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Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2015

Persistent link: https://www.econbiz.de/10011326757

A "jump" in the stochasticity of the Solow-Swan growth model

Diebolt, Claude; Mishra, Tapas; Parhi, Mamata - 2015

Persistent link: https://www.econbiz.de/10011342161

An approach to the option market model based on end-user net demand

Sasaki, Hiroshi - In: The journal of futures markets 35 (2015) 5, pp. 476-503

Persistent link: https://www.econbiz.de/10011405401

Derivatives pricing on integrated diffusion processes : a general perturbation approach

Li, Minqiang - In: The journal of futures markets 35 (2015) 6, pp. 582-595

Persistent link: https://www.econbiz.de/10011405411

Analytic approximation of finite-maturity timer option prices

Li, Minqiang; Mercurio, Fabio - In: The journal of futures markets 35 (2015) 3, pp. 245-273

Persistent link: https://www.econbiz.de/10011348432

How to implement market models using VBA

Goossens, François - 2015

"Accessible VBA coding for complex financial modellingImplementing Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. With a focus on the clarity of code, this practical introductory guide includes chapters on VBA...

Persistent link: https://www.econbiz.de/10012678835

Derivatives trading for insurers

Xue, Xiaole; Wei, Pengyu; Weng, Chengguo - In: Insurance / Mathematics & economics 84 (2019), pp. 40-53

Persistent link: https://www.econbiz.de/10011990431

Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers

Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114

Persistent link: https://www.econbiz.de/10011990618

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models

Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248

Persistent link: https://www.econbiz.de/10011993464

Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model

Li, Chenxu; Wu, Linjia - In: European journal of operational research : EJOR 275 (2019) 2, pp. 768-779

Persistent link: https://www.econbiz.de/10011993586

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