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~isPartOf:"Finance and stochastics"
~person:"Carr, Peter"
~person:"Fukasawa, Masaaki"
~subject:"Volatility"
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Volatility
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Carr, Peter
Fukasawa, Masaaki
Carmona, René
3
Fouque, Jean-Pierre
3
Alòs, Elisa
2
Andersen, Leif B. G.
2
Benth, Fred Espen
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Finance and stochastics
International journal of theoretical and applied finance
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
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2
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NYU Tandon Research Paper
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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Robert H. Smith School Research Paper
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1
Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu
;
Fukasawa, Masaaki
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
Saved in:
2
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
Saved in:
3
Variance swaps on time-changed Lévy processes
Carr, Peter
;
Lee, Roger
;
Wu, Liuren
- In:
Finance and stochastics
16
(
2012
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10009544664
Saved in:
4
Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 635-654
Persistent link: https://www.econbiz.de/10009423291
Saved in:
5
Central limit theorem for the realized volatility based on the tick time sampling
Fukasawa, Masaaki
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 209-233
Persistent link: https://www.econbiz.de/10003951499
Saved in:
6
A jump to default extended CEV model : an application of Bessel processes
Carr, Peter
;
Linetsky, Vadim
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 303-330
Persistent link: https://www.econbiz.de/10003379774
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