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~isPartOf:"Finance and stochastics"
~person:"Arrouy, Pierre-Edouard"
~person:"Benth, Fred Espen"
~subject:"Volatility"
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Arrouy, Pierre-Edouard
Benth, Fred Espen
Fukasawa, Masaaki
4
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Finance and stochastics
International journal of theoretical and applied finance
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Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, Fred Espen
;
Krühner, Paul
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 327-366
Persistent link: https://www.econbiz.de/10011945791
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2
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
3
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen
;
Meyer-Brandis, Thilo
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 563-575
Persistent link: https://www.econbiz.de/10003133280
Saved in:
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