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The Hull-White model under volatility uncertainty
Hölzermann, Julian - In: Quantitative finance 21 (2021) 11, pp. 1921-1933
Persistent link: https://www.econbiz.de/10012696796
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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
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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
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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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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
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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
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The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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Empirical deep hedging
Mikkilä, Oskari; Kanniainen, Juho - In: Quantitative finance 23 (2023) 1, pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
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Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914