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 |
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 |
On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
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2019 |
Cacace, Filippo |
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
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2019 |
Hok, Julien |
Model-free stochastic collocation for an arbitrage-free implied volatility, part I
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2019 |
Le Floc'h, Fabien |
A note on the implied volatility of floating strike Asian options
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2019 |
Alòs, Elisa |
A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
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2019 |
Vilar Zanón, José Luis |