Volatility and volatility-linked derivatives estimation,modeling, and pricing

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Bibliographische Detailangaben
Veröffentlicht in:Decisions in economics and finance
1. Verfasser: Alòs, Elisa (VerfasserIn)
Weitere Verfasser: Mancino, Maria Elvira (VerfasserIn), Wang, Tai-Ho (VerfasserIn)
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Sprache:eng
Veröffentlicht: 2019
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Titel Jahr Verfasser
Moment explosions in the rough Heston model 2019 Gerhold, Stefan
Small sample properties of ML estimator in Vasicek and CIR models : a simulation experiment 2019 Albano, Giuseppina
Estimating stochastic volatility : the rough side to equityreturns 2019 Haynes, Jonathan
Markovian lifts of positive semidefinite affine Volterra-typeprocesses 2019 Cuchiero, Christa
A stochastic model to evaluate pricing distortions in indemnity insurance methods for MTPL insurance 2019 Fersini, Paola
Coherentmodeling of mortality patterns for age-specific subgroups 2019 Giordano, Giuseppe
Time-consistency of risk measures : how strong is such a property? 2019 Mastrogiacomo, Elisa
A realized volatility approach to option pricing with continuous and jump variance components 2019 Alitab, Dario
Robust calibration and arbitrage-free interpolation of SSVI slices 2019 Corbetta, Jacopo
Variable annuities with a threshold fee : valuation, numerical implementation and comparative static analysis 2019 Bacinello, Anna Rita
Possibilistic mean-variance portfolios versus probabilistic ones : the winner is... 2019 Corazza, Marco
Kyle equilibrium under random price pressure 2019 Corcuera, José Manuel
Does market attention affect Bitcoin returns and volatility? 2019 Figà-Talamanca, Gianna
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II 2019 Gambaro, Anna Maria
Lévy CARMA models for shocks inmortality 2019 Hitaj, Asmerilda
Behavioral premium principles 2019 Nardon, Martina
Volatility and volatility-linked derivatives : estimation,modeling, and pricing 2019 Alòs, Elisa
Estimation of volatility in a high-frequency setting : a short review 2019 Jacod, Jean
From volatility smiles to the volatility of volatility 2019 Dumas, Bernard
Asymptotic results for the Fourier estimator of the integrated quarticity 2019 Livieri, Giulia
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