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Multifractal volatility : theory, forecasting, and pricing

Calvet, Laurent E.; Fisher, Adlai - 2008

Persistent link: https://www.econbiz.de/10003719647

Prioritizing of volatility models : a computational analysis using data envelopment analysis

Petridis, Konstantinos; Petridis, Nikolaos E.; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2302-2334

Persistent link: https://www.econbiz.de/10014259155

Pricing Ruin Contingent Life Annuity Under Stochastic Volatility

Rong, Ning - 2012

Purpose of this paper: In this paper we consider the dynamics of the risky portfolio follows jump diffusion process, and the Ruin contingent life annuity (RCLA) contract under the Heston stochastic volatility framework is priced. By comparison to the literatures, we aim to illustrate that, by...

Persistent link: https://www.econbiz.de/10013102843

A mean bound financial model and options pricing

Li, Yu - In: International journal of financial engineering 4 (2017) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10011807105

Forecasting in GARCH models with polynomially modified innovations

Vacca, Gianmarco; Zoia, Maria Grazia; Bagnato, Luca - In: International journal of forecasting 38 (2022) 1, pp. 117-141

Persistent link: https://www.econbiz.de/10013347743

Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers

Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114

Persistent link: https://www.econbiz.de/10011990618

Volterra mortality model : actuarial valuation and risk management with long-range dependence

Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012482737

Modular pricing of options : an application of Fourier analysis

Zhu, Jianwei - 2000

Persistent link: https://www.econbiz.de/10001499875

Nonlinear time series models in empirical finance

Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.

Persistent link: https://www.econbiz.de/10001484071

Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999

Chan, Wai-Sum (contributor); Li, Wai Keung (contributor); … - International Workshop on Statistics and Finance <1999, … - 2000

Persistent link: https://www.econbiz.de/10001490756