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Title: Pricing multivariate financial derivatives using polynomial approximations
Date: 2021
Author: Zhang, Jingfan
Genre: Honours
Abstract: Since the early days of the theory of option pricing, pioneered by Black, Scholes and Merton ([3] and [11]) the use of complex financial...
Publisher: University of Prince Edward Island
Publication Status: PUBLISHED




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Title: Closed‐form approximated pricing of multivariate derivatives under switching regime models
Source: Applied Stochastic Models in Business and Industry
Date: 2021
Author: Alvarez, Alexander; Assadi, Atousa; Liu, Kai
Genre: Journal Article
Abstract: Markov switching regime models have played an increasingly important role in finance and economics, especially for business cycles and long swings...
DOI: 10.1002/asmb.2635




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Title: Estimation of the instantaneous volatility and detection of volatility jumps
Source: arXiv
Date: 2016
Author: Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; Savy, Nicolas
Genre: Journal Article
Volume: 0812.3538




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Title: Arbitrage and hedging in a non probabilistic framework
Source: Mathematics and Financial Economics
Date: 2013
Author: Alvarez, A.; Ferrando, S.; Olivares, P.
Genre: Journal Article
Volume: 7
Issue: 1
Start Page: 1
DOI: 10.1007/s11579-012-0074-5




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Title: Pricing two dimensional derivatives under stochastic correlation
Source: International Journal of Financial Markets and Derivatives
Date: 2011
Author: Alvarez, Alexander; Escobar, Marcos; Olivares, Pablo
Genre: Journal Article
Volume: 2
Issue: 4
Start Page: 265
DOI: 10.1504/IJFMD.2011.045598




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Title: Multivariate stochastic covariance models and applications to pricing and risk management
Source: Journal of Financial Decision Making
Date: 2010
Author: Olivares, P.; Escobar, M.; Alvarez, A.; Seco, L.
Genre: Journal Article
Volume: 6
Issue: 2




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Title: Methodes d'estimation pour des lois stables avec des applications en finance
Source: Journal de la Société Française de Statistique
Date: 2005
Author: Alvarez, Alexander; Olivares, Pablo
Genre: Journal Article
Volume: 146
Issue: 4
Start Page: 23