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Stevens: Financial Engineering (Topic)

Stevens Institute of Technology - School of Business

Stevens Institute of Technology School of Business

4,615 Total downloads

Viewing: 1 - 15 of 15 papers

1.

Exotics and Electrons: Electric Power Crises and Financial Risk Management

Journal of Business, Forthcoming
Number of pages: 56 Posted: 15 Jan 2002 Last Revised: 26 Mar 2018
Accepted Paper Series
Stevens Institute of Technology and University of Oxford - Said Business School
Downloads 3,107
2.

Rare Events Analysis of High-Frequency Equity Data

Wilmott Journal, pp. 74-81, 2011, Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 29 Feb 2012 Last Revised: 15 Oct 2018
Accepted Paper Series
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 973
3.

Stochastic Volatility: Option Pricing Using a Multinomial Recombining Tree

Applied Mathematical Finance, Vol. 15, No. 2, 2008
Number of pages: 38 Posted: 26 May 2012 Last Revised: 23 Mar 2018
Accepted Paper Series
Stevens Institute of Technology and Purdue University
Downloads 115
4.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Working Paper Series
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 100
5.

Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data

Physica A, 389(8), April 2010, pp 1653-1664
Number of pages: 12 Posted: 26 May 2012 Last Revised: 23 Mar 2018
Accepted Paper Series
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University
Downloads 76
6.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 18 May 2017 Last Revised: 18 Apr 2018
Working Paper Series
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 76
7.

Construction of Volatility Indices Using a Multinomial Tree Approximation Method

HANDBOOK OF MODELING HIGH-FREQUENCY DATA IN FINANCE, Frederi G. Viens, Maria C. Mariani and Ionut Florescu, eds., December 2011
Number of pages: 24 Posted: 04 Mar 2012 Last Revised: 19 Jun 2018
Accepted Paper Series
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 73
8.

A Study About the Existence of the Leverage Effect in Stochastic Volatility Models

Physica A, 388(4), Feb. 2009, 419-432
Number of pages: 25 Posted: 26 May 2012 Last Revised: 23 Mar 2018
Accepted Paper Series
Stevens Institute of Technology and Barclays Investment Bank
Downloads 52
9.

A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures

"A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures", M. Kong, A. Salighehdar and D. Bozdog, Journal of Management Science and Business Intelligence (JMSBI), Vol. 3, No. 1, July 2018, Stevens Institute of Technology School of Business Research Paper
Number of pages: 9 Posted: 02 Jul 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 28
10.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of mathematics
Downloads 11
11.

An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution

Stevens Institute of Technology School of Business Research Paper
Number of pages: 35 Posted: 06 Nov 2018
Working Paper Series
Stevens Institute of Technology and Stevens Institute of Technology
Downloads 4
12.
13.

Cluster Analysis of Liquidity Measures in a Stock Market Using High Frequency Data

Stevens Institute of Technology School of Business Research Paper
Posted: 26 Oct 2017 Last Revised: 23 Mar 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology
14.

Solutions to Integro-Differential Parabolic Problems Arising in the Pricing of Financial Options in a Levy Market

Electronic Journal of Differential Equations, Vol. 2010 (2010), No. 62, pp. 1-10
Posted: 06 Jan 2016 Last Revised: 23 Mar 2018
Accepted Paper Series
Stevens Institute of Technology and University of Texas at El Paso
15.

Study of Memory Effects in International Market Indices

M.C. Mariani, I. Florescu, M.P. Beccar Varela, E. Ncheuguim, Study of memory effects in international market indices, Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 8, 15 April 2010, Pages 1653-1664, ISSN 0378-4371
Posted: 06 Jan 2016 Last Revised: 23 Mar 2018
Accepted Paper Series
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University