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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"Working Papers / School of Economics and Finance, Queen Mary"
~subject:"Business cycle"
~subject:"Portfolio selection"
~subject:"Stochastic volatility"
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Search: subject:"Stochastic Volatility"
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Business cycle
Portfolio selection
Stochastic volatility
Volatility
16
Volatilität
16
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13
Stochastischer Prozess
13
Option pricing theory
11
Optionspreistheorie
11
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Mumtaz, Haroon
3
Kapetanios, George
2
Li, Shaoyu
2
Tzavalis, Elias
2
Alessandri, Piergiorgio
1
Bian, Zhicun
1
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1
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1
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1
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1
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1
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School of Economics and Finance, Queen Mary
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The North American journal of economics and finance : a journal of financial economics studies
Working Papers / School of Economics and Finance, Queen Mary
Journal of econometrics
35
Quantitative finance
32
Quantitative Finance
24
Journal of economic dynamics & control
23
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Physica A: Statistical Mechanics and its Applications
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ECONIS (ZBW)
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1
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng
;
He, Yong
;
Li, Ziqiang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Saved in:
2
Is there one safe-haven for various turbulences? : the evidence from gold, Bitcoin and Ether
Będowska-Sójka, Barbara
;
Kliber, Agata
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012821881
Saved in:
3
A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Li, Shaoyu
;
Zhang, Yuanyuan
;
Zhu, Chunhui
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013188207
Saved in:
4
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
5
The role of credit supply shocks in pacific alliance countries : a TVP-VAR-SV approach
Guevara, Carlos
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012657024
Saved in:
6
Generalized affine transform on pricing quanto range accrual note
Li, Shaoyu
;
Huang, Henry He
;
Zhang, Teng
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012665783
Saved in:
7
Leverage effect on
stochastic
volatility
for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
Saved in:
8
Approximate analytic solution for Asian options with
stochastic
volatility
Lin, Chung-Gee
;
Chang, Chia-Chang
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667176
Saved in:
9
Variance swaps with double exponential Ornstein-Uhlenbeck
stochastic
volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
10
CVA for Cliquet options under Heston model
Feng, Yaqin
;
Wang, Min
;
Zhang, Yuanqing
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
Saved in:
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