Hits 1-10 within 59 documents
Price Discovery in the Presence of Boundedly Rational Agents [journal article]
Source: Quantitative Finance, 8 (2008) 3. p.235-249
A Multifactor Volatility Heston Model [journal article]
Source: Quantitative Finance, 8 (2008) 6. p.591-604
The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises [journal article]
Source: Quantitative Finance, 7 (2007) 1. p.63-74
Update rules for convex risk measures [journal article]
Source: Quantitative Finance, 8 (2008) 8. p.833-843
Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.525-535
Relation between Bid-Ask Spread, Impact and Volatility in Order-Driven Markets [journal article]
Source: Quantitative Finance, 8 (2007) 1. p.41-57
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
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
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