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~isPartOf:"Econometric Institute research papers"
~isPartOf:"The journal of computational finance"
~subject:"Optionspreistheorie"
~subject:"Volatility"
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Optionspreistheorie
Volatility
Modellierung
48
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48
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22
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22
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McAleer, Michael
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1
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Roengchai Tansuchat
1
Tankov, Peter
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Wiphatthanananthakul, Chatayan
1
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Econometric Institute research papers
The journal of computational finance
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10
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10010507684
Saved in:
2
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
Saved in:
5
A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
6
Local volatility models in commodity markets and online calibration
Albani, Vinícius
;
Ascher, Uri M.
;
Zubelli, Jorge P.
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 63-95
Persistent link: https://www.econbiz.de/10011860922
Saved in:
7
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619551
Saved in:
8
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619346
Saved in:
9
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008664052
Saved in:
10
Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat M.
;
Yuan, Yuan
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987666
Saved in:
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