Results for Discipline:
Basic Research, General Concepts and History of Economics
Hits 1-10 within 25 documents
A Multifactor Volatility Heston Model [journal article]
Source: Quantitative Finance, 8 (2008) 6. p.591-604
Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.525-535
Correlation Smile Matching for CDO Tranches with α Stable Distributions and Fitted Archimedan Copulas [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.439-449
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models [journal article]
Source: Quantitative Finance, 6 (2006) 2. p.125-145
Pricing Options with Green's Functions when Volatility, Interest Rate, and Barriers Depend on Time [journal article]
Source: Quantitative Finance, 8 (2008) 2. p.119-133
Optimal approximations of power-laws with exponentials: application to volatility models with long memory [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.585-589
Least Squares Importance Sampling for Monte Carlo Security Pricing [journal article]
Source: Quantitative Finance, 8 (2008) 5. p.485-497
On Option Pricing Models in the Presence of Heavy Tails [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.563-573
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching [journal article]
Source: Quantitative Finance, 10 (2010) 3. p.325-338
Arbitrage-free smoothing of the implied volatility surface [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.417-428