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ECONIS (ZBW)
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1
Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe
;
Kirkby, Justin Lars
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
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2
W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
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3
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
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4
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
Uberti, Pierpaolo
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 877-886
Persistent link: https://www.econbiz.de/10014304382
Saved in:
5
The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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6
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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7
Tempered stable processes with time-varying exponential tails
Kim, Young Shin
;
Roh, Kum-Hwan
;
Douady, Raphaël
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
Saved in:
8
Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 255-271
Persistent link: https://www.econbiz.de/10013167736
Saved in:
9
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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10
Some analytical results on bivariate stable distributions with an application in operational risk
Tafakori, Laleh
;
Bee, Marco
;
Soltani, Ahmad Reza
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1355-1369
Persistent link: https://www.econbiz.de/10013367907
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