Hits 11-20 within 59 documents
A Continuous-Time Model for Reinvestment Risk in Bond Markets [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.451-464
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
Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations [journal article]
Source: Quantitative Finance, 8 (2008) 4. p.353-361
On Option Pricing Models in the Presence of Heavy Tails [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.563-573
Regression methods in pricing American and Bermudan options using consumption processes [journal article]
Source: Quantitative Finance, 9 (2009) 3. p.315-327
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
On the feasibility of portfolio optimization under expected shortfall [journal article]
Source: Quantitative Finance, 7 (2007) 4. p.389-396
Modelling bonds and credit default swaps using a structural model with contagion [journal article]
Source: Quantitative Finance, 8 (2008) 7. p.669-680