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Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
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Moment explosions in stochastic volatility models
Andersen, Leif B. G.; Piterbarg, Vladimir V. - In: Finance and stochastics 11 (2007) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10003410634
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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and stochastics 8 (2004) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10001910658
Cover Image
Option pricing with quadratic volatility: a revisit
Andersen, Leif - In: Finance and stochastics 15 (2011) 2, pp. 191-220
Persistent link: https://www.econbiz.de/10009014650
Cover Image
Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and stochastics 8 (2004) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10008215025
Cover Image
Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10008217151