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ARCH model
Option pricing theory
8
Optionspreistheorie
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Risikomaß
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Risk measure
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Statistical distribution
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Statistische Verteilung
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Stochastic process
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ARCH-Modell
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Generalized hyperbolic distributions
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Hedging
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Portfolio selection
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expected shortfall
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Ausreißer
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Back-testing
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Derivat
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Fast Fourier transform
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GARCH
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GARCH pricing
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Lévy-Khintchine formula
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Lévy–Kintchine formula
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Measurement
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Messung
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Option trading
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Optionsgeschäft
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Mozumder, Sharif
5
Kabir, M. Humayun
4
Dempsey, Michael
3
Talukdar, Bakhtear
2
Choudhry, Taufiq
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Frijns, Bart
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Kabir, Humayun
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Li, Bingxin
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Applied economics
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Applied economics letters
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International review of financial analysis
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Journal of risk finance : the convergence of financial products and insurance
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Review of quantitative finance and accounting
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ECONIS (ZBW)
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1
On practitioners closed-form GARCH option pricing
Mozumder, Sharif
;
Frijns, Bart
;
Talukdar, Bakhtear
; …
- In:
International review of financial analysis
94
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014543999
Saved in:
2
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
3
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif
;
Kabir, M. Humayun
;
Dempsey, Michael
; …
- In:
Applied economics letters
27
(
2020
)
3
,
pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
Saved in:
4
Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif
;
Kabir, Humayun
;
Dempsey, Michael
- In:
Applied economics
50
(
2018
)
56
,
pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
Saved in:
5
Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Mozumder, Sharif
;
Dempsey, Michael
;
Kabir, M. Humayun
- In:
Journal of risk finance : the convergence of financial …
18
(
2017
)
1
,
pp. 88-118
Persistent link: https://www.econbiz.de/10011653721
Saved in:
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