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Mixed copula model with stochastic correlation for CDO pricing

Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174

Persistent link: https://www.econbiz.de/10010425701

Modeling of CPDOs : identifying optimal and implied leverage

Dorn, Jochen - In: Journal of banking & finance 34 (2010) 6, pp. 1371-1382

Persistent link: https://www.econbiz.de/10003978413

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

Pricing and hedging credit derivatives with copulas

Cherubini, Umberto; Luciano, Elisa - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 219-241

Persistent link: https://www.econbiz.de/10001790788

A note on the large homogeneous portfolio approximation with the student-t copula

Schlögl, Lutz; O'Kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584

Persistent link: https://www.econbiz.de/10003133291