Narrow search
Showing 1 - 6 of 6
Cover Image
Spiking the volatility punch
Carr, Peter; Figà-Talamanca, Gianna - In: Applied mathematical finance 27 (2020) 6, pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
Cover Image
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Cover Image
Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
Cover Image
Trading signals in VIX futures
Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew - In: Applied mathematical finance 28 (2021) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Cover Image
Static replication of European multi-asset options with homogeneous payoff
Bossu, Sébastien - In: Applied mathematical finance 28 (2021) 5, pp. 381-394
Persistent link: https://www.econbiz.de/10013411710
Cover Image
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261