Options, Futures, and Other Derivatives

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Martingales versus PDEs in finance: an equivalence result with examples (2000, methodology): “Like Heston (1993), we moreover choose P such that the market price of volatility risk is (λ/σ) √ v, for some constant λ. Note that, in contrast to Heston (1993), here we use the standard definition of market price of risk as in Hull (1997) or Ingersoll (1987).”
Risks and Portfolio Decisions Involving Hedge Funds (2004, background): “Hull (2000, p. 342) reports a number of financial institutions, corporate treasurers, and fund managers use VaR.”
The usefulness of inaccurate models: Towards an understanding of the emergence of financial risk management (2009, background): “and Kalthoff et al. (2000). Other noteworthy contributions include Abolafia”
A Systematic Method to Model Power Systems as Stochastic Differential Algebraic Equations (2013, background): “SDEs are widely applied in finance to model stochastic fluctuations of stock prices and other financial assets [7], [8], and in several fields of science and engineering to study physical systems affected by different stochastic phenomena [9]–[12].”
Pricing American Options Using LU Decomposition (2007, methodology): “Furthermore, several option models and solution techniques are studied in the books [ 17 ], [28], [29], [31], and references therein.”