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isPartOf:"MPRA Paper"
~isPartOf:"Quantitative finance"
~person:"Kienitz, Jörg"
~subject:"Stochastic volatility"
~subject:"Volatility"
~subject:"exchange rate"
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Stochastic volatility
Volatility
exchange rate
Approximation formula
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Option pricing theory
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Stochastic process
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Stochastischer Prozess
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Kienitz, Jörg
Caiado, Jorge
5
Crato, Nuno
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Masih, Mansur
5
Onour, Ibrahim
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Sinha, Pankaj
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Escobar, Marcos
4
Gatheral, Jim
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Radoičić, Radoš
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Sornette, Didier
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Bayer, Christian
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Camilleri, Silvio John
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Dumitriu, Ramona
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Felpel, Mike
3
Ghiba, Nicolae
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Horvath, Blanka Nora
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Jacquier, Antoine
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Lillo, Fabrizio
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Mapa, Dennis S.
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McWalter, Thomas A.
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Stefanescu, Razvan
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MPRA Paper
Quantitative finance
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Financial Engineering Explained
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Financial engineering explained
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Springer eBook Collection / Economics and Finance
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ECONIS (ZBW)
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Effective stochastic local volatility models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1731-1750
Persistent link: https://www.econbiz.de/10014452467
Saved in:
2
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
3
Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
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