Hits 1-9 within 9 documents
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
Analysis of the rebalancing frequency in log-optimal portfolio selection [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.221-234
A multi-factor jump-diffusion model for commodities [journal article]
Source: Quantitative Finance, 8 (2008) 2. p.181-200
A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method [journal article]
Source: Quantitative Finance, 6 (2006) 2. p.147-158
Cash management using multi-stage stochastic programming [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.209-219
A comparison of biased simulation schemes for stochastic volatility models [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.177-194
Investment strategies in the long run with proportional transaction costs and HARA utility function [journal article]
Source: Quantitative Finance, 9 (2009) 2. p.231-242
Enhanced policy iteration for American options via scenario selection [journal article]
Source: Quantitative Finance, 8 (2008) 2. p.135-146