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~person:"Alòs, Elisa"
~person:"Jacquier, Antoine (Jack)"
~person:"Medeiros, Marcelo C."
~source:"econis"
~subject:"Stochastischer Prozess"
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Search: subject:"Volatility"
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Stochastischer Prozess
Volatility
87
Volatilität
87
Option pricing theory
45
Optionspreistheorie
45
Stochastic process
37
Forecasting model
20
Prognoseverfahren
20
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18
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18
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16
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16
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14
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12
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9
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Alòs, Elisa
Jacquier, Antoine (Jack)
Medeiros, Marcelo C.
McAleer, Michael
67
Asai, Manabu
37
Koopman, Siem Jan
36
Chan, Joshua
34
Todorov, Viktor
34
Cui, Zhenyu
33
Chiarella, Carl
29
Clark, Todd E.
25
Escobar, Marcos
25
Mumtaz, Haroon
25
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Fouque, Jean-Pierre
21
Andersen, Torben
20
Yu, Jun
20
Carriero, Andrea
19
Nguyen, Duy
19
Marcellino, Massimiliano
18
Platen, Eckhard
18
Bos, Charles S.
17
Hafner, Christian M.
17
Martin, Gael M.
17
Renò, Roberto
17
Rodriguez, Gabriel
17
Takahashi, Akihiko
17
Kang, Boda
16
Wong, Hoi Ying
16
Chan, Joshua C. C.
15
Grasselli, Martino
15
Benth, Fred Espen
14
Carr, Peter
14
Forde, Martin
14
Lucas, André
14
Renault, Eric
14
Caporin, Massimiliano
13
Corsi, Fulvio
13
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
7
Applied mathematical finance
2
Finance and stochastics
2
International journal of theoretical and applied finance
2
Quantitative finance
2
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1
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1
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ECONIS (ZBW)
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1
Forward start
volatility
swaps in rough
volatility
models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
Saved in:
2
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
3
On the implied
volatility
of Asian options under stochastic
volatility
models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
4
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:
5
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/10011778056
Saved in:
6
Target
volatility
option pricing in the lognormal fractional SABR model
Alòs, Elisa
;
Chatterjee, Rupak
;
Tudor, Sebastian F.
; …
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1339-1356
Persistent link: https://www.econbiz.de/10012194791
Saved in:
7
Exponentiation of conditional expectations under stochastic
volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
8
The Log Moment formula for implied
volatility
Jacquier, Antoine (Jack)
;
Raval, Vimal
-
2021
wing of the implied
volatility
smile is less constrained than Lee's bound. The result is rationalised by a market trading … expressing variance swaps in terms of the implied
volatility
…
Persistent link: https://www.econbiz.de/10013241823
Saved in:
9
CVA and vulnerable options in Stochastic
volatility
models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
10
Estimating the Hurst parameter from short term
volatility
swaps : a Malliavin calculus approach
Alòs, Elisa
;
Shiraya, Kenichiro
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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