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