| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
|
Woo, Wing Hoe
|
|
2004
|
|
2 |
p. 165-186
|
artikel
|
| 2 |
A finite element approach to the pricing of discrete lookbacks with stochastic volatility
|
Forsyth, P. A.
|
|
1999
|
|
2 |
p. 87-106
|
artikel
|
| 3 |
A hybrid method for pricing European options based on multiple assets with transaction costs
|
Pacelli, Graziella
|
|
1999
|
|
2 |
p. 61-85
|
artikel
|
| 4 |
American options under uncertain volatility
|
Smith, Adam T.
|
|
2002
|
|
2 |
p. 123-141
|
artikel
|
| 5 |
An E-ARCH model for the term structure of implied volatility of FX options
|
Zhu, Yingzi
|
|
1997
|
|
2 |
p. 81-100
|
artikel
|
| 6 |
A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
|
Benth, Fred Espen
|
|
2007
|
|
2 |
p. 153-169
|
artikel
|
| 7 |
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
|
Mari, Carlo
|
|
2006
|
|
2 |
p. 143-153
|
artikel
|
| 8 |
A Structural Model with Unobserved Default Boundary
|
Schmidt, Thorsten
|
|
2008
|
|
2 |
p. 183-203
|
artikel
|
| 9 |
A theoretical investigation of randomized asset allocation strategies
|
Milevsky, Moshe Arye
|
|
1998
|
|
2 |
p. 117-130
|
artikel
|
| 10 |
Bivariate option pricing with copulas
|
Cherubini, U.
|
|
2002
|
|
2 |
p. 69-85
|
artikel
|
| 11 |
Bond, futures and option evaluation in the quadratic interest rate model
|
Jamshidian, Farshid
|
|
1996
|
|
2 |
p. 93-115
|
artikel
|
| 12 |
Comparison of the performance of a time-dependent short-interest rate model with time-independent models
|
Goard, Joanna
|
|
2004
|
|
2 |
p. 147-164
|
artikel
|
| 13 |
Consistency Problems for Jump-diffusion Models
|
Bayraktar, Erhan
|
|
2005
|
|
2 |
p. 101-119
|
artikel
|
| 14 |
Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
|
Rebonato, Riccardo
|
|
1998
|
|
2 |
p. 131-141
|
artikel
|
| 15 |
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
|
Marco, Avellaneda
|
|
1994
|
|
2 |
p. 165-194
|
artikel
|
| 16 |
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
|
Mancino, Maria Elvira
|
|
2005
|
|
2 |
p. 187-199
|
artikel
|
| 17 |
Estimating fees for managed futures: a continuous-time model with a knockout feature
|
Richter, Francisca G. -C.
|
|
2000
|
|
2 |
p. 115-125
|
artikel
|
| 18 |
Exponential risk measure with application to UK asset allocation
|
Satchell, Stephen E.
|
|
2000
|
|
2 |
p. 127-152
|
artikel
|
| 19 |
General Lower Bounds for Arithmetic Asian Option Prices
|
Albrecher, H.
|
|
2008
|
|
2 |
p. 123-149
|
artikel
|
| 20 |
Genetic algorithms and applications to finance
|
Kingdon, J.
|
|
1995
|
|
2 |
p. 89-116
|
artikel
|
| 21 |
Good point methods for computing prices and sensitivities of multi-asset European style options
|
Ross, Raymond
|
|
1998
|
|
2 |
p. 83-106
|
artikel
|
| 22 |
Hedging lookback and partial lookback options using Malliavin calculus
|
Bermin, Hans-Peter
|
|
2000
|
|
2 |
p. 75-100
|
artikel
|
| 23 |
Intelligent systems in finance
|
Konrad, Feldman
|
|
1994
|
|
2 |
p. 195-207
|
artikel
|
| 24 |
Interpolation Methods for Curve Construction
|
Hagan, Patrick S.
|
|
2006
|
|
2 |
p. 89-129
|
artikel
|
| 25 |
Investment diversification and investment specialization and the assumed holding period
|
Levy, Haim
|
|
1996
|
|
2 |
p. 117-134
|
artikel
|
| 26 |
Level-Slope-Curvature - Fact or Artefact?
|
Lord, Roger
|
|
2007
|
|
2 |
p. 105-130
|
artikel
|
| 27 |
Liquidity and credit risk
|
Cherubini, Umberto
|
|
2001
|
|
2 |
p. 79-95
|
artikel
|
| 28 |
Liquidity Risk with Coherent Risk Measures
|
Ku, Hyejin
|
|
2006
|
|
2 |
p. 131-141
|
artikel
|
| 29 |
Market oscillations induced by the competition between value-based and trend-based investment strategies
|
Caginalp, G.
|
|
1994
|
|
2 |
p. 129-164
|
artikel
|
| 30 |
Markovian spot rate dynamics with stochastic volatility structures
|
Au, K. T.
|
|
1997
|
|
2 |
p. 101-108
|
artikel
|
| 31 |
Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
|
Nakano, Yumiharu
|
|
2003
|
|
2 |
p. 163-181
|
artikel
|
| 32 |
Modelling credit default swap spreads by means of normal mixtures and copulas
|
Bee, Marco
|
|
2004
|
|
2 |
p. 125-146
|
artikel
|
| 33 |
Modelling day-ahead electricity prices
|
Hinz, Juri
|
|
2003
|
|
2 |
p. 149-161
|
artikel
|
| 34 |
Models of information aggregation in financial markets: a review
|
Habib, Michel
|
|
1996
|
|
2 |
p. 159-166
|
artikel
|
| 35 |
Multi-asset portfolio optimization with transaction cost
|
Atkinson, C.
|
|
2004
|
|
2 |
p. 95-123
|
artikel
|
| 36 |
Obtaining distributional information from valuation lattices
|
Howard, C. Douglas
|
|
2000
|
|
2 |
p. 101-114
|
artikel
|
| 37 |
On American Options Under the Variance Gamma Process
|
Almendral, Ariel
|
|
2007
|
|
2 |
p. 131-152
|
artikel
|
| 38 |
On an investment-consumption model with transaction costs: an asymptotic analysis
|
Atkinson, C.
|
|
1997
|
|
2 |
p. 109-133
|
artikel
|
| 39 |
On superhedging under delta constraints
|
Sekine, Jun
|
|
2002
|
|
2 |
p. 103-121
|
artikel
|
| 40 |
Optimal exercise boundary for an American put option
|
Kuske, Rachel A.
|
|
1998
|
|
2 |
p. 107-116
|
artikel
|
| 41 |
Option pricing with hedging at fixed trading dates
|
Mercurio, Fabio
|
|
1996
|
|
2 |
p. 135-158
|
artikel
|
| 42 |
Passport options with stochastic volatility
|
Henderson, Vicky
|
|
2001
|
|
2 |
p. 97-118
|
artikel
|
| 43 |
Pricing and hedging derivative securities in markets with uncertain volatilities
|
Avellaneda, M.
|
|
1995
|
|
2 |
p. 73-88
|
artikel
|
| 44 |
Pricing Lookback Options with Knock-out Boundaries
|
Muroi, Yoshifumi
|
|
2006
|
|
2 |
p. 155-190
|
artikel
|
| 45 |
Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
|
Chung, San-Lin
|
|
2005
|
|
2 |
p. 121-146
|
artikel
|
| 46 |
Stochastic Volatility Model with Time-dependent Skew
|
Piterbarg, Vladimir V.
|
|
2005
|
|
2 |
p. 147-185
|
artikel
|
| 47 |
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
|
Florescu, IonuĊ£
|
|
2008
|
|
2 |
p. 151-181
|
artikel
|
| 48 |
Stochastic volatility, smile & asymptotics
|
Sircar, K. Ronnie
|
|
1999
|
|
2 |
p. 107-145
|
artikel
|
| 49 |
Stock market bubbles in the laboratory
|
Porter, David P.
|
|
1994
|
|
2 |
p. 111-128
|
artikel
|
| 50 |
Stock options as barrier contingent claims
|
Ericsson, Jan
|
|
2003
|
|
2 |
p. 121-147
|
artikel
|
| 51 |
The European options hedge perfectly in a Poisson-Gaussian stock market model
|
Mancini, C.
|
|
2002
|
|
2 |
p. 87-102
|
artikel
|
| 52 |
The Levy Swap Market Model
|
Eberlein, E.
|
|
2007
|
|
2 |
p. 171-196
|
artikel
|
| 53 |
Tracking error decision rules and accumulated wealth
|
Berg, Nathan
|
|
2003
|
|
2 |
p. 91-119
|
artikel
|
| 54 |
Trading volume in models of financial derivatives
|
Howison, Sam
|
|
2001
|
|
2 |
p. 119-135
|
artikel
|
| 55 |
Uncertain volatility and the risk-free synthesis of derivatives
|
Lyons, T. J.
|
|
1995
|
|
2 |
p. 117-133
|
artikel
|
| 56 |
Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
|
Ninomiya, Syoiti
|
|
2008
|
|
2 |
p. 107-121
|
artikel
|
Tijdschrift beschrijving