arXiv 2017-08-29 EN American options in an imperfect market with default Dumitrescu, Roxana · Quenez, Marie-Claire · Sulem, Agnès
arXiv 2017-08-24 EN Optimal firm's policy under lead time-and price-dependent demand: interest of customers rejection policy Sayid, Abduh · Frein, Yannick · Hammami, Ramzi
arXiv 2017-08-17 EN An indifference approach to the cost of capital constraints: KVA and beyond Brigo, Damiano · Francischello, Marco · Pallavicini, Andrea
arXiv 2017-08-14 EN Valuation of a Bermudan DB underpin hybrid pension benefit Zhu, Xiaobai · Hardy, Mary · Saunders, David
arXiv 2017-08-04 EN A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices Higgins, Mark
arXiv 2017-07-30 EN Explicit expressions for European option pricing under a generalized skew normal distribution Doostparast, Mahdi
arXiv 2017-07-19 EN American Options with Discontinuous Two-Level Caps Detemple, Jerome · Kitapbayev, Yerkin
arXiv 2017-07-18 EN Second order stochastic differential models for financial markets Zung, Nguyen Tien
arXiv 2017-07-07 EN Model for Constructing an Options Portfolio with a Certain Payoff Function Fatyanova, Margarita E. · Semenov, Mikhail E.
arXiv 2017-07-04 EN General Price Bounds for Guaranteed Annuity Options Bahl, Raj Kumari · Sabanis, Sotirios
arXiv 2017-07-03 EN Multi-state models for evaluating conversion options in life insurance D'Amico, Guglielmo · Guillen, Montserrat · Manca, Raimondo · Petroni, Filippo
arXiv 2017-06-29 EN Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options Pirjol, Dan · Zhu, Lingjiong
arXiv 2017-06-24 EN Asymptotics for Greeks under the constant elasticity of variance model Kritski, Oleg L. · Zalmezh, Vladimir F.
arXiv 2017-06-18 EN Modeling credit default swap premiums with stochastic recovery rate Sokoot, Zahra · Modarresi, Navideh · Niknejad, Farzaneh
arXiv 2017-06-02 EN Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options Fouque, Jean-Pierre · Saporito, Yuri F.
arXiv 2017-05-26 EN The geometry of multi-marginal Skorokhod Embedding Beiglboeck, Mathias · Cox, Alexander · Huesmann, Martin
arXiv 2017-05-16 EN Analytic techniques for option pricing under a hyperexponential Lévy model Hackmann, Daniel
arXiv 2017-05-13 EN Calibration and Filtering of Exponential Lévy Option Pricing Models Sioutis, Stavros J.
arXiv 2017-05-10 EN A note on the impact of management fees on the pricing of variable annuity guarantees Sun, Jin · Shevchenko, Pavel V. · Fung, Man Chung
