arXiv 2017-12-04 EN Multi-currency reserving for coherent risk measures Jacka, Saul · Armstrong, Seb · Berkaoui, Abdel
arXiv 2017-11-27 EN Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model Pablo, Olivares · Enrique, Villamor
arXiv 2017-08-09 EN Conditional-Mean Hedging Under Transaction Costs in Gaussian Models Sottinen, Tommi · Viitasaari, Lauri
arXiv 2017-03-17 EN Pricing VIX Derivatives With Free Stochastic Volatility Model Lin, Wei · Li, Shenghong · Chern, Shane
arXiv 2016-01-09 EN Computing semiparametric bounds on the expected payments of insurance instruments via column generation Howley, Robert · Storer, Robert · Vera, Juan · Zuluaga, Luis F.
arXiv 2015-10-05 EN Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model Lin, Wei · Li, Shenghong · Luo, Xingguo · Chern, Shane
arXiv 2015-03-17 EN Pricing of Warrants with Stock Price Dependent Threshold Conditions Olvik, Ander · Kangro, Raul
arXiv 2015-02-11 EN Asymptotic indifference pricing in exponential Lévy models Ménassé, Clément · Tankov, Peter
arXiv 2013-04-08 EN Robust price bounds for the forward starting straddle Hobson, David · Klimmek, Martin
arXiv 2011-08-03 EN On martingale measures and pricing for continuous bond-stock market with stochastic bond Dokuchaev, Nikolai
arXiv 2011-04-20 EN Model independent hedging strategies for variance swaps Hobson, David · Klimmek, Martin
arXiv 2011-03-11 EN Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance Keller-Ressel, Martin · Griessler, Claus
arXiv 2010-07-26 EN Approximations and asymptotics of upper hedging prices in multinomial models Nakajima, Ryuichi · Kumon, Masayuki · Takemura, Akimichi · Takeuchi, Kei
