Schenk, S.
Optionspreisberechnung via Fast Fourier Transform (Teil 4)
Risiko Manager
2014
23
6-12

Mai, J.-F.; Scherer, M.
Financial Engineering with Copulas Explained
Palgrave Macmillan
2014
168

Steinrücke, L.; Swishchuk, A.; Zagst, R.
The LIBOR Market Model: A Markov-switching Jump Diffusion Extension
85-116
Hidden Markov Models in Finance: Further Developments and Applications
Elliot, R.; Mamon, R.
Springer US
2014

Mai, J.-F.; Scherer, M.
Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals
Topics in Statistical Simulation
Springer
2014

Daveloose, C.; Khedher, A.; Vanmaele, M.
Robustness of quadratic hedging strategies in finance via fourier transforms
submitted paper
2014
-

Bernhart, G.; Mai, J.-F.
A note on the numerical evaluation of the Hartman-Watson density and distribution function
working paper
2014
-

Eberlein, E.; Glau, K.
Variational Solutions of the Pricing PIDE for European Options in Lévy Models
Applied Mathematical Finance
2014
21/5
417-450

Hieber, P.
First-passage times of regime switching models
Statistics and Probability Letters
2014
92
148–157

Hieber, P.
A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process
Methodology and Computing in Applied Probability
2014
16
3
771-776

Di Nunno, G.; Khedher, A.; Vanmaele, M.
Robustness of quadratic hedging strategies via backward stochastic differential equations
accepted for publication in Applied Mathematics and Optimization
2014
-