arXiv 2016-09-10 EN Covariance of random stock prices in the Stochastic Dividend Discount Model Agosto, Arianna · Mainini, Alessandra · Moretto, Enrico
arXiv 2016-09-04 EN Non-Gaussian analytic option pricing: a closed formula for the Lévy-stable model Aguilar, Jean-Philippe · Coste, Cyril · Korbel, Jan
arXiv 2016-08-18 EN A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes Filev, V. G. · Neykov, P. · Vasilev, G. S.
arXiv 2016-08-11 EN Some Contributions to Sequential Monte Carlo Methods for Option Pricing Sen, Deborshee · Jasra, Ajay · Zhou, Yan
arXiv 2016-07-31 EN Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility Kuchuk-Iatsenko, S. · Mishura, Y. · Munchak, Y.
arXiv 2016-07-31 EN Pricing Weakly Model Dependent Barrier Products Kuklinski, Jan · Papaioannou, Panagiotis · Tyloo, Kevin
arXiv 2016-07-12 EN Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA Papapantoleon, Antonis · Wardenga, Robert
arXiv 2016-07-10 EN Information uncertainty related to marked random times and optimal investment Jiao, Ying · Kharroubi, Idris
arXiv 2016-07-06 EN Granger Independent Martingale Processes Cherubini, Umberto · Gobbi, Fabio · Mulinacci, Sabrina · Romagnoli, Silvia
arXiv 2016-07-05 EN Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching Safarov, Nemat · Atkinson, Colin
arXiv 2016-06-23 EN Spread, volatility, and volume relationship in financial markets and market making profit optimization Sarkissian, Jack
arXiv 2016-06-11 EN Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring Ormos, Mihaly · Timotity, Dusan
arXiv 2016-06-02 EN On American VIX options under the generalized 3/2 and 1/2 models Detemple, Jerome · Kitapbayev, Yerkin
arXiv 2016-05-15 EN On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums Marciniak, Ewa · Palmowski, Zbigniew
arXiv 2016-05-11 EN Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate Gremm, Martin
arXiv 2016-05-02 EN A unified pricing of variable annuity guarantees under the optimal stochastic control framework Shevchenko, Pavel V. · Luo, Xiaolin
arXiv 2016-05-01 EN Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options Kuklinski, Jan · Tyloo, Kevin
arXiv 2016-04-29 EN Pricing Bermudan options under local Lévy models with default Borovykh, Anastasia · Oosterlee, Cornelis W. · Pascucci, Andrea
