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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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Pricing swaps on discrete realized higher moments under the lévy process
Zhu, Wenli; Ruan, Xinfeng - In: Computational economics 53 (2019) 2, pp. 507-532
Persistent link: https://www.econbiz.de/10012134734
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Computational modeling of non-Gaussian option price using non-extensive Tsallis’ entropy framework
Nayak, Gangadhar; Singh, Amit Kumar; Senapati, Dilip - In: Computational economics 57 (2021) 4, pp. 1353-1371
Persistent link: https://www.econbiz.de/10012543376
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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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://www.econbiz.de/10014327243
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Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
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Valuation of N-stage investments under jump-diffusion processes
Andergassen, Rainer; Sereno, Luigi - In: Computational economics 39 (2012) 3, pp. 289-313
Persistent link: https://www.econbiz.de/10009513147
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Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade; Neisy, A.; Adl, A. - In: Computational economics 63 (2024) 1, pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
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Evaluating density forecasts using weighted multivariate scores in a risk management context
Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643
Persistent link: https://www.econbiz.de/10015144255