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~language:"eng"
~person:"Alòs, Elisa"
~person:"Chiarella, Carl"
~subject:"Volatility"
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Volatility
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21
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Alòs, Elisa
Chiarella, Carl
McAleer, Michael
59
Gupta, Rangan
32
Chang, Chia-Lin
22
Caporale, Guglielmo Maria
20
Pierdzioch, Christian
19
Gannon, Gerard L.
12
Mumtaz, Haroon
12
Spagnolo, Nicola
12
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10
Diebold, Francis X.
10
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9
Guo, Hui
9
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9
Miller, Stephen M.
9
Allen, David E.
8
Andersen, Torben
8
Asai, Manabu
8
Buch, Claudia M.
8
Farmer, Roger E. A.
8
Salisu, Afees A.
8
Theodoridis, Konstantinos
8
Weber, Enzo
8
Billio, Monica
7
Döpke, Jörg
7
Hammoudeh, Shawkat
7
Hautsch, Nikolaus
7
Siklos, Pierre L.
7
Timmermann, Allan
7
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7
Yu, Jun
7
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7
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6
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6
Dijk, Dick van
6
Fernández-Villaverde, Jesús
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Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
7
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Journal of economic behavior & organization : JEBO
1
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ECONIS (ZBW)
21
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1
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
2
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
3
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
4
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
5
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
6
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
7
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
8
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2010
Persistent link: https://www.econbiz.de/10008663092
Saved in:
9
Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl
;
Hsiao, Chih-ying
-
2010
Persistent link: https://www.econbiz.de/10008663099
Saved in:
10
Modelling and estimating the forward price curve in the energy market
Chiarella, Carl
;
Chewlow, Les
;
King, Boda
-
2009
Persistent link: https://www.econbiz.de/10008662359
Saved in:
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