Journal Article |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |

A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
141 |

A new technique for calibrating stochastic volatility models: the Malliavin gradient method |
0 |
0 |
0 |
191 |
0 |
0 |
0 |
397 |

A note on the Malliavin derivative operator under change of variable |
1 |
1 |
1 |
32 |
1 |
1 |
1 |
86 |

A stochastic differential Fishery game for a two species fish population with ecological interaction |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
127 |

An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
23 |

Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
20 |

Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide |
0 |
1 |
1 |
15 |
0 |
2 |
2 |
61 |

Asian and Australian options: A common perspective |
0 |
0 |
1 |
11 |
0 |
0 |
2 |
52 |

Asymptotic Solutions for Australian Options with Low Volatility |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
25 |

Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
68 |

Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk |
0 |
0 |
2 |
11 |
0 |
0 |
3 |
49 |

Hedging longevity risk in defined contribution pension schemes |
0 |
0 |
1 |
1 |
1 |
1 |
10 |
12 |

IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS |
0 |
0 |
0 |
4 |
1 |
1 |
1 |
14 |

Irreversible investment with Cox-Ingersoll-Ross type mean reversion |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
100 |

Local volatility in the Heston model: a Malliavin calculus approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |

MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY |
0 |
0 |
1 |
7 |
0 |
0 |
3 |
25 |

Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
77 |

OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
8 |

On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
54 |

On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
15 |

On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures |
1 |
1 |
1 |
12 |
1 |
1 |
1 |
36 |

On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities |
0 |
1 |
2 |
5 |
0 |
1 |
3 |
31 |

On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter |
0 |
2 |
5 |
16 |
0 |
2 |
10 |
53 |

On the effects of changing mortality patterns on investment, labour and consumption under uncertainty |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
31 |

On the investment–uncertainty relationship in a real option model with stochastic volatility |
0 |
0 |
0 |
14 |
0 |
1 |
1 |
52 |

On the non-equilibrium density of geometric mean reversion |
0 |
0 |
0 |
22 |
1 |
1 |
1 |
86 |

On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
14 |

On the qualitative effect of volatility and duration on prices of Asian options |
0 |
0 |
1 |
20 |
0 |
0 |
3 |
91 |

Optimal contracts for central bankers: Calls on inflation |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
16 |

Optimal investment for a pension fund under inflation risk |
1 |
1 |
4 |
22 |
1 |
2 |
5 |
59 |

Pricing Asian options with stochastic convenience yield and jumps |
0 |
0 |
3 |
4 |
1 |
3 |
8 |
9 |

Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
21 |

Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil |
1 |
3 |
7 |
10 |
1 |
4 |
16 |
25 |

Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method |
0 |
0 |
0 |
12 |
0 |
1 |
6 |
67 |

Privatization of businesses and flexible investment: a real option approach |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
50 |

Real options, risk aversion and markets: A corporate finance perspective |
0 |
1 |
1 |
9 |
0 |
1 |
5 |
26 |

Riding the Nordic German Power-Spread: The Einar Aas Experiment |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |

Risk minimization in stochastic volatility models: model risk and empirical performance |
1 |
1 |
3 |
30 |
1 |
1 |
4 |
152 |

Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

Special Issue of on ‘Commodity Markets’ |
0 |
0 |
1 |
2 |
0 |
0 |
2 |
7 |

Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
16 |

The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model |
1 |
1 |
1 |
3 |
1 |
1 |
1 |
18 |

Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? |
1 |
4 |
7 |
12 |
2 |
8 |
27 |
60 |

Trading time seasonality in electricity futures |
0 |
2 |
5 |
6 |
0 |
2 |
7 |
8 |

Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
29 |

Total Journal Articles |
7 |
19 |
52 |
650 |
12 |
35 |
139 |
2,324 |