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4201.
Simultaneous Multi-Parameter Choice with Applications in Inverse Option Pricing. by
  • Hofmann, Christopher
  • Hofmann, Bernd
  • Pichler, Alois
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4202.
Vanishing Contagion Spreads. by
  • Duarte, Diogo
  • Prieto , Rodolfo
  • Rindisbacher, Marcel
  • Saporito, Yuri
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4203.
Can We Save The Recovery Theorem?/ Eben Maré. by
  • Maré, Eben
  • Flint, Emlyn
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4204.
Pricing Path-dependent Derivative Securities: A New Approach. by
  • Otazú, Juan B. R
  • Baczynski, Jack
  • Vicente, José V. M
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4205.
Behavioral Finance and its Applications. by
  • Dupire, Julia
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4206.
Quant Factor investing in Emerging Markets: the magnified problem of crowding and the case for a Long Volatility Overlay strategy. by
  • Parlamento, Luca
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4207.
Empirics on CPPI Design Risk. by
  • Gaspar, Raquel M
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4208.
Uncertainty Quantification for XVA Applications. by
  • Crépey, Stéphane
  • Gobet, Emmanuel
  • Fort, Gersende
  • Stazhynski, Uladzislau
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4209.
Regime switching market evolution and calibration, relations to polymodels. by
  • Douady, R
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4210.
Multiple curve Levy forward price model allowing for negative interest rates. by
  • Eberlein, Ernst
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4211.
On Fairness of Systemic Risk Measures. by
  • Fouque, Jean-Pierre
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4212.
Diamonds and the rough Heston model. by
  • Gatheral, Jim
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4213.
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough). by
  • Grasselli, Martino
  • Callegaro, Giorgia
  • Pagès, Gilles
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4214.
Climate Change, Finance, and Macroeconomics. by
  • Grasselli, Matheus
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4215.
On the Joint Calibration of SPX and VIX Options. by
  • Guyon, Julien
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4216.
Mean Field Games with Differing Beliefs for Algorithmic Trading. by
  • Jaimungal, Sebastian
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4217.
Robust Pricing and Hedging in Practice. by
  • Obloj, Jan
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4218.
Double auctions in welfare economics. by
  • Pennanen, Teemu
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4219.
Implications of International Trade Agreements. by
  • Pinto, Alberto Adrego
  • Zubelli, Jorge P
  • Martins, Filipe
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4220.
On Dupire’s Ito functional calculus. by
  • Saporito, Yuri
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

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