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Applied Mathematical Finance Volume 3, 1996 - Issue 1
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Original Articles

Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

Marco Avellaneda Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, N.Y., 10012
&
Antonio ParÁS Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, N.Y., 10012
Pages 21-52 | Received 01 Nov 1995, Published online: 28 Jul 2006

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Alexei Filinkov & Robert J. Elliott. (2019) Non-linear expectations in spaces of Colombeau generalized functions. Stochastic Analysis and Applications 37:4, pages 509-521.
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Mustafa Ç. Pınar. (2009) Measures of model uncertainty and calibrated option bounds. Optimization 58:3, pages 335-350.
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JoelM. Vanden. (2006) Exact Superreplication Strategies for a Class of Derivative Assets. Applied Mathematical Finance 13:1, pages 61-87.
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Umberto Cherubini & Giovanni Della Lunga. (2001) Liquidity and credit risk. Applied Mathematical Finance 8:2, pages 79-95.
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K. Ronnie Sircar & George C. Papanicolaou. (1999) Stochastic volatility, smile & asymptotics. Applied Mathematical Finance 6:2, pages 107-145.
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Marco Avellaneda & Robert Buff. (1999) Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options. Applied Mathematical Finance 6:1, pages 1-18.
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Umberto Cherubini. (1997) Fuzzy measures and asset prices: accounting for information ambiguity. Applied Mathematical Finance 4:3, pages 135-149.
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Yingzi Zhu & Marco Avellaneda. (1997) An E-ARCH model for the term structure of implied volatility of FX options. Applied Mathematical Finance 4:2, pages 81-100.
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Marco Avellaneda, Craig Friedman, Richard Holmes & Dominick Samperi. (1997) Calibrating volatility surfaces via relative-entropy minimization. Applied Mathematical Finance 4:1, pages 37-64.
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