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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The American economic review"
~language:"eng"
~person:"Funahashi, Hideharu"
~person:"Grzelak, Lech A."
~person:"Rubio-Ramírez, Juan Francisco"
~person:"Takahashi, Akihiko"
~subject:"Volatility"
~type_genre:"Article in journal"
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Funahashi, Hideharu
Grzelak, Lech A.
Rubio-Ramírez, Juan Francisco
Takahashi, Akihiko
Benth, Fred Espen
6
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5
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International journal of theoretical and applied finance
The American economic review
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2
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ECONIS (ZBW)
13
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1
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
2
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
3
An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
Saved in:
4
Fiscal volatility shocks and economic activity
Fernández-Villaverde, Jesús
;
Guerrón-Quintana, Pablo A.
- In:
The American economic review
105
(
2015
)
11
,
pp. 3352-3384
Persistent link: https://www.econbiz.de/10011413003
Saved in:
5
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
6
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
7
Risk matters : the real effects of volatility shocks : comment
Born, Benjamin
;
Pfeifer, Johannes
- In:
The American economic review
104
(
2014
)
12
,
pp. 4231-4239
Persistent link: https://www.econbiz.de/10011457071
Saved in:
8
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
9
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
10
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
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