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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatility"
~person:"Liu, Wei-han"
~person:"McWalter, Thomas A."
~subject:"Asymptotic expansion"
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Volatility
Asymptotic expansion
Estimation theory
2
Option pricing theory
2
Optionspreistheorie
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Volatilität
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(conditional) Value-at-Risk
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Displaced lognormal forward-LIBOR model
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Estimation
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Fourier transform method
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Method of moments
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Momentenmethode
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moment approximation
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Liu, Wei-han
McWalter, Thomas A.
Gatheral, Jim
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Ammou, Samir Ben
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International journal of theoretical and applied finance
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Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
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2
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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