Estimating correlated jumps and stochastic volatilities
Year of publication: |
2011
|
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Authors: | Witzany, Jiří |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | jump-diffusion | stochastic volatility | MCMC | Value at Risk | Monte Carlo |
Series: | IES Working Paper ; 35/2011 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 672237369 [GVK] hdl:10419/83327 [Handle] |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets |
Source: |
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Estimating Correlated Jumps and Stochastic Volatilities
Witzany, Jiří, (2011)
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Witzany, Jiří, (2013)
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Valuation of convexity related derivatives
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