Contemporary Quantitative Finance
Essays in Honour of Eckhard Platen
Page
%P
6 Result(s)
within
Carl Chiarella
Mathematics
-
Chapter and Conference Paper
The Evaluation of Gas Swing Contracts with Regime Switching
A typical gas swing contract is an agreement between a supplier and a purchaser for the delivery of variable daily quantities of gas, between specified minimum and maximum daily limits, over a certain period a...
-
Book
-
Chapter and Conference Paper
Financial Fragility and Interacting Units: an Exercise
This paper assumes that financial fluctuations are the result of the dynamic interaction between liquidity and solvency conditions of individual financial units. The framework is designed as a heterogeneous ag...
-
Chapter
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston’s stochastic volatility model in (Heston, Rev. Financ. Stud. 6:...
-
Chapter
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags
The dynamic behavior of the output in nonlinear oligopolies is examined when the equilibrium is locally unstable. Continuously distributed time lags are assumed in obtaining information about rivals’ output as...
-
Article
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear or...
