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Effect of Volatility Fluctuations on Optimal Execution Schedules
Criscuolo, Adriana - 2019
fair pricing theory of market impact and the Heston model for volatility. We use computer optimization to solve common …
Persistent link: https://www.econbiz.de/10012904961
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Effect of volatility fluctuations on optimal execution schedules
Criscuolo, Adriana M.; Waelbroeck, Henri - In: The journal of trading 9 (2014) 4, pp. 82-90
Persistent link: https://www.econbiz.de/10011291061
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Optimal model description of finance and human factor indices
Kalaycı, Betül; Weber, Gerhard-Wilhelm - In: Central European journal of operations research 33 (2025) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10015195662
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Markovian approach to stock price modelling in the Nigerian oil and gas sector
Ayo, Adekunle S.; Uwabor, Eboigbe S. - In: CBN journal of applied statistics 12 (2021) 1, pp. 23-43
The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to...
Persistent link: https://www.econbiz.de/10012604397
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Stochastic volatility in interest rates and nonlinearity in velocity
Barnett, William A.; Xu, Haiyang - In: The theory of monetary aggregation, (pp. 274-295). 2000
Persistent link: https://www.econbiz.de/10001508715
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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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BUGS for a Bayesian analysis of stochastic volatility models
Meyer, Renate; Yu, Jun - 2000
Persistent link: https://www.econbiz.de/10001513469
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Option prices, implied price processes, and stochastic volatility
Britten-Jones, Mark; Neuberger, Anthony - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 839-866
Persistent link: https://www.econbiz.de/10001497298
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Modular pricing of options : an application of Fourier analysis
Zhu, Jianwei - 2000
Persistent link: https://www.econbiz.de/10001499875
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Zur Wechselkursdynamik vor der Einführung von Festkurssystemen
Maennig, Wolfgang; Wilfling, Bernd - In: Währung und wirtschaftliche Entwicklung : Festschrift …, (pp. 101-116). 2000
Persistent link: https://www.econbiz.de/10001501935