„stochastic volatility“
Suchergebnisse
1.000+ Treffer
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Libor market models with stochastic volatility and CMS spread option pricing
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Libor market models with stochastic volatility and CMS spread option pricing
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Computational Methods for Quantitative Finance – Finite Element Methods for Derivative Pricing
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On the implied volatility of Inverse options under stochastic volatility models
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A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
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Identifying the number of latent factors of stochastic volatility models
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The microstructural foundations of leverage effect and rough volatility
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Causal relationships between inflation and inflation uncertainty
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Impact of rough stochastic volatility models on long-term life insurance pricing
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Quasi-maximum likelihood estimation for non-stationary stochastic volatility models: diffuse Kalman filtering approach
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Calibration and simulation of Heston model
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The Gumbel test and jumps in the volatility process
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Pricing barrier options in the Heston model using the Heath–Platen estimator
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Joint tails impact in stochastic volatility portfolio selection models
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A stochastic volatility Libor model and its robust calibration
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Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
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A stochastic volatility Libor model and its robust calibration
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Stochastic volatility for factor Heath–Jarrow–Morton framework
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Robust utility maximization in a stochastic factor model
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Moment based estimation of supOU processes and a related stochastic volatility model