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Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs

Gao, Xin; Wu, Binlin; Schäfer, Tobias - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-17

Persistent link: https://www.econbiz.de/10011778286

Mean-reverting stochastic volatility

Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 101-142

Persistent link: https://www.econbiz.de/10001488358

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Is Normal Backwardation Normal? Valuing Financial Futures with a Stochastic, Endogenous Index-Rate Covariance

Raimbourg, Philippe - 2019

-of-carry model of futures prices, in line with Cox, Ingersoll and Ross's (1981) theory and a large corpus of past empirical research … backwardation vs. contango regime, and shedding new light on Keynes's (1930) theory of normal backwardation …

Persistent link: https://www.econbiz.de/10012899151

The functional stochastic discount factor

Tran, Ngoc-Khanh - In: The quarterly journal of finance 9 (2019) 4, pp. 1-49

Persistent link: https://www.econbiz.de/10012183345

Price volatilities of bitcoin futures

Guo, Zi-Yi - In: Finance research letters 43 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10014633491

Estimation of VIX futures through Gaussian factor models

Fernandes, Felipe do Nascimento; Aiube, Fernando … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 3, pp. 31-49

In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou (2019). Two strategies were adopted. First, we considered constant market price of risk. Second, we included time-varying market price of risk. In both cases, we estimated the...

Persistent link: https://www.econbiz.de/10014253891

CDO Pricing : Copula Implied by Risk Neutral Dynamics

Hitier, Sebastien - 2016

that an understanding of the dynamics used in model for CDO is required to bring it to par with derivative models used for …

Persistent link: https://www.econbiz.de/10013000790

Dynamic alpha-stable method for CDO pricing

Li, Hua; Yuan, George; Chen, Weina; Guo, Li; Zhao, Jianbin - In: Journal of financial engineering 1 (2014) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10010508001

Synthetic CDO pricing : the perspective of risk integration

Hu, Conghui; Zhang, Xun; Gao, Qiuming - In: Applied economics 47 (2015) 13/15, pp. 1574-1587

Persistent link: https://www.econbiz.de/10010512015