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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