Narrow search
Showing 91 - 100 of 83,308
Cover Image
Empirical comparison of alternative implied volatility measures of the forecasting performance of future volatility
Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 103-124
Persistent link: https://www.econbiz.de/10009514731
Cover Image
Time-changed fast mean-reverting stochastic volatility models
Lorig, Matthew - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1355-1383
Persistent link: https://www.econbiz.de/10009541992
Cover Image
A parsimonious multi-asset Heston model : calibration and derivative pricing
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
Cover Image
Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718
Persistent link: https://www.econbiz.de/10009554307
Cover Image
Tractable hedging with additional hedge instruments
Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
Cover Image
Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
Cover Image
The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
Cover Image
Equity-credit modeling under affine jump-diffusion models with jump-to-default
Chung, Tsz Kin; Kwok, Yue-Kuen - In: Journal of financial engineering 1 (2014) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10010508080
Cover Image
Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
Cover Image
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865