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Arbitrage-free multifactor term structure models : a theory based on stochastic control

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010187681

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1998

Persistent link: https://www.econbiz.de/10000992329

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Minimal realizations of interest rate models

Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432

Persistent link: https://www.econbiz.de/10001412162

Jump-diffusion models

Runggaldier, Wolfgang J. - In: Handbook of heavy tailed distributions in finance, (pp. 169-209). 2003

Persistent link: https://www.econbiz.de/10001882067

Approximating value at risk in conditional Gaussian models

Jaschke, Stefan R.; Jiang, Yuze - In: Applied quantitative finance : theory and computational …, (pp. 3-33). 2002

Persistent link: https://www.econbiz.de/10001749949

Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10001428847

Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - 2001

Persistent link: https://www.econbiz.de/10001732756

A benchmark approach to filtering in finance

Platen, Eckhard; Runggaldier, Wolfgang J. - 2002

Persistent link: https://www.econbiz.de/10001732830

Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - In: Advances in finance and stochastics : essays in honour …, (pp. 177-195). 2002

Persistent link: https://www.econbiz.de/10001672233