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On the pricing of capped volatility swaps using machine learning techniques
Höcht, Stephan; Schoutens, Wim; Verschueren, Eva - In: Quantitative finance 24 (2024) 9, pp. 1287-1300
Persistent link: https://www.econbiz.de/10015196887
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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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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
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Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Guinea Juliá, Álvaro; Roux, Alet - In: Quantitative finance 24 (2024) 8, pp. 1057-1076
Persistent link: https://www.econbiz.de/10015196870
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A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
Deschatre, Thomas; Warin, Xavier - In: Quantitative finance 24 (2024) 8, pp. 1157-1176
Persistent link: https://www.econbiz.de/10015196875
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Efficient option pricing in the rough Heston model using weak simulation schemes
Bayer, Christian - In: Quantitative finance 24 (2024) 9, pp. 1247-1261
Persistent link: https://www.econbiz.de/10015196883