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Search: subject:"Target volatility"
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Volatility
13
Volatilität
13
Portfolio selection
7
Portfolio-Management
7
Option pricing theory
6
Optionspreistheorie
6
Stochastic process
6
Stochastischer Prozess
6
Volatility derivatives
4
Derivat
3
Derivative
3
Option trading
3
Optionsgeschäft
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Target volatility
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Target volatility option
3
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3
Theory
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target volatility
3
Altersvorsorge
2
Analysis
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Black and Scholes
2
Double digital call
2
Experiment
2
Hedging
2
Mathematical analysis
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Neural networks
2
Neuronale Netze
2
Realized volatility
2
Retirement provision
2
Taylor expansion
2
parabolic equations
2
partial differential equations
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quadratic variation
2
robust hedging
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stochastic volatility models
2
target volatility option
2
target volatility strategy
2
Analysis of variance
1
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Artificial intelligence
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Undetermined
12
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Article
15
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English
13
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Torricelli, Lorenzo
4
Grobelny, Przemysław
2
Kaczmarek, Tomasz
2
TORRICELLI, LORENZO
2
Alòs, Elisa
1
Bai, Zefeng
1
Będowska-Sójka, Barbara
1
Chatterjee, Rupak
1
Cirelli, Simone
1
Di Graziano, Giuseppe
1
Fonseca, José da
1
GRAZIANO, GIUSEPPE DI
1
Gnoatto, Alessandro
1
Grasselli, Martino
1
Moriggia, Vittorio
1
Olivieri, Annamaria
1
Ortobelli Lozza, Sergio
1
Perez, Katarzyna
1
Steblovskaya, Victoria
1
Thirurajah, Samuel
1
Tudor, Sebastian F.
1
Vitali, Sebastiano
1
Wallbaum, Kai
1
Wang, Tai-Ho
1
Wang, Xingchun
1
Wang, Zhiqiang
1
Xiong, Haifang
1
Yang, Gaofei
1
Ziveyi, Jonathan
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International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of theoretical and applied finance
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Applied mathematical finance
1
Asia-Pacific journal of financial studies
1
Economics and business review
1
Finance research letters
1
International review of economics & finance : IREF
1
Investment management and financial innovations
1
Operations research letters
1
Quantitative finance
1
Research in international business and finance
1
Review of derivatives research
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ECONIS (ZBW)
13
RePEc
2
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1
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1
Improving retirement coverage durability with
target
volatility
strategy for changing interest rate environment
Bai, Zefeng
;
Steblovskaya, Victoria
;
Wallbaum, Kai
- In:
Asia-Pacific journal of financial studies
52
(
2023
)
6
,
pp. 949-978
Persistent link: https://www.econbiz.de/10014450771
Saved in:
2
How to fly to safety without overpaying for the ticket
Kaczmarek, Tomasz
;
Grobelny, Przemysław
- In:
Economics and business review
9
(
2023
)
2
,
pp. 160-183
Persistent link: https://www.econbiz.de/10014636356
Saved in:
3
Target
volatility
strategies for group self-annuity portfolios
Olivieri, Annamaria
;
Thirurajah, Samuel
;
Ziveyi, Jonathan
- In:
ASTIN bulletin : the journal of the International …
52
(
2022
)
2
,
pp. 591-617
Persistent link: https://www.econbiz.de/10013270078
Saved in:
4
Factor portfolio and
target
volatility
management : an analysis of portfolio performance in the U.S. and China
Xiong, Haifang
;
Yang, Gaofei
;
Wang, Zhiqiang
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 493-517
Persistent link: https://www.econbiz.de/10013345748
Saved in:
5
False safe haven assets : evidence from the
target
volatility
strategy based on recurrent neural network
Kaczmarek, Tomasz
;
Będowska-Sójka, Barbara
;
Grobelny, …
- In:
Research in international business and finance
60
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013412442
Saved in:
6
Pricing volatility-equity options under the modified constant elasticity of variance model
Wang, Xingchun
- In:
Finance research letters
38
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012490200
Saved in:
7
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:
8
Volatility targeting using delayed diffusions
Torricelli, Lorenzo
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
Saved in:
9
A conservative discontinuous
target
volatility
strategy
Cirelli, Simone
;
Vitali, Sebastiano
;
Ortobelli Lozza, Sergio
- In:
Investment management and financial innovations
14
(
2017
)
2
,
pp. 176-190
Persistent link: https://www.econbiz.de/10011817964
Saved in:
10
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Torricelli, Lorenzo
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011742279
Saved in:
1
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