Similar Search Results

Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581651

Estimation of integrated volatility in stochastic volatility models

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581654

Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform

Hao, Xuemiao; Li, Xuan - In: Insurance / Mathematics & economics 65 (2015), pp. 103-110

Persistent link: https://www.econbiz.de/10011422882

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10012500958

On local times : application to pricing using bid-ask

Kettler, Paul C.; Menoukeu-Pamen, Olivier; Proske, Frank - In: Journal of mathematical finance 4 (2014) 2, pp. 84-94

Persistent link: https://www.econbiz.de/10010380910

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10010290416

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics letters 120 (2013) 2, pp. 224-228

Persistent link: https://www.econbiz.de/10010128339

Bipower variation with jumps and correlated returns

Duan, Yunpeng; Xue, Yi - In: Economics letters 125 (2014) 3, pp. 367-371

Persistent link: https://www.econbiz.de/10010506017