Review of derivatives research.
Material type:![Continuing resource](https://unissa.edu.bn/e-fihrist/opac-tmpl/lib/famfamfam/SE.png)
- text
- computer
- online resource
- 1573-7144
- Review of derivatives research (Online)
- 332.632
- HG6024.A3
Item type | Current library | Call number | Status | Notes | Date due | Barcode | |
---|---|---|---|---|---|---|---|
E-Journal | Universiti Islam Sultan Sharif Ali | Online (Browse shelf(Opens below)) | Available | Subscription (Springer) |
(Volume 27, issue 1)
• Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
• Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
• Pricing levered warrants under the CEV diffusion model
• Martingale defects in the volatility surface and bubble conditions in the underlying
(Volume 26, issue 2-3)
• Implied volatility surfaces: a comprehensive analysis using half a billion option prices
• Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model
(Volume 26, issue 1)
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates
• Pricing vulnerable basket spread options with liquidity risk
• Continuity correction: on the pricing of discrete double barrier options
• Hedging cryptocurrency options
Not published in 1997.
Mode of access: World Wide Web.
Vol. 3, issue 1 (1999); title from contents screen (publisher's Web site, viewed Feb. 18, 2004).
Vol. 22, issue 3 (Oct. 2019) (SpringerLink website, viewed Oct. 8, 2019).
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