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Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
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Herding and speculation in the crude oil market
Brunetti, Celso; Buyuksahin, Bahattin; Harris, Jeffrey H. - In: The energy journal 34 (2013) 3, pp. 83-104
Persistent link: https://www.econbiz.de/10009771883
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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
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Discretely sampled variance and volatility swaps versus their continuous approximations
Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324
Persistent link: https://www.econbiz.de/10009730815
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Pricing options on realized variance in the Heston model with jumps in returns and volatility : part II: an approximite distribution of discrete variance
Sepp, Artur - In: The journal of computational finance 16 (2012/13) 2, pp. 3-32
Persistent link: https://www.econbiz.de/10009702584
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The information content of OTC individual put option implied volatility for credit default swap spreads
Park, Yuen Jung; Kim, Tong Suk - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 491-516
Persistent link: https://www.econbiz.de/10009618798
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An empirical examination of volatility spillover between the Indian and US swap markets
Bhargava, Vivek; Malhotra, Davinder Kumar; Russel, Philip; … - In: International journal of emerging markets 7 (2012) 3, pp. 289-304
Persistent link: https://www.econbiz.de/10009619895
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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
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The effects of volatility spillover in the US basis swap markets
Bhargava, Vivek; Malhotra, Davinder Kumar - In: International journal of financial services management … 5 (2011/11) 3, pp. 216-238
Persistent link: https://www.econbiz.de/10009707033