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~isPartOf:"International journal of theoretical and applied finance"
~language:"eng"
~person:"Gapeev, Pavel V."
~person:"Gil-Alaña, Luis A."
~person:"Rebonato, Riccardo"
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Gapeev, Pavel V.
Gil-Alaña, Luis A.
Rebonato, Riccardo
Benth, Fred Espen
13
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International journal of theoretical and applied finance
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Pricing of contingent claims in a two-dimensional model with random dividends
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
12
(
2009
)
8
,
pp. 1091-1104
Persistent link: https://www.econbiz.de/10003946574
Saved in:
12
Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
9
(
2006
)
5
,
pp. 705-746
Persistent link: https://www.econbiz.de/10003378994
Saved in:
13
Measuring the memory parameter on several transformations of asset returns
Gil-Alaña, Luis A.
- In:
International journal of theoretical and applied finance
8
(
2005
)
6
,
pp. 675-692
Persistent link: https://www.econbiz.de/10003133833
Saved in:
14
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo
;
Kainth, Dherminder
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
Saved in:
15
Long memory in financial time series data with non-Gaussian disturbances
Gil-Alaña, Luis A.
- In:
International journal of theoretical and applied finance
6
(
2003
)
2
,
pp. 119-134
Persistent link: https://www.econbiz.de/10001769123
Saved in:
16
Which process gives rise to the observed dependence of swaption implied volatility on the underlying?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
6
(
2003
)
4
,
pp. 419-442
Persistent link: https://www.econbiz.de/10001779831
Saved in:
17
Fractional integration in the stock market volatility series
Gil-Alaña, Luis A.
- In:
International journal of theoretical and applied finance
5
(
2002
)
8
,
pp. 775-783
Persistent link: https://www.econbiz.de/10001763176
Saved in:
18
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo
;
Joshi, Mark
- In:
International journal of theoretical and applied finance
5
(
2002
)
7
,
pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
Saved in:
19
Mean reversion in the Spanish market prices using fractionally integrated semiparametric techniques
DePeña, Francisco Javier
;
Gil-Alaña, Luis A.
- In:
International journal of theoretical and applied finance
5
(
2002
)
6
,
pp. 645-657
Persistent link: https://www.econbiz.de/10001743195
Saved in:
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