Articles and books that cite “Pricing and Hedging of Derivative Securities”

Articles

1. On beta-product convolutions – Enkelejd Hashorva, Scandinavian Actuarial Journal, 2011
2. Validez del Supuesto de Neutralidad del Horizonte de Tiempo en el CAPM y la Metodología del Rango Reescalado: Aplicación a Colombia – Karen Juliet Leiton Rodríguez, 2011
3. A Simple Characterization of Dynamic Completeness in Continuous Time – Theodoros M. Diasakos, June 2011
4. Dynamic modeling and forecasting algorithms for financial data systems – Manish Mahajan, Rutgers, January 2011
5. Extremes of Gaussian Processes with Random Variance – Jürg Hüsler, Vladimir Piterbarg, and Yueming Zhang, 2011, The Electronic Journal of Probability, Volume 16 (2011), 1254-1280
6. Comparative Statics of General Equilibrium Asset Prices – Theodoros M. Diasakos, October 2010
7. Expectations Hypothesis – Antonios Sangvinatsos, In: Encyclopedia of Quantitative Finance, Edited by Rama Cont, Wiley Online Library, 2010.
8. Option Hedging with Transaction Costs – Sonja Luoma, Lund University, 2010
9. Some contributions to filtering theory with applications in financial modelling – Luka Jalen, 2009
10. European Union Emission Trading Scheme: A Model for Valuation and
    Hedging of Emission Unit Allowances Derivatives – Valerio Gagliardi, 2009
11. Equilibrium in Continusous-Time Financial Markets: Endogenously Dynamically Complete Markets – Robert M. Anderson and Roberto C. Raimondo, Econometrica, Vol. 76, No. 4 (July, 2008), 841–907
12. Heterogeneous Beliefs, Speculation, and the Equity – Alexander David, The Journal of Finance, Volume 63, Issue 1, pages 41–83, February 2008
13. Credit dynamics in a first-passage time model with jumps and Latin hypercube sampling with dependence – Natalie Packham, 2008
14. A cerebellar associative memory approach to option pricing and arbitrage trading – S.D. Teddy, E.M.-K. Lai, and C. Quek, Neurocomputing 71 (2008) 3303–3315
15. NATURAL VOLATILITY AND OPTION PRICING – Alexander Carey, January 2008
16. RESPONSE SURFACE METHODOLOGY FOR SIMULATING HEDGING AND TRADING STRATEGIES – R. Evren Baysal, Barry L. Nelson, and Jeremy Staum, Proceedings of the 2008 Winter Simulation Conference
17. PSECMAC: A Novel Self-Organizing Multiresolution Associative Memory Architecture – S. D. Teddy, C. Quek, and E. M.-K. Lai, This paper appears in: Transactions on Neural Networks, IEEE, April 2008, Volume 19, Issue 4, 689-712
18. Pricing Temperature Option by Marginal Utility and Risk Sensibility Analysis – Yoshiyuki Emoto and Tetsuya Misawa, Journal of Real Options and Strategy Vol. 1 (2008) pp.47-67
19. Diseño y Valuación de Bonos Indexados al PIB El Caso Uruguayo – Javier Illanes, 2007
20. Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options – Marc Henrard, January 2007
21. Cause of Stock Return Stochastic Volatility: Query by Way of Stochastic Calculus – Juho Kanniainen, In: Recent advances in stochastic modeling and data analysis, Edited by Christos H. Skiadas, World Scientific, 2007, 18-25
22. A Brain-Inspired Cerebellar Associative Memory Approach to Option Pricing and Arbitrage Trading – S. D. Teddy, E. M-K. Lai, and C. Quek, In: Neural Information Processing, Edited by Irwin King, Jun Wang, Lai-Wan Chan, and DeLiang Wang, Lecture Notes in Computer Science, Springer Berlin / Heidelberg, Volume 4234, 370-379, 2006
23. On random measures, unordered sums and discontinuities of the first kind – Frank Oertel, September 2006
24. TIPS Options in the Jarrow-Yildirim model – Marc Henrard, January 2006
25. Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets – Robert Anderson and Roberto Raimondo, In: Institutions, Equilibria and Efficiency, Edited by Christian Schultz and Karl Vind, Studies in Economic Theory, 2006, Volume 25, 27-48
26. On the Hedging Strategy of a European Option with Discrete Stochastic Dividends – João Amaro de Matos and Ana Lacerda, February 2005
27. INFLATION BOND OPTION PRICING IN JARROW-YILDIRIM MODEL – Marc Henrard, 2005
28. The Valuation of Residential Rental Options – Han-Suck Song, 2005
29. Market clearing and derivative pricing – Robert M. Anderson and Roberto C. Raimondo, Economic Theory 25, 21–34 (2005)
30. Valuation of a Credit Spread Put Option: The Stable Paretian model with Copulas – DSouza, Amir-Atefi, and Racheva-Jotova, In: Handbook of computational and numerical methods in finance, Svetlozar Todorov Rachev, Springer, 2004, 15-70
31. Lawsuit Abandonment Options in Possibly Frivolous Litigation Games – Peter C. Huang, 23 Rev. Litig. 47 (2004)
32. EXISTENCE CONDITIONS OF THE OPTIMAL STOPPING TIME: THE CASES OF GEOMETRIC BROWNIAN MOTION AND ARITHMETIC BROWNIAN MOTION – Hajime Takatsuka, Journal of the Operations Research Society of Japan 2004, Vol. 47, No. 3, 145-162
33. Interest-rate term-structure pricing models: a review – Riccardo Rebonato, Proceedings of the Royal Society of London A, 2004, 460, 667-728
34. Applications and Limitations of Stochastic Processes in Dealing with Fat-Tailed Return Distributions – Jose Carlos Ramirez-Sanchez, Revista de Analisis Economico, Vol. 19, No. 1, 2004
35. DOUBLE OR NOTHING: PATTERNS OF EQUITY FUND HOLDINGS AND TRANSACTIONS – Stephen J. Brown, David R. Gallagher, Onno W. Steenbeek, Peter L. Swan, June 3, 2004
36. A monetary value for initial information in portfolio optimization – Jürgen Amendinger, Dirk Becherer, and Martin Schweizer, Finance and Stochastics Volume 7, Number 1, 2003, 29-46
37. Stetige Modelle in der stochastischen Finanzmathematik – Frank Oertel, 2002
38. PRINCIPLES OF FINANCIAL ECONOMICS – Stephen F. Leroy and Jan Werner, Cambridge University Press 2001
39. Interest rates and information geometry – Dorje C. Brody and Lane P. Hughston, Proceedings of the Royal Society of London A, 2001, 457, 1343-1363
40. Continuous-Time Methods in Finance: A Review and an Assessment – Suresh M. Sundaresan, THE JOURNAL OF FINANCE, VOL. LV, NO. 4, AUGUST 2000
41. Die Black-Scholes-Optionspreisformel – Eine Herleitung mit Hilfe des Prinzips der risikoneutralen Bewertung – Lutz Hahnenstein, Sascha Wilkens, and Klaus Röder, December 2000
42. Option pricing – J. M. Schumacher, Encyclopedia of Mathematics, Springer / The European Mathematical Society
43. Marginal value approach to pricing temperature options and its empirical example on daily temperatures in Nagoya – Yoshiyuki Emoto and Tetsuya Misawa
44. Analytical Pricing of European Inflation Options – Mark Langer
45. The Anatomy of the Ten-Year Floating-Rate Retail JGB: An Approach Based on the FRA Market Model – Koichi Miyazaki

Books

1. Commodity Price Dynamics: A Structural Approach – Craig Pirrong, Cambridge University Press, 2011
2. Fixed Income Securities and Derivatives Handbook: Analysis and Valuation – Moorad Choudhry, John Wiley and Sons, 2010
3. Introduction to Derivatives and Risk Management – Don M. Chance and Robert Brooks, Cengage Learning, 2009
4. Introduzione alla finanza matematica. Derivati, prezzi e coperture – Riccardo Cesari, Springer, 2009
5. Term-Structure Models: A Graduate Course – Damir Filipović, Springer, 2009
6. Tools for Computational Finance – Rüdiger U. Seydel, Springer 2009
7. Multifractal volatility: theory, forecasting, and pricing – Laurent E. Calvet and Adlai Fisher, Academic Press, 2008
8. Market-valuation methods in life and pension insurance – Thomas Møller and Mogens Steffensen, Cambridge University Press, 2007
9. Martingale methods in financial modelling – Marek Musiela and Marek Rutkowski, Springer 2005
10. Credit risk pricing models: theory and practice – Bernd Schmid, Springer, 2004
11. Optimal portfolios with stochastic interest rates and defaultable assets – Holger Kraft, Springer, 2004
12. Volatility and correlation: the perfect hedger and the fox – Riccardo Rebonato, John Wiley & Sons, 2004
13. An introduction to financial option valuation: mathematics, stochastics, and computation – Desmond J. Higham, Cambridge University Press, 2004
14. Credit Derivatives Pricing Models: Model, Pricing and Implementation – Philipp J. Schönbucher, Wiley, 2003
15. Optionspreistheoretische Modellierung des Kreditrisikos von Unternehmensanleihen – Marco Kleweken, 2003
16. Real Options in Law: (Possibly, Frivolous) Litigation and Other Applications – Peter C. Huang, bepress Legal Series, Paper 39, 2003
17. Weak convergence of financial markets – Jean-Luc Prigent, Springer, 2003
18. Derivatives and Internal Models – Hans-Peter Deutch, Palgrave MacMillan, 2002
19. Modern pricing of interest-rate derivatives: the LIBOR market model and beyond – Riccardo Rebonato, Princeton University Press, 2002
20. An introduction to the mathematics of financial derivatives – Salih N. Neftci, Academic Press, 2000