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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Longevity bond pricing under the threshold CIR model
Dong, Fangyuan; Wong, Hoi Ying - In: Finance research letters 15 (2015), pp. 195-207
Persistent link: https://www.econbiz.de/10011553193
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
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Nonrandom price movements
Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109
Persistent link: https://www.econbiz.de/10011596246
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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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The bond-stock mix under time-varying interest rates and predictable stock returns
Leirvik, Thomas - In: Finance research letters 11 (2014) 3, pp. 231-237
Persistent link: https://www.econbiz.de/10010441864
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Volatility spillovers between stock, bond, oil, and gold with portfolio implications : evidence from China
Zhang, Yongjie; Wang, Meng; Xiong, Xiong; Zou, Gaofeng - In: Finance research letters 40 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012820088
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Hedging stock market risks : can gold really beat bonds?
Ma, Rufei; Sun, Bianxia; Zhai, Pengxiang; Jin, Yi - In: Finance research letters 42 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10014580454
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396