Similar Search Results

Heterogeneous expectation, beliefs evolution and house price volatility

Zhang, Hao; Huang, Yuyuan; Yao, Haixiang - In: Economic modelling 53 (2016), pp. 409-418

Persistent link: https://www.econbiz.de/10011641077

The performance of industry risk spillover under extreme events : evidence from the Chinese stock market

Yao, Haixiang; Jiang, Xiaoqing - In: Pacific-Basin finance journal 91 (2025), pp. 1-25

Persistent link: https://www.econbiz.de/10015404985

A randomwalk or color chaos on the stock market : Time-frequency analysis of S&P indexes

Chen, Ping (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 2, pp. 87-103

Persistent link: https://www.econbiz.de/10001769614

First- and second-order Greeks in the Heston model

Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69

Persistent link: https://www.econbiz.de/10013262933

First and Second Order Greeks in the Heston Model

Chan, Jiun Hong - 2014

In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...

Persistent link: https://www.econbiz.de/10013068956

A new Bayesian model for contagion and interdependence

Poon, Aubrey; Zhu, Dan - In: Econometric reviews 41 (2022) 7, pp. 806-826

Persistent link: https://www.econbiz.de/10013364908

High-dimensional conditionally Gaussian state space models with missing data

Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014332310

Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

Chesney, Marc; Elliott, Robert J.; Madan, Dilip B.; … - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001333352

Valuing equity-linked death benefits in jump diffusion models

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 615-623

Persistent link: https://www.econbiz.de/10010227922

Index options and volatility derivatives in a Gaussian random field risk-neutral density model

Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011891885