Search Results - person:"Goard, Joanna"

Ke, Ziwei; Goard, Joanna - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10012012942

Valuation of options on oil futures under the 3/4 oil price model

Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12

Persistent link: https://www.econbiz.de/10011418854

Stochastic models for oil prices and the pricing of futures on oil

Oud, Mohammed A. Aba; Goard, Joanna - In: Applied mathematical finance 22 (2015) 1/2, pp. 189-206

Persistent link: https://www.econbiz.de/10010505133

In-arrears interest rate derivatives under the 3/2 model

Goard, Joanna - In: Modern economy 6 (2015) 6, pp. 707-716

Persistent link: https://www.econbiz.de/10011384559

Stochastic-volatility models and the pricing of VIX options

Goard, Joanna; Mazur, Mathew - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 439-458

Persistent link: https://www.econbiz.de/10009783359

STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS

Goard, Joanna; Mazur, Mathew - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 439-458

Persistent link: https://www.econbiz.de/10010131899

A time-dependent variance model for pricing variance and volatility swaps

Goard, Joanna - In: Applied mathematical finance 18 (2011) 1/2, pp. 51-70

Persistent link: https://www.econbiz.de/10009155489

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps

Goard, Joanna - In: Applied Mathematical Finance 18 (2011) 1, pp. 51-70

Analytic solutions are found for prices of variance and volatility swaps under a new time-dependent stochastic model for the dynamics of variance. The main features of the new stochastic differential equation are (1) an empirically validated cν3/2 diffusion term and (2) a free function of time...

Persistent link: https://www.econbiz.de/10009279106

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps

Goard, Joanna - In: Applied mathematical finance 18 (2011) 1, pp. 51-71

Persistent link: https://www.econbiz.de/10008844201

Using utility functions to model risky bonds

Goard, Joanna - In: Applied mathematical finance 14 (2007) 3, pp. 261-289

Persistent link: https://www.econbiz.de/10003543033