All Stories

  1. Understanding Jensen's alpha: The geometry of risk adjustments

    Article • Decisions in Economics and Finance, December 2023, Springer Science + Business Media

    Hans-Peter Bermin

  2. Understanding the Capital Asset Pricing Model: Kelly trading and market equilibrium

    Article • International Journal of Theoretical and Applied Finance, January 2023, World Scientific Pub Co Pte Lt

    Hans-Peter Bermin

  3. Understanding derivatives: Kelly trading and option pricing

    Article • Journal of Futures Markets, May 2021, Wiley

    Hans-Peter Bermin

  4. ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING

    Article • International Journal of Theoretical and Applied Finance, March 2017, World Scientific Pub Co Pte Lt

    Hans-Peter Bermin

  5. ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS

    Article • International Journal of Theoretical and Applied Finance, July 2014, World Scientific Pub Co Pte Lt

    Hans-Peter Bermin

  6. Bonds and Options in Exponentially Affine Bond Models

    Article • Applied Mathematical Finance, December 2012, Taylor & Francis

    Hans-Peter Bermin

  7. Two Exotic Lookback Options

    Article • Applied Mathematical Finance, July 2008, Taylor & Francis

    Hans-Peter Bermin

  8. Hints for an extension of the early exercise premium formula for American options

    Article • Physica A Statistical Mechanics and its Applications, September 2005, Elsevier

    Hans-Peter Bermin

  9. Welfare effects of controlling labor supply: an application of the stochastic Ramsey model

    Article • Journal of Economic Dynamics and Control, November 2003, Elsevier

    Hans-Peter Bermin

  10. Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach

    Article • Mathematical Finance, January 2003, Wiley

    Hans-Peter Bermin

  11. Local Vega Index and Variance Reduction Methods

    Article • Mathematical Finance, January 2003, Wiley

    Hans-Peter Bermin

  12. A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

    Article • Mathematical Finance, July 2002, Wiley

    Hans-Peter Bermin

  13. Hedging lookback and partial lookback options using Malliavin calculus

    Article • Applied Mathematical Finance, June 2000, Taylor & Francis

    Hans-Peter Bermin

  14. Comment on ‘Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk’

    Article • Review of Finance, December 1999, Oxford University Press (OUP)

    Hans-Peter Bermin