arXiv 2018-01-25 EN Valuation of Currency Options in Markets with a Crunch Hatemi-J, Abdulnasser · El-Khatib, Youssef
arXiv 2018-01-24 EN Stock returns forecast: an examination by means of Artificial Neural Networks Caride, Martin Iglesias · Bariviera, Aurelio F. · Lanzarini, Laura
arXiv 2018-01-12 EN Asymptotic Static Hedge via Symmetrization Akahori, Jiro · Barsotti, Flavia · Imamura, Yuri
arXiv 2017-12-28 EN Why Long-Term Debt Instruments Cannot Be Deposit Substitutes Geronimo, Russell Stanley Q.
arXiv 2017-12-21 EN Gibbs sampler with jump diffusion model: application in European call option and annuity Lau, Kein Joe · Goh, Yong Kheng · Lai, An-Chow
arXiv 2017-12-18 EN Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model Baviera, Roberto
arXiv 2017-12-14 EN The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion Shokrollahi, Foad
arXiv 2017-11-27 EN Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model Pablo, Olivares · Enrique, Villamor
arXiv 2017-11-23 EN Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison Sabitova, Kamilla
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 2017-11-08 EN Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity Fergusson, Kevin · Platen, Eckhard
arXiv 2017-11-01 EN Pricing of commodity derivatives on processes with memory Benth, Fred Espen · Khedher, Asma · Vanmaele, Michèle
arXiv 2017-10-30 EN The implied volatility of Forward-Start options: ATM short-time level, skew and curvature Alos, Elisa · Jacquier, Antoine · Leon, Jorge
arXiv 2017-10-20 EN A regularity structure for rough volatility Bayer, Christian · Friz, Peter K. · Gassiat, Paul · Martin, Joerg +1
arXiv 2017-10-09 EN Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing Rachev, Svetlozar · Stoyanov, Stoyan · Fabozzi, Frank J.
arXiv 2017-10-02 EN Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging Kladivko, Kamil · Zervos, Mihail
arXiv 2017-09-24 EN The Aggregation Property and its Applications to Realised Higher Moments Alexander, Carol · Rauch, Johannes
arXiv 2017-08-29 EN Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns Cech, Frantisek · Barunik, Jozef
