| 中文标题 | 作者 | 论文ID | 分类简称 | 发布时间 |
|---|---|---|---|---|
| 黑斯顿模型中隐含波动率的渐近公式 | Martin Forde, Antoine Jacquier and Aleksandar Mijatovic | 0911.2992 | q-fin.PR | 2015-05-14 |
| 使用对数学生t分布定价欧式期权：Gosset公式 | Daniel T. Cassidy (McMaster University, Department of Engineering Physics, Hamilton, ON, Canada), Michael J. Hamp (Scotiabank, Toronto, ON, Canada), and Rachid Ouyed (Department of Physics&Astronomy, University of Calgary, Calgary, AB, Canada and Origins Institute, McMaster University, Hamilton, ON, Canada) | 0906.4092 | q-fin.PR | 2015-05-13 |
| ESO估值中的岗位终止风险和股价跳跃 | Tim Leung and Haohua Wan | 1504.08073 | q-fin.PR | 2015-05-01 |
| 随机时间向前起始期权 | Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti | 1504.03552 | q-fin.PR | 2015-04-15 |
| 通过切线莱维模型模拟隐含波动率曲面 | Rene Carmona, Yi Ma, Sergey Nadtochiy | 1504.00334 | q-fin.PR | 2015-04-02 |
| 多笑：多Heston模型中的外汇联合校准 | Alvise De Col (1), Alessandro Gnoatto (4) and Martino Grasselli (2,3) ((1) UBS AG, (2) Universit`a degli Studi di Padova - Dipartimento di Matematica, (3) D''epartement Math''ematiques et Ing''enierie Financi`ere, ESILV, Paris La D''efense (France), (4) Mathematisches Institut, LMU M"unchen (Germany)) | 1201.1782 | q-fin.PR | 2015-03-20 |
| 提现保证的稳健对冲（扩展版） | Andreas Kunz | 1202.0175 | q-fin.PR | 2015-03-20 |
| 仿射通胀市场模型 | Stefan Waldenberger | 1503.04979 | q-fin.PR | 2015-03-18 |
| 股票价格相关阈值条件下的认股权证定价 | Ander Olvik and Raul Kangro | 1503.05139 | q-fin.PR | 2015-03-18 |
| 金融和保险的信息模型 | Edward Hoyle | 1010.0829 | q-fin.PR | 2015-03-17 |
| 用Duru-Kleinert时间变换的路径积分方法定价定时期权 | Ling Zhi Liang and Damiaan Lemmens and Jacques Tempere | 1101.3713 | q-fin.PR | 2015-03-17 |
| 量化方法对交易对手信用暴露估计的应用 | M. Bonollo, L. Di Persio, I. Oliva, A. Semmoloni | 1503.01754 | q-fin.PR | 2015-03-06 |
| 由实值仿射过程驱动的仿射LIBOR模型 | Stefan Waldenberger and Wolfgang M"uller | 1503.00864 | q-fin.PR | 2015-03-04 |
| 从塞缪尔森波动效应到塞缪尔森相关效应：原油期货日历价差期权的证据 | Lorenz Schneider and Bertrand Tavin | 1401.7913 | q-fin.PR | 2015-02-23 |
| 欧洲浮动执行价二项模型下的回望期权收敛 | Fabien Heuwelyckx | 1302.2312 | q-fin.PR | 2015-02-10 |
| 资产和波动率衍生品的定价：使用解耦时间变化的Lévy过程 | Lorenzo Torricelli | 1210.5479 | q-fin.PR | 2015-02-03 |
| 计价具有交易对手风险和抵押品化的衍生品：一个固定点方法 | Jinbeom Kim, Tim Leung | 1501.06221 | q-fin.PR | 2015-01-27 |
| 无模型期权定价的新方法 | Raphael Hauser and Sergey Shahverdyan | 1501.03701 | q-fin.PR | 2015-01-16 |
| 长期波动率互换的精确定价和对冲公式在$3/2$波动率模型下 | Leunglung Chan and Eckhard Platen | 1007.2968 | q-fin.PR | 2014-11-04 |
| 可变年金保证最低提款利益的优化提款策略下的快速定价数值方法 | Xiaolin Luo and Pavel Shevchenko | 1410.8609 | q-fin.PR | 2014-11-03 |
| KVA：资本估值调整 | Andrew Green and Chris Kenyon | 1405.0515 | q-fin.PR | 2014-10-27 |
| 关于模型不确定性下资产定价基本定理的注记 | Erhan Bayraktar, Yuchong Zhang, Zhou Zhou | 1309.2728 | q-fin.PR | 2014-09-30 |
| 可取消欧式期权的定价公式 | Hsuan-Ku Liu | 1304.5962 | q-fin.PR | 2014-09-26 |
| 无套利多元混合动力模型：一致的单资产和指数波动率微笑曲线 | Damiano Brigo, Francesco Rapisarda, Abir Sridi | 1302.7010 | q-fin.PR | 2014-09-24 |
| 资金价值调整与不完全市场 | Lorenzo Cornalba | 1409.6093 | q-fin.PR | 2014-09-23 |