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The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Applied Mathematics and Physics
Vol.2 No.7
,June 13, 2014
DOI:
10.4236/jamp.2014.27062
5,104
Downloads
6,982
Views
Citations
Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Open Journal of Applied Sciences
Vol.3 No.6
,October 16, 2013
DOI:
10.4236/ojapps.2013.36045
3,603
Downloads
6,078
Views
Citations
Continued Fractions and Dynamics
(Articles)
Stefano Isola
Applied Mathematics
Vol.5 No.7
,April 15, 2014
DOI:
10.4236/am.2014.57101
5,834
Downloads
7,918
Views
Citations
This article belongs to the Special Issue on
Continued Fractions and Geometric Function Theory
Strongly Balanced 4-Kite Designs Nested into OQ-Systems
(Articles)
Mario Gionfriddo
,
Lorenzo Milazzo
,
Rosaria Rota
Applied Mathematics
Vol.4 No.4
,April 30, 2013
DOI:
10.4236/am.2013.44097
4,397
Downloads
6,485
Views
Citations
Some Explicit Formulae for the Hull and White Stochastic Volatility Model
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
,March 13, 2013
DOI:
10.4236/ijmnta.2013.21003
6,651
Downloads
11,442
Views
Citations
The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Open Journal of Applied Sciences
Vol.4 No.2
,February 20, 2014
DOI:
10.4236/ojapps.2014.42004
7,128
Downloads
10,438
Views
Citations
A Trading Execution Model Based on Mean Field Games and Optimal Control
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Applied Mathematics
Vol.5 No.19
,November 10, 2014
DOI:
10.4236/am.2014.519294
4,502
Downloads
5,841
Views
Citations
The Barone-Adesi Whaley Formula to Price American Options Revisited
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Applied Mathematics
Vol.6 No.2
,February 13, 2015
DOI:
10.4236/am.2015.62036
7,996
Downloads
12,955
Views
Citations
The Analysis of Real Data Using a Stochastic Dynamical System Able to Model Spiky Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Mathematical Finance
Vol.2 No.1
,February 28, 2012
DOI:
10.4236/jmf.2012.21001
5,245
Downloads
9,127
Views
Citations
The Factorizational Theory of Finite Asymptotic Expansions in the Real Domain: A Survey of the Main Results
(Articles)
Antonio Granata
Advances in Pure Mathematics
Vol.5 No.1
,January 12, 2015
DOI:
10.4236/apm.2015.51001
3,520
Downloads
4,146
Views
Citations
This article belongs to the Special Issue on
Asymptotic Methods
The Lagrangian Method for a Basic Bicycle
(Articles)
F. Talamucci
Journal of Applied Mathematics and Physics
Vol.2 No.4
,March 21, 2014
DOI:
10.4236/jamp.2014.24007
7,290
Downloads
10,609
Views
Citations
Consonance of Complex Tones with Harmonics of Different Intensity
(Articles)
Antonio Bernini
,
Federico Talamucci
Open Journal of Acoustics
Vol.4 No.2
,June 10, 2014
DOI:
10.4236/oja.2014.42008
4,102
Downloads
5,706
Views
Citations
Motion of Nonholonomous Rheonomous Systems in the Lagrangian Formalism
(Articles)
F. Talamucci
Journal of Applied Mathematics and Physics
Vol.3 No.3
,March 23, 2015
DOI:
10.4236/jamp.2015.33043
5,777
Downloads
6,666
Views
Citations
Nikodým-Type Theorems for Lattice Group-Valued Measures with Respect to Filter Convergence
(Articles)
Antonio Boccuto
,
Xenofon Dimitriou
Advances in Pure Mathematics
Vol.4 No.5
,May 16, 2014
DOI:
10.4236/apm.2014.45028
3,663
Downloads
5,027
Views
Citations
This article belongs to the Special Issue on
Measure Theory
Stochastic Maximum Principle for Optimal Advertising Models with Delay and Non-Convex Control Spaces
(Articles)
Giuseppina Guatteri
,
Federica Masiero
Advances in Pure Mathematics
Vol.14 No.6
,June 18, 2024
DOI:
10.4236/apm.2024.146025
4
Downloads
55
Views
Citations
Model of Multi-Source Nanonetworks for the Detection of BRCA1 DNA Alterations Based on LSPR Phenomenon
(Articles)
Renato Iovine
,
Valeria Loscrí
,
Sara Pizzi
,
Richard Tarparelli
,
Anna Maria Vegni
Advances in Nanoparticles
Vol.2 No.4
,October 22, 2013
DOI:
10.4236/anp.2013.24041
3,850
Downloads
6,894
Views
Citations
Practical Stabilization for Uncertain Pseudo-Linear and Pseudo-Quadratic MIMO Systems
(Articles)
Laura Celentano
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
,March 21, 2013
DOI:
10.4236/ijmnta.2013.21004
5,759
Downloads
8,324
Views
Citations
Hardware/Compiler Memory Protection in Sensor Nodes
(Articles)
Lanfranco LOPRIORE
Int'l J. of Communications, Network and System Sciences
Vol.1 No.3
,October 9, 2008
DOI:
10.4236/ijcns.2008.13028
6,213
Downloads
10,194
Views
Citations
Cubic Spline Approximation for Weakly Singular Integral Models
(Articles)
Franca Caliò
,
Elena Marchetti
Applied Mathematics
Vol.4 No.11
,November 5, 2013
DOI:
10.4236/am.2013.411211
3,550
Downloads
5,336
Views
Citations
Chronology of Jesus’ and John the Baptist’ Births, and Jesus’ Epiphany and Death in Maria Valtorta’s Writings
(Articles)
Liberato De Caro
,
Fernando La Greca
,
Emilio Matricciani
Open Journal of Social Sciences
Vol.11 No.1
,January 20, 2023
DOI:
10.4236/jss.2023.111015
137
Downloads
1,736
Views
Citations
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