Truc LE

Independent

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SCHOLARLY PAPERS

4

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Top 40,268

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1,099

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0

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1

Scholarly Papers (4)

1.

Intrinsic Prices of Risk

Journal of Mathematical Finance Vol.4 (5) 2014, 318--327
Number of pages: 11 Posted: 12 Mar 2014 Last Revised: 05 Dec 2014
Truc LE
Independent
Downloads 554 (50,262)

Abstract:

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Implied volatility, convexity adjustment, primary and parallel markets, incomplete markets, intrinsic risk, risk-neutral measure, risk-subjective measure, fair valuation, delta-hedging.

2.
Downloads 359 (85,136)

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efficient markets; martingale; risk; return; risk-neutral pricing; implied volatility

3.

Risk and Valuation Theory of Markets

Number of pages: 12 Posted: 28 Dec 2014 Last Revised: 22 Feb 2016
Truc LE
Independent
Downloads 151 (200,227)
Citation 1

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risk; uncertainty; contingent claim; intrinsic risk; risk-subjective expectation; efficient markets; put-call parity; valuation theory

4.

Martingale Representation of Bond Price

Number of pages: 4 Posted: 27 Jun 2018 Last Revised: 07 Aug 2018
Truc LE
Independent
Downloads 35 (458,043)

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Martingale Representation, Hull-White short rate model