Narrow search
Showing 1 - 10 of 177
Cover Image
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Cover Image
Smile modeling in commodity markets
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012271006
Cover Image
Time-changed fast mean-reverting stochastic volatility models
Lorig, Matthew - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1355-1383
Persistent link: https://www.econbiz.de/10009541992
Cover Image
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Cover Image
Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
Cover Image
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Cover Image
Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
Forde, Martin - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
Cover Image
The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
Cover Image
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
Cover Image
Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98
Persistent link: https://www.econbiz.de/10009725096