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Kannan, Shiam [Author] ; Alfeus, Mesias [Other]

Spread Option Pricing on Single-Core and Parallel Computing Architectures

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[S.l.]: SSRN, [2019]
Alfeus, Mesias [Author] ; He, Xin-Jiang [Other]; Zhu, Song-Ping [Other]

An Empirical Study of the Option Pricing Formula with the Underlying Banned from Short Sell

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https://ssrn.com/abstract=3478355

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[S.l.]: SSRN, [2019]
Alfeus, Mesias [Author] ; Sklibosios Nikitopoulos, Christina [Other]

Forecasting Commodity Markets Volatility : HAR or Rough?

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[S.l.]: SSRN, [2020]
Alfeus, Mesias [Author] ; He, Xin-Jiang [Other]; Zhu, Song-Ping [Other]

Regularization Effect on Model Calibration

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[S.l.]: SSRN, [2020]
Alfeus, Mesias [Author] ; Grasselli, Martino [Other]; Schlögl, Erik [Other]

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

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[S.l.]: SSRN, [2018]

Published in: FIRN Research Paper
Alfeus, Mesias [Author] ; Schlögl, Erik [Other]

On Numerical Methods for Spread Options

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https://ssrn.com/abstract=3099902

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[S.l.]: SSRN, [2018]

Published in: FIRN Research Paper
Alfeus, Mesias [Author] ; Overbeck, Ludger [Other]

Regime Switching Rough Heston Model

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https://ssrn.com/abstract=3086467

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[S.l.]: SSRN, [2018]
Alfeus, Mesias [Author]; Collins, James [Author]

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

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https://jfin-swufe.springeropen.com/counter/pdf/10.1186/s40854-022-00440-8.pdf

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2023

Published in: Financial innovation ; 9(2023), 1, Artikel-ID 54, Seite 1-19
Alfeus, Mesias [Author]; Collins, James [Author]

An Application of Financial Mathematics, Using Real Option Analysis, on Coal Production and Logistics

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[S.l.]: SSRN, [2022]
Alfeus, Mesias [Author]; Kannan, Shiam [Author]

Pricing Exotic Derivatives for Cryptocurrency Assets - A Monte Carlo Perspective

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https://ssrn.com/abstract=3862655

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[S.l.]: SSRN, [2021]
Alfeus, Mesias [Author]; Overbeck, Ludger [Author]

On numerical methods for spread options

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https://www.uts.edu.au/sites/default/files/article/downloads/rp388.pdf

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Sydney: Quantitative Finance Research Centre, University of Technology Sydney, [2018]

Published in: Quantitative Finance Research Centre: Research paper / Quantitative Finance Research Centre, University of Technology Sydney ; 388
Alfeus, Mesias [Author]; Overbeck, Ludger [Author]

Regime switching rough Heston model

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Sydney: Quantitative Finance Research Centre, University of Technology Sydney, [2018]

Published in: Quantitative Finance Research Centre: Research paper / Quantitative Finance Research Centre, University of Technology Sydney ; 387
Alfeus, Mesias [Author]; Sklibosios Nikitopoulos, Christina [Author]; Overbeck, Ludger [Author]

Dynamic Roughness in the Term Structure of Oil Markets Volatility

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[S.l.]: SSRN, 2023
Alfeus, Mesias [Author]; Kirsty, Fitzhenry [Author]; Lederer, Alessia [Author]

Stochastic Default Risk Estimation : Evidence from the South African Financial Market

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https://ssrn.com/abstract=4011771

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[S.l.]: SSRN, [2022]
Alfeus, Mesias [Author]; Grasselli, Martino [Author]; Schlögl, Erik [Author]

A consistent stochastic model of the term structure of interest rates for multiple tenors

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Sydney: Quantitative Finance Research Centre, University of Technology Sydney, [2017]

Published in: Quantitative Finance Research Centre: Research paper / Quantitative Finance Research Centre, University of Technology Sydney ; 384
Alfeus, Mesias [Author]; He, Xin-Jiang [Author]; Zhu, Song-Ping [Author]

An empirical analysis of option pricing with short sell bans

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https://www.worldscientific.com/doi/pdf/10.1142/S0219024922500121?download=true

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2022

Published in: International journal of theoretical and applied finance ; 25(2022), 3 vom: Mai, Artikel-ID 2250012, Seite 1-26
Alfeus, Mesias

Navigating the JIBAR transition: Progress, impacts, readiness, and analytical insights

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Academy of Science of South Africa, 2024

Published in: South African Journal of Science
Alfeus, Mesias; Collins, James

An Application of Financial Mathematics, Using Real Option Analysis, on Coal Production and Logistics

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Elsevier BV, 2022

Published in: SSRN Electronic Journal
Alfeus, Mesias; Collins, James

An Application of Financial Mathematics, using Real Option Analysis, on Coal Production and Logistics

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Elsevier BV, 2022

Published in: SSRN Electronic Journal
Alfeus, Mesias; Collins, James

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

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Springer Science and Business Media LLC, 2023

Published in: Financial Innovation

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