Nonlinearity, Integrability And All That (Twenty Years After NEEDS '79) || SIMPLE GENERALIZATION OF LIOUVILLE INTEGRABILITY
- 作者Boiti, M; Martina, L; Pempinelli, F; Prinari, B; Soliani, G
- 文件大小2863.77KB
- 发表时间2000
- DOI10.1142/9789812817587_0039
- 页码284-290
The Small-Maturity Heston Forward SmileJacquier, Antoine; Roome, Patrick · SSRN Electronic Journal · 2013
The Small-Maturity Heston Forward SmileJacquier, Antoine; Roome, Patrick · SIAM Journal on Financial Mathematics · 2013
Black–Scholes in a CEV random environmentJacquier, Antoine; Roome, Patrick · Mathematics and Financial Economics · 2018
Asymptotic Behavior of the Fractional Heston ModelGuennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei · SIAM Journal on Financial Mathematics · 2018
Large-maturity regimes of the Heston forward smileJacquier, Antoine; Roome, Patrick · Stochastic Processes and their Applications · 2016
No-arbitrage bounds for the forward smile given marginalsBadikov, Sergey; Jacquier, Antoine; Liu, Daphne Qing; Roome, Patrick · Quantitative Finance · 2017
Approaches to Conditional RiskFilipović, Damir; Kupper, Michael; Vogelpoth, Nicolas · SIAM Journal on Financial Mathematics · 2012
Maturity-Independent Risk MeasuresZariphopoulou, Thaleia; Žitković, Gordan · SIAM Journal on Financial Mathematics · 2010
On the Microstructural Hedging ErrorRobert, Christian Y.; Rosenbaum, Mathieu · SIAM Journal on Financial Mathematics · 2010
Common Forward Rate VolatilityGoodman, Victor; Kim, Kyounghee · SIAM Journal on Financial Mathematics · 2010
Optimal Timing to Purchase OptionsLeung, Tim; Ludkovski, Mike · SIAM Journal on Financial Mathematics · 2011
Dynamics of Bankrupt StocksLi, Xiao; Lipkin, Michael D.; Sowers, Richard B. · SIAM Journal on Financial Mathematics · 2014
VWAP Execution and Guaranteed VWAPGuéant, Olivier; Royer, Guillaume · SIAM Journal on Financial Mathematics · 2014
Systemic Risk in Interbanking NetworksBo, Lijun; Capponi, Agostino · SIAM Journal on Financial Mathematics · 2015