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  • Search: subject:"Heston's Model"
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Year of publication
Subject
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Stochastic volatility 157 Heston model 145 Optionspreistheorie 142 Stochastischer Prozess 141 Option pricing theory 140 Stochastic process 138 Stochastische Volatilität 128 Volatilität 126 Volatility 122 Theorie 47 Theory 45 Option trading 40 Optionsgeschäft 40 Monte Carlo simulation 35 Monte-Carlo-Simulation 31 Derivat 30 Derivative 30 stochastic volatility 27 Forecasting model 25 Prognoseverfahren 25 Black-Scholes model 24 Black-Scholes-Modell 24 USA 19 United States 19 Portfolio selection 18 Portfolio-Management 18 ARCH model 17 ARCH-Modell 17 Bayes-Statistik 16 Bayesian inference 16 VAR model 16 VAR-Modell 16 Simulation 15 Welt 15 World 15 Capital market returns 13 Estimation 13 Kapitalmarktrendite 13 Schätzung 13 Estimation theory 12
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Online availability
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Undetermined 141 Free 119 CC license 7
Type of publication
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Article 204 Book / Working Paper 123
Type of publication (narrower categories)
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Article in journal 147 Aufsatz in Zeitschrift 147 Graue Literatur 66 Non-commercial literature 66 Working Paper 65 Arbeitspapier 58 Hochschulschrift 11 Article 6 Aufsatz im Buch 6 Book section 6 Collection of articles written by one author 4 Sammlung 4 Thesis 4 Aufsatzsammlung 2 Collection of articles of several authors 2 Sammelwerk 2 Systematic review 1 Übersichtsarbeit 1
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Language
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English 266 Undetermined 58 German 3
Author
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Clark, Todd E. 15 McAleer, Michael 14 Asai, Manabu 11 Huber, Florian 10 Mertens, Elmar 9 Wystup, Uwe 9 Detlefsen, Kai 8 McCracken, Michael W. 8 Carriero, Andrea 7 Marcellino, Massimiliano 7 Aastveit, Knut Are 6 Chiarella, Carl 6 Griebsch, Susanne 6 Peiris, Shelton 6 Alòs, Elisa 5 Chang, Chia-Lin 5 Janek, Agnieszka 5 Kluge, Tino 5 Zhu, Song-Ping 5 Chan, Jiun Hong 4 Crespo Cuaresma, Jesús 4 Cui, Zhenyu 4 Härdle, Wolfgang 4 Härdle, Wolfgang Karl 4 Jacquier, Antoine 4 Joshi, Mark S. 4 Mickel, Annalena 4 Neuenkirch, Andreas 4 Bernard, Carole 3 Breitung, Jörg 3 Chen, Jinghui 3 Doppelhofer, Gernot 3 Ehrhardt, Matthias 3 Feldkircher, Martin 3 Forde, Martin 3 Gatheral, Jim 3 Gnoatto, Alessandro 3 Grasselli, Martino 3 Günther, Michael 3 Hafner, Christian M. 3
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 5 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Department of Economics and Business, Universitat Pompeu Fabra 3 Finance Discipline Group, Business School 3 Department of Economics, Iowa State University 2 School of Economics and Management, University of Aarhus 2 Birkbeck, Department of Economics, Mathematics & Statistics 1 Frankfurt School of Finance and Management 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 National Bureau of Economic Research 1 Society for Computational Economics - SCE 1 Technische Universität Dresden 1 Universität Trier 1 World Scientific Publishing Co. Pte. Ltd. 1
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Published in...
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International journal of theoretical and applied finance 24 Quantitative finance 14 The journal of futures markets 11 International Journal of Theoretical and Applied Finance (IJTAF) 10 The journal of computational finance 8 Computational economics 7 International journal of financial engineering 7 Physica A: Statistical Mechanics and its Applications 7 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 7 Department of Economics working paper 6 Econometric Institute research papers 6 Applied mathematical finance 5 MPRA Paper 5 SFB 649 Discussion Paper 5 SFB 649 Discussion Papers 5 Discussion paper / Centre for Economic Policy Research 4 Discussion paper / Tinbergen Institute 4 European journal of operational research : EJOR 4 Finance and Stochastics 4 Finance and stochastics 4 Review of Derivatives Research 4 Asia-Pacific Financial Markets 3 BIFEC Book of Abstracts & Proceedings 3 CORE discussion papers : DP 3 Decisions in economics and finance : DEF ; a journal of applied mathematics 3 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 3 Federal Reserve Bank of Cleveland working paper series 3 Finance research letters 3 Insurance / Mathematics & economics 3 Journal of banking & finance 3 Journal of economic dynamics & control 3 Journal of mathematical finance 3 Journal of risk 3 Journal of risk and financial management : JRFM 3 Quantitative Finance 3 Research Paper Series / Finance Discipline Group, Business School 3 Working paper 3 Applied Mathematical Finance 2 Asia-Pacific financial markets 2 CESifo working papers 2
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Source
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ECONIS (ZBW) 244 RePEc 70 EconStor 13
Showing 111 - 120 of 327
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Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
Dimitrov, Valentin S. - 2015
Persistent link: https://www.econbiz.de/10011343772
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A simple model for now-casting volatility series
Breitung, Jörg; Hafner, Christian M. - 2015
Persistent link: https://www.econbiz.de/10011581871
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Alternative formulations of the leverage effect in a stochastic volatility model with asymmetric heavy-tailed errors
Deschamps, Philippe J. - 2015
Persistent link: https://www.econbiz.de/10011289959
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Measurement errors and monetary policy : then and now
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - 2015
Persistent link: https://www.econbiz.de/10011472366
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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are - 2015
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, or to explicitly consider parameter time variation. The earlier...
Persistent link: https://www.econbiz.de/10013023307
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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Moment explosions in the rough Heston model
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 575-608
Persistent link: https://www.econbiz.de/10012127280
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Walk on the wild side : temporarily unstable paths and multiplicative sunspots
Ascari, Guido; Bonomolo, Paolo; Lopes, Hedibert Freitas - In: The American economic review 109 (2019) 5, pp. 1805-1842
Persistent link: https://www.econbiz.de/10012013577
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Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case
Trybuła, Jakub; Zawisza, Dariusz - In: Mathematics of operations research 44 (2019) 3, pp. 966-987
Persistent link: https://www.econbiz.de/10012105828
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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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