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15 research outputs found
On 'A General Framework for Pricing Asian Options Under Markov Processes'
Author
A Mijatovi�cmijatovi�c
C Bandi
+12 more
Chihoon Lee
D Sesana
H Reynaerts
J Abate
J Vecer
K Shiraya
L C G Rogers
M J Ablowitz
V Linetsky
W T Shaw
Yanchu Liu
Zhenyu Cui
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Volatility Derivatives in Market Models with Jumps
Author
A Mijatovi�cmijatovi�c
Aleksandar Mijatovic
+19 more
C Albanese
C Albanese
D Madan
D Tavella
H Lo
Harry Lo
J
J Hull
J Jacod
N Dunford
P Carr
P Carr
P Carr
P Carr
P Carr
P Glasserman
P Protter
R S Phillips
S N Ethier
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
The Lifetime of a Financial Bubble
Author
A Cox
A Mijatovi�cmijatovi�c
+32 more
A Sommerfeld
C Cox
C Kardaras
D Barber
D Florens-Zmirou
E Bayraktar
E W Stacy
F Biagini
F Delbaen
F Delbaen
J H Lienhard
J Jacod
J Jacod
J Jacod
J Jacod
J Schneikman
L B G Andersen
L Zhang
M Herdegen
M Loewenstein
P E Protter
P L Lions
Philip Protter
R Jarrow
R Jarrow
R Jarrow
R L Prentice
S Agarwal
S Kotani
Shihao Yang
T Hollebeek
Yoshiki Obayashi
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Certainty Equivalence Principle in Stochastic Differential Games: An Inverse Problem Approach
Author
A Melhmann
A Mijatovi�cmijatovi�c
+25 more
A Prasad
B �ksendal
D W K Yeung
E Dockner
F Chang
F H Hahn
G Sorger
H He
H Theil
I Karatzas
J P Rinc�n-Zapatero
J Yong
Juan P Rincon-Zapatero
M Kurz
N Ikeda
N V Long
R Josa-Fombellida
R Josa-Fombellida
Ricardo Josa-Fombellida
S J�rgensen
S J�rgensen
S Tsutsui
T Ba�sarba�sar
W H Fleming
Y Kuwana
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Coherent Foreign Exchange Market Models
Author
A De Col
A Gnoatto
+40 more
A Gnoatto
A Janek
A Lewis
A Lipton
A Lipton
A Mijatovi�cmijatovi�c
A Sepp
A Van Haastrecht
Alessandro Gnoatto
C Chiarella
C Mallo
D Brigo
D Duffie
D Heath
E Eberlein
E Eberlein
E Stein
F Black
F Delbaen
G Bakshi
H Albrecher
H Geman
I Clark
J Baldeaux
J C Hull
J Cox
L S Heston
M B Garman
M Keller-Ressel
M Keller-Ressel
P Carr
P Carr
P Doust
P Doust
R Lee
R Lord
S Del Ba�o Rollin
T Bj�rk
T K Dijkstra
U Wystup
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
Analysis of Markov Chain Approximation for Diffusion Models with Non-Smooth Coefficients
Author
A Mijatovi�cmijatovi�c
A N Borodin
+35 more
B Eriksson
B S Jovanovi�cjovanovi�c
C T Fulton
D H Kim
F Black
F Kreith
G Zhang
G Zhang
Gongqiu Zhang
H Ichiue
J Frankel
J Pai
L Dovgilovich
L Feng
L Li
L Li
L Li
Lingfei Li
M Decamps
N Cai
N Cai
N J Higham
N Krylov
R B Armenta
S Karlin
V Gorovoi
V Linetsky
V Linetsky
V Linetsky
W C Sangren
Y Nie
Y Song
Z Cui
Z Cui
Z Cui
Publication venue
'Elsevier BV'
Publication date
01/01/2019
Field of study
No full text
Crossref
Option Pricing in the Moderate Deviations Regime
Author
A Bentata
A Dembo
+34 more
A Guillin
A Gulisashvili
A L Lewis
A Mijatovi�cmijatovi�c
F Caravenna
F W J Olver
G Brunick
H Berestycki
H Berestycki
H Guennoun
H Pham
I Karatzas
J
J D Deuschel
J Gatheral
J Muhle-Karbe
K Gao
K Yosida
L Paulot
M Forde
M Forde
M Forde
M Keller-Ressel
N H Bingham
P Carr
P Friz
P Henry-Labord�re
P K Friz
Peter K. Friz
S Pagliarani
S R S Varadhan
S. De Marco
V Durrleman
Y Osajima
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
A Refined Measure of Conditional Maximum Drawdown
Author
A Chekhlov
A D Rossello
+37 more
A Mijatovi�cmijatovi�c
A M�ller
B Acciaio
B Acciaio
C Vardar-Acar
D Filipovi�cfilipovi�c
Damiano Rossello
G Bakshi
G C Pflug
H F�llmer
H F�llmer
H Hoffmann
H Zhang
J Boudoukh
J Cvitanic
J Hirz
J Vecer
J Vecer
L Pospisil
L R Goldberg
M A Sordo
M Hoesli
M Leippold
M Magdon-Ismail
M Magdon-Ismail
O Mahmoud
P Carr
P Carr
P Cheridito
P Cheridito
R Stulz
R T Rockafellar
S J Grossman
T Bielecki
V Cherny
W J Traynor
W N Goetzmann
Publication venue
'Elsevier BV'
Publication date
01/01/2019
Field of study
No full text
Crossref
Asymptotic Behaviour of the Fractional Heston Model
Author
A D Polyanin
A Dembo
+42 more
A Gulisashvili
A Jacquier
A Jacquier
A Lewis
A Mijatovi�cmijatovi�c
A Shiryaev
Antoine Jacquier
B Bercu
C W J Granger
D Duffie
D S Bates
F Comte
F Comte
G Bakshi
G L O&apos
Hamza Guennoun
I Karatzas
J
J D Deuschel
J Gatheral
J P Fouque
L C G Rogers
M Forde
M Forde
M Fukasawa
M Jeanblanc
M Keller-Ressel
P Cheridito
P Guasoni
P Henry-Labord�re
P Tankov
Patrick Roome
R Elliott
R Mendes
R Rebonato
R T Baillie
S G Samko
S Heston
S Karlin
T Bjork
V Maric
Y Hu
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref
Pricing Currency Derivatives Under the Benchmark Approach
Author
A Castagna
A De Col
+37 more
A Itkin
A L Lewis
A Mijatovi�cmijatovi�c
D Ahn
D Duffie
E Bayraktar
E Platen
E Platen
E Platen
E Platen
E Platen
E Platen
Eckhard Platen
F Delbaen
G Bakshi
G Bakshi
G G Drimus
H Hulley
I Clark
I Karatzas
I Karatzas
J Da Fonseca
J Da Fonseca
Jan F. Baldeaux
L B G Andersen
L Chan
M Abramowitz
M Christensen
M Loewenstein
Martino Grasselli
P Carr
P Spencer
R Beneder
S Heston
S L Heston
U Wystup
W Feller
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
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