Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Multiscale stochastic volatility"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Option pricing theory
4
Optionspreistheorie
4
Stochastic process
4
Stochastischer Prozess
4
Volatility
4
Volatilität
4
Multiscale stochastic volatility
2
Calibration Problem
1
Capital income
1
Derivat
1
Derivative
1
FX Data
1
Functional Itô calculus
1
Gaussian copula
1
Hamilton-Jacobi-Bellman-Isaacs equation
1
Investment and reinsurance
1
Joint transition density
1
Kapitaleinkommen
1
Mixture of power utilities
1
Multiscale Stochastic Volatility Models
1
Multivariate Verteilung
1
Multivariate distribution
1
Option Pricing
1
Path dependence
1
Perturbation methods
1
Perturbation theory
1
Pfadabhängigkeit
1
Reinsurance
1
Rolling window methodology
1
Rückversicherung
1
Statistical distribution
1
Statistische Verteilung
1
Time series analysis
1
Zeitreihenanalyse
1
multiscale stochastic volatility
1
path dependence
1
more ...
less ...
Online availability
All
Free
1
Undetermined
1
Type of publication
All
Article
4
Type of publication (narrower categories)
All
Article in journal
4
Aufsatz in Zeitschrift
4
Conference paper
1
Konferenzbeitrag
1
Language
All
English
4
Author
All
Fatone, Lorella
1
Kim, See-Woo
1
Ma, Yong-Ki
1
Mariani, Francesca
1
Necula, Ciprian
1
Pun, Chi Seng
1
Recchioni, Maria Cristina
1
Saporito, Yuri F.
1
Wong, Hoi Ying
1
Zirilli, Francesco
1
more ...
less ...
Published in...
All
Computational economics
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
Journal of mathematical finance
1
Source
All
ECONIS (ZBW)
4
Showing
1
-
4
of
4
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014327243
Saved in:
2
First-order asymptotics of path-dependent derivatives in
multiscale
stochastic
volatility
environment
Saporito, Yuri F.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-22
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011889526
Saved in:
3
Robust investment-reinsurance optimization with
multiscale
stochastic
volatility
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 245-256
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011312060
Saved in:
4
Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella
;
Mariani, Francesca
;
Recchioni, Maria …
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 10-32
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010240231
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
