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Publications by José Carlos Dias

The Early Exercise Boundary Under the Jump to Default Extended CEV Model

Applied Mathematics and Optimization

Applied Mathematics

English

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Local Volatility Enhanced by a Jump to Default

SIAM Journal on Financial Mathematics

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Non-Myopic Portfolio Choice With Unpredictable Returns: The Jump-To-Default Case

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Momentum and Default Risk. Some Results Using the Jump Component

International Review of Financial Analysis

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Extended Moving Boundary Model for Two-Phase Flows

IFAC Proceedings Volumes

English

Option Pricing Under a Double Exponential Jump Diffusion Model

SSRN Electronic Journal

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The Zimm Model Applied to Extended Single Polymers

Journal of Chemical Physics

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Formal Indistinguishability Extended to the Random Oracle Model

Lecture Notes in Computer Science

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Theoretical Computer Science

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Implied Probabilities of Default From Colombian Money Market Spreads : The Merton Model Under Equity Market Informational Constraints

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Spectral Analysis of Brownian Motion With Jump Boundary

Proceedings of the American Mathematical Society

Applied Mathematics

English