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Convex regularization of local volatility estimation
Albani, Vinícius; Cezaro, Adriano de; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
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Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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On the asymptotics of fast mean-reversion stochastic volatility models
Souza, Max O.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 817-835
Persistent link: https://www.econbiz.de/10003564654
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Special issue on the IMPA research in options meetings, Rio de Janeiro 2006-2017, part 2
Avellaneda, Marco (ed.); Dupire, Bruno (ed.);  … - IMPA Research in Options Meetings <2006-2017, Rio de … - 2018
Persistent link: https://www.econbiz.de/10011926604
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Special issue on the IMPA research in options meetings, Rio de Janeiro 2006-2017, part 1
Avellaneda, Marco (ed.); Dupire, Bruno (ed.);  … - IMPA Research in Options Meetings <2006-2017, Rio de … - 2018
Persistent link: https://www.econbiz.de/10011894051
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Special issue on the IMPA research in options meetings, Rio de Janeiro 2006-2017, part 3
Avellaneda, Marco (ed.); Dupire, Bruno (ed.);  … - IMPA Research in Options Meetings <2006-2017, Rio de … - 2019
Persistent link: https://www.econbiz.de/10012012759
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Preface: special issue on the IMPA research in options meetings, Rio de Janeiro 2006-2017, part 3
Avellaneda, Marco; Dupire, Bruno; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-4
Persistent link: https://www.econbiz.de/10012013094