Hits 1-10 within 12 documents
Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.525-535
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
Black-Scholes theory for an underlying with multiple attractors [journal article]
Source: Quantitative Finance, 8 (2008) 5. p.453-457
On the structure of Gaussian pricing models and Gaussian Markov functional models [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.487-496
What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders? [journal article]
Source: Quantitative Finance, 9 (2009) 5. p.527-545
Capital allocation for credit portfolios with kernel estimators [journal article]
Source: Quantitative Finance, 9 (2009) 5. p.581-595
There's more to volatility than volume [journal article]
Source: Quantitative Finance, 6 (2006) 5. p.371-384
Pricing a class of exotic commodity options in a multi-factor jump-diffusion model [journal article]
Source: Quantitative Finance, 8 (2008) 5. p.471-483
A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms [journal article]
Source: Quantitative Finance, 9 (2009) 5. p.621-636