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Volatility skews and extensions of the Libor market model
National licenceTaylor & Francis Verlag | 2000| -
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged.
National licenceTaylor & Francis Verlag | 1996| -
Valuation of European options in the market with daily price limit
National licenceTaylor & Francis Verlag | 2000| -
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
National licenceTaylor & Francis Verlag | 1996| -
Unstructured meshing for two asset barrier options
National licenceTaylor & Francis Verlag | 2000| -
Uncertain volatility and the risk-free synthesis of derivatives
National licenceTaylor & Francis Verlag | 1995| -
Toward real-time pricing of complex financial derivatives
National licenceTaylor & Francis Verlag | 1996| -
The role of index bonds in universal currency hedging
National licenceTaylor & Francis Verlag | 2000| -
The pricing of Asian options under stochastic interest rates
National licenceTaylor & Francis Verlag | 1996| -
Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants
National licenceTaylor & Francis Verlag | 1995| -
Stochastic equity volatility related to the leverage effect
National licenceTaylor & Francis Verlag | 1994| -
Statistical modelling of asymmetric risk in asset returns
National licenceTaylor & Francis Verlag | 1995| -
Statistical inference and modelling of momentum in stock prices
National licenceTaylor & Francis Verlag | 1995|
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