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Identifying major shocks in market volatility and their impact on trading strategies

Shum, Pauline M.; Zhu, Kevin X. - In: Advances in quantitative analysis of finance and … 5 (2007), pp. 259-281

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Stochastic volatility and jump-diffusion : implications on option pricing

Jiang, George J. - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 381-407

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Testing option pricing models with stochastic volatility, random jump and stochastic interest rate

Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272

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Stochastic volatility and option pricing

Jiang, George J. - In: Forecasting volatility in the financial markets, (pp. 131-171). 2007

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Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1999

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Index option pricing models with stochastic volatility and stochastic interest rates

Jiang, George J.; Sluis, Pieter J. van der - 2000

Persistent link: https://www.econbiz.de/10001473253

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

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Estimation of continuous-time processes via the empirical characteristic function

Jiang, George J.; Knight, John L. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 198-212

Persistent link: https://www.econbiz.de/10001660376

Index option pricing models with stochastic volatility and stochastic interest rates

Jiang, George J.; Sluis, Pieter J. van der - In: European finance review : the official journal of the … 3 (1999) 3, pp. 273-310

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High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

Jiang, George J. - 2018

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

Persistent link: https://www.econbiz.de/10012912840