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Stevens: Financial Engineering (Topic)

Stevens Institute of Technology - School of Business

Stevens Institute of Technology School of Business

4,766 Total downloads

Viewing: 1 - 21 of 21 papers

1.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Working Paper Series
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 12
2.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Working Paper Series
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 14
3.

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, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019 Last Revised: 20 May 2019
Working Paper Series
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
4.

A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process

Number of pages: 22 Posted: 09 May 2019
Working Paper Series
Natixis Assurances, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 31
5.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of Minnesota - Minneapolis and Stevens Institute of Technology - School of Business
Downloads 22
6.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
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 16
7.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Minnesota - Minneapolis
Downloads 21
8.

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 7
9.
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 21
11.

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 43
12.

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
13.

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 109
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
16.

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 130
17.

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 91
18.

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 57
19.

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 74
20.

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 1,003
21.

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 3,115