//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"Heston"
~person:"Cui, Zhenyu"
~person:"Kahl, Christian"
~person:"Kirkby, J. Lars"
~subject:"Stochastic process"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Stochastic volatility"
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
Heston
Stochastic process
Option pricing theory
13
Optionspreistheorie
13
Stochastischer Prozess
13
Volatility
13
Volatilität
13
stochastic volatility
12
option pricing
9
characteristic function
8
Stochastic volatility
7
Markov chain
5
Markov-Kette
5
Carr-Madan
4
Complex logarithm
4
Fourier inversion
4
Jump diffusion
4
Option trading
4
Optionsgeschäft
4
affine jump-diffusion
4
damping
4
moment stability
4
saddlepoint approximations
4
Derivat
3
Derivative
3
Heston model
3
American options
2
Asian options
2
Regime switching
2
Regime-switching
2
3/2 model
1
Barrier options
1
CAPM
1
CTMC
1
Capital income
1
Cliquet-style guarantee
1
Continuous-time Markov chain
1
Distortion function
1
Engelbert Schmidt zero-one law
1
Equity-linked annuity
1
more ...
less ...
Online availability
All
Undetermined
11
Free
8
Type of publication
All
Article
11
Book / Working Paper
8
Type of publication (narrower categories)
All
Article in journal
11
Aufsatz in Zeitschrift
11
Working Paper
4
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Language
All
English
15
Undetermined
4
Author
All
Cui, Zhenyu
Kahl, Christian
Kirkby, J. Lars
Mumtaz, Haroon
21
Clark, Todd E.
17
Chan, Joshua
15
Lord, Roger
15
Carriero, Andrea
14
Marcellino, Massimiliano
14
Tauchen, George Eugene
11
Todorov, Viktor
11
Escobar, Marcos
10
Koopman, Siem Jan
10
Rodriguez, Gabriel
10
Shin, Minchul
10
Theodoridis, Konstantinos
10
Bos, Charles S.
9
Karlsson, Sune
8
Mertens, Elmar
8
Österholm, Pär
8
Zhang, Bo
7
Chiarella, Carl
6
Diebold, Francis X.
6
Li, Jia
6
Maneesoonthorn, Worapree
6
Martin, Gael M.
6
McAleer, Michael
6
Nason, James Michael
6
Ravazzolo, Francesco
6
Schorfheide, Frank
6
Andersen, Torben
5
Asai, Manabu
5
Branger, Nicole
5
Cross, Jamie
5
Filipović, Damir
5
Gnoatto, Alessandro
5
Koekkoek, Remmert
5
Lorig, Matthew
5
Nguyen, Duy
5
Omori, Yasuhiro
5
more ...
less ...
Institution
All
Tinbergen Institute
2
Tinbergen Instituut
2
Published in...
All
Tinbergen Institute Discussion Papers
4
Discussion paper / Tinbergen Institute
2
Tinbergen Institute Discussion Paper
2
Annals of finance
1
European journal of operational research : EJOR
1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance
1
The journal of computational finance
1
The journal of futures markets
1
more ...
less ...
Source
All
ECONIS (ZBW)
13
RePEc
4
EconStor
2
Showing
1
-
10
of
19
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
2
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
3
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
4
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
5
VIX derivatives valuation and estimation based on closed-form series expansions
Zhao, Zhe
;
Cui, Zhenyu
;
Florescu, Ionuţ
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011923012
Saved in:
6
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
7
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Saved in:
8
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
9
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
Saved in:
10
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->