Publication date
March 2004
DOI Publisher
American Physical Society (APS) ISSN
1539-3755Abstract
10.1103/PhysRevE.69.036130Physical Review E - Statistical, Nonlinear, and Soft Matter Physics693 2036130-1PLEE
10.1103/PhysRevE.69.036130Physical Review E - Statistical, Nonlinear, and Soft Matter Physics693 2036130-1PLEE
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent cl...
10.1016/j.physa.2006.07.024Physica A: Statistical Mechanics and its Applications3741331-348PHYA
10.1103/PhysRevE.77.036106Physical Review E - Statistical, Nonlinear, and Soft Matter Physics773-PLE...
10.1016/j.physa.2006.08.020Physica A: Statistical Mechanics and its Applications3742730-748PHYA
A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term ...
10.1103/PhysRevE.65.056122Physical Review E - Statistical, Nonlinear, and Soft Matter Physics6550561...
10.1016/j.physa.2009.02.044Physica A: Statistical Mechanics and its Applications388132666-2681PHYA
10.1016/j.physa.2011.08.021Physica A: Statistical Mechanics and its Applications39141287-1308PHYA
We propose a formulation of the term structure of interest rates in which the forward curve is seen ...
10.1016/j.physa.2006.04.021Physica A: Statistical Mechanics and its Applications370198-103PHYA
In this paper we review the hedging of interest rate derivatives priced under the risk-neutral measu...
10.1016/j.physa.2009.09.031Physica A: Statistical Mechanics and its Applications3892296-314PHYA
I wish to express my sincere gratitude to my advisor, Professor Stefan Geiss, for the excellent and ...
Wemeasure, in terms of expectation and variance, the cost of hedg-ing a contingent claim when the he...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent cl...
10.1016/j.physa.2006.07.024Physica A: Statistical Mechanics and its Applications3741331-348PHYA
10.1103/PhysRevE.77.036106Physical Review E - Statistical, Nonlinear, and Soft Matter Physics773-PLE...
10.1016/j.physa.2006.08.020Physica A: Statistical Mechanics and its Applications3742730-748PHYA
A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term ...
10.1103/PhysRevE.65.056122Physical Review E - Statistical, Nonlinear, and Soft Matter Physics6550561...
10.1016/j.physa.2009.02.044Physica A: Statistical Mechanics and its Applications388132666-2681PHYA
10.1016/j.physa.2011.08.021Physica A: Statistical Mechanics and its Applications39141287-1308PHYA
We propose a formulation of the term structure of interest rates in which the forward curve is seen ...
10.1016/j.physa.2006.04.021Physica A: Statistical Mechanics and its Applications370198-103PHYA
In this paper we review the hedging of interest rate derivatives priced under the risk-neutral measu...
10.1016/j.physa.2009.09.031Physica A: Statistical Mechanics and its Applications3892296-314PHYA
I wish to express my sincere gratitude to my advisor, Professor Stefan Geiss, for the excellent and ...
Wemeasure, in terms of expectation and variance, the cost of hedg-ing a contingent claim when the he...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent cl...
10.1016/j.physa.2006.07.024Physica A: Statistical Mechanics and its Applications3741331-348PHYA
10.1103/PhysRevE.77.036106Physical Review E - Statistical, Nonlinear, and Soft Matter Physics773-PLE...
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