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Conditional dependence in post-crisis markets : dispersion and correlation skew trades
Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 55 (2020) 2, pp. 389-426
Persistent link: https://www.econbiz.de/10012303884
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Debt rollover-induced local volatility model
Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
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R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.; Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 45 (2015) 3, pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
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The risk management implications of using end of day consensus pricing for single name CDS
Ronen, Tavy; Sokolinskiy, Oleg; Sopranzetti, Ben J. - In: Review of quantitative finance and accounting 55 (2020) 1, pp. 269-304
Persistent link: https://www.econbiz.de/10012233227