Research > Publications > >List of additional publications
Additional Publications
2008
- Muzzioli S. and Reynaerts H.: "American option pricing with imprecise risk-neutral probabilities", International Journal of Approximate Reasoning, 49(1), 2008, 140-147 (published online August 2008)
2007
- Muzzioli S. and Reynaerts H.: "Option Pricing in the Presence of Uncertainty", in: Perception Based Data Mining and Decision Making in Economics and Finance, Batyrshin I., Kacprzyk J., Sheremetov L. and Zadeh L.A. (Eds.), Perception-based Data Mining and Decision Making in Economics and Finance, Series: Studies in Computational Intelligence, Vol. 36, Springer-Verlag (2007) (ISBN: 3-540-36244-4).
- Muzzioli S. and Reynaerts H.: "The solution of fuzzy linear systems by non linear programming: a financial application". European Journal of Operational Research, 177(2), 2007, 1218-1231 (online since Nov 2006)
- Muzzioli S. and Reynaerts H.: "Solving parametric fuzzy systems of linear equations by a nonlinear programming method". Computational Economics, 29(2), 2007, 107-117 (online since Jan 2007)
2006
- Muzzioli S. and Reynaerts H.: "Fuzzy binary tree model for European options", in: Progress in Industrial Mathematics at ECMI 2004, A.Di Bucchianico, R.M.M. Mattheij, M.A. Peletier (Eds.) Springer, Heidelberg, 2006, 437-441.
- Muzzioli S. and Reynaerts H.: "Fuzzy linear systems of the form A 11 = A2x+b2". Fuzzy sets and systems, 157(7), 2006, 939-951.
2005
- Brigo D., Liinev J.: "On the distributional difference between the lognormal Libor and the Swap market models". Quantitative Finance, vol 5/5, 2005, 433-442 (pdf)
2004
- Liinev J. and Eberlein E. "Forward swap market models with jumps".Handelingen Contactforum 2nd Actuarial and Financial Mathematics Day, 6 February 2004, Vanmaele, M. et al. (Eds.), Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, 2004, 83-94
Technical Reports
Center for Statistics, UGent (ugent.be/statistics)
- 2005/4 S. Muzzioli, H. Reynaerts
Fuzzy up and down probabilities
in a financial problem
- 2003/2 H. Reynaerts, M. Vanmaele, J. Dhaene, G. Deelstra
Bounds for the price of a
European-style Asian option in a binary tree model
- 2003/1 H. Reynaerts, M. Vanmaele
A sensitivity analysis for the
pricing of European call options in a binary tree model
- 2002/2 G. Deelstra, J. Liinev, M. Vanmaele
Bounds for the price of
arithmetic basket and Asian basket options
- 2002/1 M. Vanmaele, G. Deelstra, J. Liinev, J. Dhaene, M.J.
Goovaerts
Bounds for the price of
discretely sampled arithmetic Asian Options
Fuzzy up and down probabilities in a financial problem
Bounds for the price of a European-style Asian option in a binary tree model
A sensitivity analysis for the pricing of European call options in a binary tree model
Bounds for the price of arithmetic basket and Asian basket options
Bounds for the price of discretely sampled arithmetic Asian Options
