Narrow search
Showing 1 - 10 of 225
Cover Image
A PDE method for estimation of implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: Quantitative finance 20 (2020) 3, pp. 393-408
Persistent link: https://www.econbiz.de/10012194873
Cover Image
A novel state-transition forest : pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
Liu, Liang-Chih; Dai, Tian-Shyr; Chang, Hao-Han; Zhou, Lei - In: Quantitative finance 22 (2022) 11, pp. 2021-2045
Persistent link: https://www.econbiz.de/10013490918
Cover Image
Higher moments in the fundamental specification of electricity forward prices
Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078
Persistent link: https://www.econbiz.de/10013490922
Cover Image
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Cover Image
Learning a functional control for high-frequency finance
Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
Cover Image
Valuing real options with endogenous payoff
Choi, Kyoung Jin; Kwak, Minsuk - In: Quantitative finance 22 (2022) 11, pp. 2109-2123
Persistent link: https://www.econbiz.de/10013490929
Cover Image
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
Cover Image
Estimating time-varying risk aversion from option prices and realized returns
Kosolapova, Maria; Hanke, Michael; Weissensteiner, Alex - In: Quantitative finance 23 (2023) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013490948
Cover Image
A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu - In: Quantitative finance 23 (2023) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10013490950
Cover Image
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10013490954