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~person:"Alòs, Elisa"
~person:"Jacquier, Antoine (Jack)"
~person:"Medeiros, Marcelo C."
~person:"Nguyen, Duy"
~subject:"Optionsgeschäft"
~subject:"Stochastischer Prozess"
~subject:"realized volatility"
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Search: subject:"Volatility"
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Optionsgeschäft
Stochastischer Prozess
realized volatility
Volatilität
111
Volatility
109
Option pricing theory
65
Optionspreistheorie
65
Stochastic process
55
Prognoseverfahren
22
Forecasting model
20
Option trading
19
Schätzung
19
Estimation
18
Theorie
16
Theory
16
Börsenkurs
13
Share price
12
Malliavin calculus
11
Stochastic volatility
11
forecasting
11
Capital income
10
Kapitaleinkommen
10
Markov chain
10
Markov-Kette
10
Zeitreihenanalyse
10
Black-Scholes model
9
Black-Scholes-Modell
9
Derivat
9
Derivative
9
Time series analysis
9
Neural networks
8
Neuronale Netze
8
ARCH-Modell
7
Nichtlineare Regression
7
financial econometrics
7
Experiment
6
Nonlinear regression
6
Realized volatility
6
USA
6
smooth transition
6
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Free
46
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Book / Working Paper
49
Article
21
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Article in journal
21
Aufsatz in Zeitschrift
21
Working Paper
14
Arbeitspapier
12
Graue Literatur
11
Non-commercial literature
11
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English
67
Undetermined
3
Author
All
Alòs, Elisa
Jacquier, Antoine (Jack)
Medeiros, Marcelo C.
Nguyen, Duy
McAleer, Michael
87
Asai, Manabu
47
Koopman, Siem Jan
39
Todorov, Viktor
38
Cui, Zhenyu
34
Chan, Joshua
33
Bollerslev, Tim
30
Chiarella, Carl
30
Barndorff-Nielsen, Ole E.
25
Clark, Todd E.
25
Escobar, Marcos
25
Mumtaz, Haroon
25
Yu, Jun
25
Shephard, Neil G.
23
Tauchen, George Eugene
23
Andersen, Torben
22
Fouque, Jean-Pierre
22
Andersen, Torben G.
21
Bos, Charles S.
21
Carr, Peter
20
Martin, Gael M.
20
Carriero, Andrea
19
Diebold, Francis X.
19
Hafner, Christian M.
19
Scharth, Marcel
19
Zhang, Jin E.
19
Caporin, Massimiliano
18
Christensen, Bent Jesper
18
Marcellino, Massimiliano
18
Platen, Eckhard
18
Gupta, Rangan
17
Härdle, Wolfgang
17
Kang, Boda
17
Madan, Dilip B.
17
Nielsen, Morten Ørregaard
17
Renò, Roberto
17
Rodriguez, Gabriel
17
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Department of Economics and Finance, College of Business and Economics
2
Institute of Economic Research, Kyoto University
2
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
School of Economics and Management, University of Aarhus
1
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
7
International journal of theoretical and applied finance
3
European journal of operational research : EJOR
2
Finance and stochastics
2
KIER Working Papers
2
Quantitative finance
2
Texto para discussão
2
Working Papers in Economics
2
Annals of Finance, Forthcoming
1
Annals of finance
1
Applied mathematical finance
1
Barcelona GSE working paper series : working paper
1
CARF working paper
1
CREATES Research Papers
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Documentos de Trabajo del ICAE
1
Econometric Institute research papers
1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of financial engineering
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics and financial economics
1
Revista Brasileira de Finanças : RBFin
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
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1
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ECONIS (ZBW)
62
RePEc
6
EconStor
2
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1
Forward start
volatility
swaps in rough
volatility
models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
Saved in:
2
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
3
The implied
volatility
of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
4
The implied
volatility
of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
5
A Unified Tree Approach For Options Pricing Under Stochastic
Volatility
Models
Lo, Chia
;
Nguyen, Duy
;
Skindilias, Konstantinos
-
2022
We develop a simple and efficient tree approach for pricing options under stochastic
volatility
. Our method encompasses …
Persistent link: https://www.econbiz.de/10013492423
Saved in:
6
Target
volatility
option pricing in the lognormal fractional SABR model
Alòs, Elisa
;
Chatterjee, Rupak
;
Tudor, Sebastian F.
; …
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1339-1356
Persistent link: https://www.econbiz.de/10012194791
Saved in:
7
Exponentiation of conditional expectations under stochastic
volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
8
The Log Moment formula for implied
volatility
Jacquier, Antoine (Jack)
;
Raval, Vimal
-
2021
wing of the implied
volatility
smile is less constrained than Lee's bound. The result is rationalised by a market trading … expressing variance swaps in terms of the implied
volatility
…
Persistent link: https://www.econbiz.de/10013241823
Saved in:
9
Efficient simulation of generalized SABR and stochastic local
volatility
models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
10
CVA and vulnerable options in Stochastic
volatility
models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
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