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DateTitle Authors
2008 Forward-start options in the Barndorff-Nielsen-Shephard ModelKeller-Ressel, Martin / Kilin, Fiodar
2004 Cross currency swap valuationBoenkost, Wolfram / Schmidt, Wolfgang M.
2008 On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility ModelGriebsch, Susanne / Wystup, Uwe
2007 Default swaps and hedging credit basketsSchmidt, Wolfgang M.
2003 Notes on convexity and quanto adjustments for interest rates and related optionsBoenkost, Wolfram / Schmidt, Wolfgang M.
2006 Risk preference based option pricing in a fractional Brownian marketRostek, Stefan / Schöbel, Rainer
2005 A note on the correlation smileHager, Svenja / Schöbel, Rainer
2009 Valuing options in Heston's stochastic volatility model: Another analytical approachFrontczak, Robert
2009 On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call optionsFrontczak, Robert / Schöbel, Rainer
2008 Pricing American options with Mellin transformsFrontczak, Robert / Schöbel, Rainer

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