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Numerical methods for the quadratic hedging problem in Markov models with jumps

De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67

Persistent link: https://www.econbiz.de/10011442638

Bayesian DEJD model and detection of asymmetry in jump sizes

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 43-70

Persistent link: https://www.econbiz.de/10011305742

Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278

Persistent link: https://www.econbiz.de/10011312416

Herding and stochastic volatility

Farkas, Walter; Necula, Ciprian; Waelchli, Boris - 2015 - This version: 30 September 2015

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the underlying is endogenously determined from micro-foundations. The interaction and herding of the agents trading the underlying asset induce an amplification of the volatility of...

Persistent link: https://www.econbiz.de/10011507732

An analytic formula for pricing American-style convertible bonds in a regime switching model

Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428

Persistent link: https://www.econbiz.de/10011515674

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations

Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72

Persistent link: https://www.econbiz.de/10011419362

Local volatility calibration during turbulent periods

Skindilias, Konstantinos; Lo, Chia Chun - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 425-444

Persistent link: https://www.econbiz.de/10011327607

A Dupire equation for a regime-switching model

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011403770

Affine point processes : approximation and efficient simulation

Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, … - In: Mathematics of operations research 40 (2015) 4, pp. 797-819

Persistent link: https://www.econbiz.de/10011408901

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