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subject:"Heston"
~person:"Kahl, Christian"
~person:"Kirkby, J. Lars"
~person:"Ravazzolo, Francesco"
~subject:"Stochastic process"
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Heston
Stochastic process
Stochastic volatility
17
Volatilität
16
Volatility
15
Stochastischer Prozess
14
stochastic volatility
12
option pricing
9
Option pricing theory
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characteristic function
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forecasting
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affine jump-diffusion
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damping
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moment stability
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saddlepoint approximations
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Kahl, Christian
Kirkby, J. Lars
Ravazzolo, Francesco
Mumtaz, Haroon
21
Clark, Todd E.
17
Chan, Joshua
15
Lord, Roger
15
Carriero, Andrea
14
Marcellino, Massimiliano
14
Rodriguez, Gabriel
11
Tauchen, George Eugene
11
Todorov, Viktor
11
Escobar, Marcos
10
Koopman, Siem Jan
10
Shin, Minchul
10
Theodoridis, Konstantinos
10
Bos, Charles S.
9
Cui, Zhenyu
9
Karlsson, Sune
8
Mertens, Elmar
8
Österholm, Pär
8
Schorfheide, Frank
7
Zhang, Bo
7
Chiarella, Carl
6
Diebold, Francis X.
6
Li, Jia
6
Maneesoonthorn, Worapree
6
Martin, Gael M.
6
McAleer, Michael
6
Nason, James Michael
6
Andersen, Torben
5
Asai, Manabu
5
Branger, Nicole
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Cross, Jamie
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Filipović, Damir
5
Gnoatto, Alessandro
5
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ECONIS (ZBW)
14
RePEc
4
EconStor
2
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1
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
2
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
3
Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
-
2015
-
This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
Saved in:
4
The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009627354
Saved in:
5
The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009628606
Saved in:
6
Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
Saved in:
7
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
8
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
9
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Saved in:
10
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
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