Search Results - person:"Durham, Garland B." - EconBiz

Risk-neutral modeling with affine and nonaffine models

Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681

Persistent link: https://www.econbiz.de/10010233868

Risk-neutral Modeling with Affine and Nonaffine Models

Durham, Garland B. - In: Journal of Financial Econometrics 11 (2013) 4, pp. 650-681

Option prices provide a great deal of information regarding the market's expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This article...

Persistent link: https://www.econbiz.de/10010741514

SV mixture models with application to S&P 500 index returns

Durham, Garland B. - In: Journal of financial economics 85 (2007) 3, pp. 822-856

Persistent link: https://www.econbiz.de/10003538066

SV mixture models with application to S&P 500 index returns

Durham, Garland B. - In: Journal of Financial Economics 85 (2007) 3, pp. 822-856

Persistent link: https://www.econbiz.de/10005210613

SV mixture models with application to S&P 500 index returns

Durham, Garland B. - In: Journal of financial economics 85 (2007) 3, pp. 822-856

Persistent link: https://www.econbiz.de/10007761399

Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-305

Persistent link: https://www.econbiz.de/10003354577

Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-306

Persistent link: https://www.econbiz.de/10007288079

Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

Durham, Garland B. - In: Journal of Econometrics 133 (2006) 1, pp. 273-305

Persistent link: https://www.econbiz.de/10005052774

Likelihood-based specification analysis of continuous-time models of the short-term interest rate

Durham, Garland B. - In: Journal of financial economics 70 (2003) 3, pp. 463-487

Persistent link: https://www.econbiz.de/10001837787

Likelihood-based specification analysis of continuous-time models of the short-term interest rate

Durham, Garland B. - In: Journal of Financial Economics 70 (2003) 3, pp. 463-487

Persistent link: https://www.econbiz.de/10005362782

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