Hits 1-6 within 6 documents
A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.75-90
Cash management using multi-stage stochastic programming [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.209-219
Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching [journal article]
Source: Quantitative Finance, 10 (2010) 3. p.325-338
A comparison of biased simulation schemes for stochastic volatility models [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.177-194
Analysis of the rebalancing frequency in log-optimal portfolio selection [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.221-234
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.39-47