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Asymptotics for volatility derivatives in multi-factor rough volatility models

Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577

Persistent link: https://www.econbiz.de/10012586188

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

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …

Persistent link: https://www.econbiz.de/10014362627

Risk-neutral modeling with affine and nonaffine models

Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681

Persistent link: https://www.econbiz.de/10010233868

On the Bayesian risk evaluation of minimum guarantees in variable annuities

Byoung Hark Yoo; Ko, Bangwon; Kwon, Hyuk-Sung - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10011410497

A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method

Brix, Anne Floor; Lunde, Asger; Wei, Wei - In: Energy economics 72 (2018), pp. 560-582

Persistent link: https://www.econbiz.de/10011972455

Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018

Persistent link: https://www.econbiz.de/10012583570

Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis

Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305

Persistent link: https://www.econbiz.de/10012543312

Stationary covariance regime for affine stochastic covariance models in Hilbert spaces

Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116

Persistent link: https://www.econbiz.de/10015130554

Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models : Option Pricing and Greeks

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - 2020

) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility …

Persistent link: https://www.econbiz.de/10014349082