Search results
Results: 7
Number of items: 7
-
Pistorius, M., & Stolte, J. (2012). Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. International Journal of Theoretical and Applied Finance, 15(4), 1250031. https://doi.org/10.1142/S0219024912500318
-
Madan, D. B., & Pistorius, M. (2012). Equity quantile upper and lower swaps. Quantitative Finance, 12(1), 29-37. https://doi.org/10.1080/14697688.2011.630327
-
Jiang, Z., & Pistorius, M. (2012). Optimal dividend distribution under Markov regime switching. Finance and Stochastics, 16(3), 449-476. https://doi.org/10.1007/s00780-012-0174-3 -
Mijatovic, A., & Pistorius, M. R. (2012). On the drawdown of completely asymmetric Lévy processes. Stochastic Processes and their Applications, 122(11), 3812-3836. https://doi.org/10.1016/j.spa.2012.06.012
-
Eriksson, B., & Pistorius, M. (2011). Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models. International Journal of Theoretical and Applied Finance, 14(7), 1139-1158. https://doi.org/10.1142/S0219024911006644
-
Madan, D. B., Pistorius, M., & Schoutens, W. (2011). The valuation of structured products using Markov chain models. Quantitative Finance, 13(1), 125-136. https://doi.org/10.1080/14697688.2011.605383
-
Mijatović, A., & Pistorius, M. (2011). Continuously monitored barrier options under Markov processes. Mathematical Finance, 23(1), 1-38. https://doi.org/10.1111/j.1467-9965.2011.00486.x
Page of