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Search: subject:"Multiscale stochastic volatility"
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Option pricing theory
Optionspreistheorie
4
Stochastic process
4
Stochastischer Prozess
4
Volatility
4
Volatilität
4
Multiscale stochastic volatility
2
Calibration Problem
1
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Functional Itô calculus
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Gaussian copula
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Hamilton-Jacobi-Bellman-Isaacs equation
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Investment and reinsurance
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Joint transition density
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Mixture of power utilities
1
Multiscale Stochastic Volatility Models
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Multivariate Verteilung
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Multivariate distribution
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Option Pricing
1
Path dependence
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Perturbation methods
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Perturbation theory
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Pfadabhängigkeit
1
Reinsurance
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Rolling window methodology
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Rückversicherung
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Statistical distribution
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Statistische Verteilung
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multiscale stochastic volatility
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path dependence
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Fatone, Lorella
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Kim, See-Woo
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Ma, Yong-Ki
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Mariani, Francesca
1
Necula, Ciprian
1
Pun, Chi Seng
1
Recchioni, Maria Cristina
1
Saporito, Yuri F.
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Wong, Hoi Ying
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Zirilli, Francesco
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Computational economics
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
Saved in:
2
First-order asymptotics of path-dependent derivatives in
multiscale
stochastic
volatility
environment
Saporito, Yuri F.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011889526
Saved in:
3
Robust investment-reinsurance optimization with
multiscale
stochastic
volatility
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 245-256
Persistent link: https://www.econbiz.de/10011312060
Saved in:
4
Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella
;
Mariani, Francesca
;
Recchioni, Maria …
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 10-32
Persistent link: https://www.econbiz.de/10010240231
Saved in:
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