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  • Search: subject:"Barndorff-Nielsen-Shephard Model"
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Year of publication
Subject
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Stochastischer Prozess 4 Volatilität 4 Affine Models 3 Barndorff-Nielsen & Shephard model 3 Barndorff-Nielsen-Shephard Model 3 Forward-Start Options 3 Optionspreistheorie 3 Stochastic process 3 Theorie 3 Volatility 3 Heston model 2 Jacobi process 2 Lévy process 2 Lévy processes 2 Option pricing theory 2 Ornstein–Uhlenbeck process 2 Stochastic volatility 2 Theory 2 Artificial intelligence 1 Barndorff-Nielsen-Shephard model 1 Forecasting model 1 Künstliche Intelligenz 1 Leverage effect 1 Oil market 1 Oil price 1 Prognoseverfahren 1 Square root diffusion 1 Statistical test 1 Statistischer Test 1 Stochastic correlation 1 Volatility of volatility 1 crude oil price 1 hypothesis test 1 jump-diffusion model 1 leverage effect 1 machine learning 1 square root diffusion 1 stochastic correlation 1 stochastic volatility 1 time change 1
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Online availability
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Free 4 Undetermined 3
Type of publication
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Book / Working Paper 4 Article 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 6 Undetermined 1
Author
All
Keller-Ressel, Martin 3 Kilin, Fiodar 3 Hofmann, Karl Friedrich 1 Roberts, Michael 1 Schulz, Thorsten 1 SenGupta, Indranil 1 Veraart, Almut 1 Veraart, Almut E. D. 1 Veraart, Luitgard 1 Veraart, Luitgard A. M. 1
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Institution
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Frankfurt School of Finance and Management 1 School of Economics and Management, University of Aarhus 1
Published in...
All
CPQF Working Paper Series 2 Annals of Finance 1 Applied mathematical finance 1 CREATES Research Papers 1 International journal of theoretical and applied finance 1 Working paper series / Centre for Practical Quantitative Finance 1
Source
All
ECONIS (ZBW) 3 RePEc 3 EconStor 1
Showing 1 - 7 of 7
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A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps
Hofmann, Karl Friedrich; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10011686739
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Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Roberts, Michael; SenGupta, Indranil - In: Applied mathematical finance 27 (2020) 5, pp. 374-395
Persistent link: https://www.econbiz.de/10012501621
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Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - 2008
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10010301709
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Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - Frankfurt School of Finance and Management - 2008
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10009642578
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Cover Image
Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - 2008
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10011293920
Saved in:
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2009
allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model … stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate … · Ornstein–Uhlenbeck process · square root diffusion · L´evy process · Heston model · Barndorff-Nielsen & Shephard model JEL …
Persistent link: https://www.econbiz.de/10004972835
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Stochastic volatility and stochastic leverage
Veraart, Almut; Veraart, Luitgard - In: Annals of Finance 8 (2012) 2, pp. 205-233
Persistent link: https://www.econbiz.de/10010866544
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