arXiv 2018-01-24 EN Generalised Lyapunov Functions and Functionally Generated Trading Strategies Ruf, Johannes · Xie, Kangjianan
arXiv 2018-01-24 EN Target volatility option pricing in lognormal fractional SABR model Alos, Elisa · Chatterjee, Rupak · Tudor, Sebastian · Wang, Tai-Ho
arXiv 2018-01-24 EN Spurious seasonality detection: a non-parametric test proposal Bariviera, Aurelio F. · Plastino, Angelo · Judge, George
arXiv 2018-01-17 EN A subordinated CIR intensity model with application to Wrong-Way risk CVA Mbaye, Cheikh · Vrins, Frédéric
arXiv 2018-01-08 EN Dirichlet Forms and Finite Element Methods for the SABR Model Horvath, Blanka · Reichmann, Oleg
arXiv 2017-12-10 EN Enhancing Binomial and Trinomial Equity Option Pricing Models Kim, Yong Shin · Stoyanov, Stoyan · Rachev, Svetlozar · Fabozzi, Frank J.
arXiv 2017-12-07 EN Compound Hawkes Processes in Limit Order Books Swishchuk, Anatoliy · Remillard, Bruno · Elliott, Robert · Chavez-Casillas, Jonathan
arXiv 2017-12-07 EN Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models Swishchuk, Anatoliy · Wang, Zijia
arXiv 2017-12-04 EN Multi-currency reserving for coherent risk measures Jacka, Saul · Armstrong, Seb · Berkaoui, Abdel
arXiv 2017-11-26 EN Option pricing for Informed Traders Stoyanov, Stoyan V. · Kim, Yong Shin · Rachev, Svetlozar T. · Fabozzi, Frank J.
arXiv 2017-11-22 EN Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model Stefan, F. M. · Atman, A. P. F.
arXiv 2017-11-20 EN Influence of jump-at-default in IR and FX on Quanto CDS prices Itkin, A. · Shcherbakov, V. · Veygman, A.
arXiv 2017-11-17 EN Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble Herdegen, Martin · Herrmann, Sebastian
arXiv 2017-11-12 EN Closed-form Solutions of Relativistic Black-Scholes Equations Qu, Yanlin · Rojas, Randall R.
