| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A class of arbitrage-free log-normal-short-rate two-factor models
|
Rebonato, Riccardo
|
|
1997
|
|
4 |
p. 223-236
|
artikel
|
| 2 |
A generalized bootstrap method to determine the yield curve
|
Deaves, Richard
|
|
2000
|
|
4 |
p. 257-270
|
artikel
|
| 3 |
An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
|
Morini, Massimo
|
|
2006
|
|
4 |
p. 309-331
|
artikel
|
| 4 |
A note on arbitrage-free pricing of forward contracts in energy markets
|
Benth, Fred Espen
|
|
2003
|
|
4 |
p. 325-336
|
artikel
|
| 5 |
A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
|
Guo, Jia-Hau
|
|
2007
|
|
4 |
p. 339-345
|
artikel
|
| 6 |
Arbitrage pricing with incomplete markets
|
Britten-Jones, Mark
|
|
1996
|
|
4 |
p. 347-363
|
artikel
|
| 7 |
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
|
Bacinello, Anna Rita
|
|
1999
|
|
4 |
p. 293-312
|
artikel
|
| 8 |
A survey of sampling-based Bayesian analysis of financial data
|
Sfiridis, James M.
|
|
2002
|
|
4 |
p. 273-291
|
artikel
|
| 9 |
A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
|
Frey, Rudiger
|
|
1996
|
|
4 |
p. 295-317
|
artikel
|
| 10 |
Binomial models for option valuation - examining and improving convergence
|
Leisen, Dietmar P. J.
|
|
1996
|
|
4 |
p. 319-346
|
artikel
|
| 11 |
Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes
|
Ribeiro, Claudia
|
|
2006
|
|
4 |
p. 333-352
|
artikel
|
| 12 |
Finite-dimensional Realizations of Regime-switching HJM Models
|
Elhouar, Mikael
|
|
2008
|
|
4 |
p. 331-354
|
artikel
|
| 13 |
Indexes to Volume 10 (2003)
|
|
|
2003
|
|
4 |
p. 359-360
|
artikel
|
| 14 |
Indifference Pricing and Hedging for Volatility Derivatives
|
Grasselli, M. R.
|
|
2007
|
|
4 |
p. 303-317
|
artikel
|
| 15 |
Interest Guarantees in Banking
|
Norberg, Ragnar
|
|
2005
|
|
4 |
p. 351-370
|
artikel
|
| 16 |
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
|
Bhar, Ramaprasad
|
|
1997
|
|
4 |
p. 181-199
|
artikel
|
| 17 |
Intertemporal portfolio optimization with small transaction costs and stochastic variance
|
Atkinson, C.
|
|
2003
|
|
4 |
p. 267-302
|
artikel
|
| 18 |
Laplace transforms and American options
|
Mallier, Roland
|
|
2000
|
|
4 |
p. 241-256
|
artikel
|
| 19 |
Lookback options with discrete and partial monitoring of the underlying price
|
Heynen, R. C.
|
|
1995
|
|
4 |
p. 273-284
|
artikel
|
| 20 |
Markov interest rate models
|
Hagan, Patrick S.
|
|
1999
|
|
4 |
p. 233-260
|
artikel
|
| 21 |
Maxentropic construction of risk neutral measures: discrete market models
|
Gzyl, Henryk
|
|
2000
|
|
4 |
p. 229-239
|
artikel
|
| 22 |
Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models
|
Kwon, Oh Kang
|
|
2007
|
|
4 |
p. 291-302
|
artikel
|
| 23 |
Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage
|
Dokuchaev, Nikolai
|
|
2007
|
|
4 |
p. 319-337
|
artikel
|
| 24 |
Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
|
Zapranis, A.
|
|
2008
|
|
4 |
p. 355-386
|
artikel
|
| 25 |
Moment condition failure in stock returns: UK evidence
|
Omran, M. F.
|
|
1997
|
|
4 |
p. 201-206
|
artikel
|
| 26 |
Money, prices and interest rates in a non-aggregate stochastic general equilibrium model
|
Gutierrez, Pedro J.
|
|
2004
|
|
4 |
p. 283-316
|
artikel
|
| 27 |
Numerical Methods and Volatility Models for Valuing Cliquet Options
|
Windcliff, H. A.
|
|
2006
|
|
4 |
p. 353-386
|
artikel
|
| 28 |
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
|
Benth, Fred Espen
|
|
2003
|
|
4 |
p. 303-324
|
artikel
|
| 29 |
On the pricing and hedging of volatility derivatives
|
Howison, Sam
|
|
2004
|
|
4 |
p. 317-346
|
artikel
|
| 30 |
On the relative efficiency of nth order and DARA stochastic dominance rules
|
Basso, Antonella
|
|
1997
|
|
4 |
p. 207-222
|
artikel
|
| 31 |
Optimum Constrained Portfolio Rules in a Diffusion Market
|
Durrell, Fernando J.
|
|
2006
|
|
4 |
p. 285-307
|
artikel
|
| 32 |
Option pricing for large agents
|
Jonsson, Mattias
|
|
2002
|
|
4 |
p. 261-272
|
artikel
|
| 33 |
PDE Models for Pricing Stocks and Options With Memory Feedback
|
Peszek, Robert
|
|
1995
|
|
4 |
p. 211-224
|
artikel
|
| 34 |
Risk arbitrage in the Nikkei put warrant market of 1989-1990
|
Shaw, J.
|
|
1995
|
|
4 |
p. 243-272
|
artikel
|
| 35 |
Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information
|
Hałaj, Grzegorz
|
|
2008
|
|
4 |
p. 305-329
|
artikel
|
| 36 |
Statistical inference and modelling of momentum in stock prices
|
Caginalp, G.
|
|
1995
|
|
4 |
p. 225-242
|
artikel
|
| 37 |
Statistical properties of the sample semi-variance
|
Bond, Shaun A.
|
|
2002
|
|
4 |
p. 219-239
|
artikel
|
| 38 |
Stochastic volatility Gaussian Heath-Jarrow-Morton models
|
Valchev, Stoyan
|
|
2004
|
|
4 |
p. 347-368
|
artikel
|
| 39 |
Tail behaviour of credit loss distributions for general latent factor models
|
Lucas, Andre
|
|
2003
|
|
4 |
p. 337-357
|
artikel
|
| 40 |
The pricing of derivatives on assets with quadratic volatility
|
Zuhlsdorff, Christian
|
|
2001
|
|
4 |
p. 235-262
|
artikel
|
| 41 |
The pricing of risky coupon bonds
|
Choong, Lilly
|
|
1999
|
|
4 |
p. 261-273
|
artikel
|
| 42 |
The role of index bonds in universal currency hedging
|
Perera, Ryle S.
|
|
2000
|
|
4 |
p. 271-284
|
artikel
|
| 43 |
Two Exotic Lookback Options
|
Bermin, Hans-Peter
|
|
2008
|
|
4 |
p. 387-402
|
artikel
|
| 44 |
Utility based pricing of contingent claims in incomplete markets
|
Gam, Andrea
|
|
2002
|
|
4 |
p. 241-260
|
artikel
|
| 45 |
Valuation formulae for window barrier options
|
Armstrong, Grant F.
|
|
2001
|
|
4 |
p. 197-208
|
artikel
|
| 46 |
valuation of options on joint minima and maxima
|
Guillaume, Tristan
|
|
2001
|
|
4 |
p. 209-233
|
artikel
|
| 47 |
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged.
|
Bacinello, Anna Rita
|
|
1996
|
|
4 |
p. 269-394
|
artikel
|
| 48 |
Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
|
Benth, Fred Espen
|
|
2007
|
|
4 |
p. 347-363
|
artikel
|
| 49 |
Various passport options and their valuation
|
Ahn, Hyungsok
|
|
1999
|
|
4 |
p. 275-292
|
artikel
|
Tijdschrift beschrijving