatives

Benth, Fred ESPEN, Benth, Jūratė šaltytė
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 292 KB
english, 2007
9

Volatility surfaces: theory, rules of thumb, and empirical evidence

Daglish, Toby, Hull, John, Suo, Wulin
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 257 KB
english, 2007
10

A remark on managerial behaviour and agency cost

Gu, Zhihui, Zhang, Qingyuan
Journal:
Quantitative Finance
Année:
2007
Langue:
english
Fichier:
PDF, 84 KB
english, 2007