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~subject:"Volatilität"
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Search: "Decisions in economics and finance : DEF"
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Decisions in economics and finance : DEF ; a journal of applied mathematics
30
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ECONIS (ZBW)
30
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1
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
2
Small sample properties of ML estimator in Vasicek and CIR models : a simulation experiment
Albano, Giuseppina
;
Rocca, Michele la
;
Perna, Cira
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 5-19
Persistent link: https://www.econbiz.de/10012065150
Saved in:
3
Does market attention affect Bitcoin returns and volatility?
Figà-Talamanca, Gianna
;
Patacca, Marco
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 135-155
Persistent link: https://www.econbiz.de/10012065182
Saved in:
4
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
5
Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
Saved in:
6
From volatility smiles to the volatility of volatility
Dumas, Bernard
;
Luciano, Elisa
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 387-406
Persistent link: https://www.econbiz.de/10012127226
Saved in:
7
Estimating stochastic volatility : the rough side to equityreturns
Haynes, Jonathan
;
Schmitt, Daniel
;
Grimm, Lukas
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 449-469
Persistent link: https://www.econbiz.de/10012127236
Saved in:
8
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
9
On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo
;
Germani, Alfredo
;
Papi, Marco
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 503-525
Persistent link: https://www.econbiz.de/10012127257
Saved in:
10
Moment explosions in the rough Heston model
Gerhold, Stefan
;
Gerstenecker, Christoph
;
Pinter, Arpad
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 575-608
Persistent link: https://www.econbiz.de/10012127280
Saved in:
11
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
Saved in:
12
A realized volatility approach to option pricing with continuous and jump variance components
Alitab, Dario
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 639-664
Persistent link: https://www.econbiz.de/10012127296
Saved in:
13
Robust calibration and arbitrage-free interpolation of SSVI slices
Corbetta, Jacopo
;
Cohort, Pierre
;
Laachir, Ismail
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 665-677
Persistent link: https://www.econbiz.de/10012127308
Saved in:
14
Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
Saved in:
15
Semi-analytical prices for lookback and barrier options under the Heston model
De Gennaro Aquino, Luca
;
Bernard, Carole
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 715-741
Persistent link: https://www.econbiz.de/10012127317
Saved in:
16
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
17
Special issue quantitative developments in financial volatility : theory and practice
Alòs, Elisa
(
ed.
);
Mancino, Maria Elvira
(
ed.
); …
-
2019
Persistent link: https://www.econbiz.de/10012127325
Saved in:
18
Weighted average price in the Heston stochastic volatility model
Papi, Marco
;
Pontecorvi, Luca
;
Donatucci, Cristina
- In:
Decisions in economics and finance : DEF ; a journal of …
40
(
2017
)
1/2
,
pp. 351-373
Persistent link: https://www.econbiz.de/10011997757
Saved in:
19
Estimation of the regression slope by means of Gini's cograduation index
Cifarelli, D. Michele
- In:
Decisions in economics and finance : DEF ; a journal of …
39
(
2016
)
2
,
pp. 113-142
Persistent link: https://www.econbiz.de/10011642412
Saved in:
20
Isometric operators on Hilbert spaces and Wold decomposition of stationary times series
Severino, Federico
- In:
Decisions in economics and finance : DEF ; a journal of …
39
(
2016
)
2
,
pp. 203-234
Persistent link: https://www.econbiz.de/10011642454
Saved in:
21
Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes
Matilla-García, Mariano
;
Ruiz Marín, Manuel
;
Dore, …
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
1
,
pp. 181-193
Persistent link: https://www.econbiz.de/10010340239
Saved in:
22
An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.
;
Sanfelici, Simona
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 393-412
Persistent link: https://www.econbiz.de/10010412432
Saved in:
23
Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
Barbachan, José Santiago Fajardo
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 319-327
Persistent link: https://www.econbiz.de/10010412452
Saved in:
24
Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
Triacca, Umberto
;
Focker, Fulvia
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 235-254
Persistent link: https://www.econbiz.de/10010412496
Saved in:
25
Robustness for path-dependent volatility models
Rosestolato, Mauro
;
Vargiolu, Tiziano
;
Villani, Giovanna
- In:
Decisions in economics and finance : DEF ; a journal of …
36
(
2013
)
2
,
pp. 137-167
Persistent link: https://www.econbiz.de/10010195617
Saved in:
26
Pricing VIX options with stochastic volatility and random jumps
Lian, Guang-hua
;
Zhu, Song-ping
- In:
Decisions in economics and finance : DEF ; a journal of …
36
(
2013
)
1
,
pp. 71-88
Persistent link: https://www.econbiz.de/10009729063
Saved in:
27
Path dependent volatility
Foschi, Paolo
;
Pascucci, Andrea
- In:
Decisions in economics and finance : DEF ; a journal of …
31
(
2008
)
1
,
pp. 13-32
Persistent link: https://www.econbiz.de/10003771581
Saved in:
28
On pricing lookback options under the CEV process
Costabile, Massimo
- In:
Decisions in economics and finance : DEF ; a journal of …
29
(
2006
)
2
,
pp. 139-153
Persistent link: https://www.econbiz.de/10003835677
Saved in:
29
An approximation of caplet implied volatilities in Gaussian models
Angelini, Flavio
;
Herzel, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
28
(
2005
)
2
,
pp. 113-127
Persistent link: https://www.econbiz.de/10003231310
Saved in:
30
Mean-variance hedging for interest rate models with stochastic volatility
Biagini, Francesca
- In:
Decisions in economics and finance : DEF ; a journal of …
25
(
2002
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10001681437
Saved in:
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