Narrow search
Showing 1 - 10 of 14
Cover Image
Probability weighting and default risk : a possible explanation for distressed stock puzzles
Yamazaki, Akira - In: Quantitative finance 20 (2020) 5, pp. 745-767
Persistent link: https://www.econbiz.de/10012262617
Cover Image
Universal regimes for rates and inflation : the effect of local elasticity on market and counterparty risk
Chorniy, Vladimir; Kotecha, Vinay - In: Quantitative finance 20 (2020) 1, pp. 99-117
Persistent link: https://www.econbiz.de/10012194857
Cover Image
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.; Cheang, Gerald H. L. - In: Quantitative finance 21 (2021) 12, pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
Cover Image
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
Cover Image
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
Cover Image
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Cover Image
Can volatility solve the naive portfolio puzzle?
Curran, Michael; O'Sullivan, Patrick; Zalla, Ryan - In: Quantitative finance 23 (2023) 11, pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Cover Image
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Cover Image
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup; Hainaut, Donatien - In: Quantitative finance 23 (2023) 6, pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Cover Image
Smooth ambiguity preferences and asset prices with a jump-diffusion process
Suzuki, Masataka - In: Quantitative finance 22 (2022) 5, pp. 871-887
Persistent link: https://www.econbiz.de/10013367866