Albanese, Claudio; Mijatović, Aleksandar A stochastic volatility model for risk-reversals in foreign exchange. (English) Zbl 1186.91205 Int. J. Theor. Appl. Finance 12, No. 6, 877-899 (2009). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Forde, Martin; Jacquier, Antoine Small-time asymptotics for implied volatility under the Heston model. (English) Zbl 1203.91290 Int. J. Theor. Appl. Finance 12, No. 6, 861-876 (2009). MSC: 91G20 91G70 60F10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Zakamouline, Valeri The best hedging strategy in the presence of transaction costs. (English) Zbl 1186.91223 Int. J. Theor. Appl. Finance 12, No. 6, 833-860 (2009). MSC: 91G20 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Bodnar, Olha Sequential surveillance of the tangency portfolio weights. (English) Zbl 1180.91253 Int. J. Theor. Appl. Finance 12, No. 6, 797-810 (2009). MSC: 91G10 91G70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Kraft, Holger Optimal portfolios with stochastic short rate: pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded. (English) Zbl 1201.91188 Int. J. Theor. Appl. Finance 12, No. 6, 767-796 (2009). MSC: 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI