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~person:"Agarwalla, Sobhesh Kumar"
~person:"Bianchi, Michele Leonardo"
~person:"Rubio, Gonzalo"
~source:"econis"
~subject:"ARCH model"
~subject:"CAPM"
~subject:"Stochastischer Prozess"
~subject:"volatility smile"
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Agarwalla, Sobhesh Kumar
Bianchi, Michele Leonardo
Rubio, Gonzalo
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3
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1
Harvesting the
volatility
smile
in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
2
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
Saved in:
3
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
4
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca
;
Bianchi, Michele Leonardo
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
Saved in:
5
Why do we smile? : On the determinants of the implied volatility function
Peña Sánchez de Rivera, Juan Ignacio
;
Rubio, Gonzalo
; …
- In:
Journal of banking & finance
23
(
1999
)
8
,
pp. 1151-1179
Persistent link: https://www.econbiz.de/10001391604
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