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Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor; John, Kose; Li, Jingrui; Sopranzetti, … - In: Quantitative finance 23 (2023) 4, pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
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Smiles in delta
Mingone, Arianna - In: Quantitative finance 23 (2023) 12, pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
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Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes; Endres, Sylvia - In: Quantitative finance 18 (2018) 10, pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A. - In: Quantitative finance 22 (2022) 12, pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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On model robustness of the regime switching approach for pegged foreign exchange markets
Zhang, Yunbo; Drapeau, Samuel - In: Quantitative finance 22 (2022) 7, pp. 1371-1390
Persistent link: https://www.econbiz.de/10013367908
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A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira - In: Quantitative finance 18 (2018) 5, pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550
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The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
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Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula
De Marco, Stefano; Martini, Claude - In: Quantitative finance 18 (2018) 4, pp. 609-622
Persistent link: https://www.econbiz.de/10011906443