Matthias Thul

IMC Financial Markets

Strawinskylaan 377, WTC D-tower

Amsterdam, 1077 XX

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

347

CITATIONS

0

Scholarly Papers (3)

1.

Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

26th Australasian Finance and Banking Conference 2013, Swiss Finance Institute Research Paper No. 17-78
Number of pages: 48 Posted: 18 Aug 2013 Last Revised: 12 Feb 2018
Matthias Thul and Ally Zhang
IMC Financial Markets and Department of Finance, Lancaster University Management School
Downloads 227 (124,338)

Abstract:

Loading...

displaced tails, jump-diffusion, option pricing, maximum likelihood estimation

2.

How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates

Quantitative Finance, Vol. 17, No. 9
Number of pages: 49 Posted: 02 Feb 2014 Last Revised: 04 Jan 2018
Ally Zhang and Matthias Thul
Department of Finance, Lancaster University Management School and IMC Financial Markets
Downloads 110 (230,215)

Abstract:

Loading...

leveraged certificates, barrier options, overnight gap, risk management

3.

Jump Size Distributions of Additive Compound Poisson Processes That Are Closed Under the Esscher Transform

Number of pages: 50 Posted: 13 May 2018
Matthias Thul
IMC Financial Markets
Downloads 10 (541,165)

Abstract:

Loading...

Esscher Transform, Additive Processes, Compound Poisson, Jump Size Distribution, Natural Exponential Family