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Markovian spot rate dynamics with stochastic volatility structures
Au, Kelly T. - In: Applied mathematical finance 4 (1997) 2, pp. 101-108
Persistent link: https://www.econbiz.de/10001226700
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An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi - In: Applied mathematical finance 4 (1997) 2, pp. 81-100
Persistent link: https://www.econbiz.de/10001226702
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Calibrating volatility surfaces via relative-entropy minimization
Avellaneda, Marco (contributor) - In: Applied mathematical finance 4 (1997) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10001226743
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Misspecified asset price models and robust hedging strategies
Ahn, Hyungsok - In: Applied mathematical finance 4 (1997) 1, pp. 21-36
Persistent link: https://www.econbiz.de/10001226765
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Managing the volatility risk of portfolios of derivate securities : the Lagrangian uncertain volatility model
Avellaneda, Marco - In: Applied mathematical finance 3 (1996) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10001209610
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General black-scholes models accounting for increased market volatility from hedging strategies
Sircar, Kaushik Ronnie - In: Applied mathematical finance 5 (1998) 1, pp. 45-82
Persistent link: https://www.econbiz.de/10001238442
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Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad - In: Applied mathematical finance 4 (1997) 4, pp. 181-199
Persistent link: https://www.econbiz.de/10001238761
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Volatility targeting using delayed diffusions
Torricelli, Lorenzo - In: Applied mathematical finance 25 (2018) 3/4, pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
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Log-optimal portfolios with memory effect
Nika, Zsolt; Rásonyi, Miklos - In: Applied mathematical finance 25 (2018) 5/6, pp. 557-585
Persistent link: https://www.econbiz.de/10012129182
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Recursive marginal quantization of the Euler scheme of a diffusion process
Pagès, Gilles; Sagna, Abass - In: Applied mathematical finance 22 (2015) 5/6, pp. 463-498
Persistent link: https://www.econbiz.de/10011490616