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Regime switching rough Heston model
Alfeus, Mesias; Overbeck, Ludger; Schlögl, Erik - In: Journal of Futures Markets 39 (2019) 5, pp. 538-552
Persistent link: https://www.econbiz.de/10012082184
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - In: Journal of economic dynamics & control 114 (2020), pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
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On spread option pricing using two-dimensional fourier transform
Alfeus, Mesias; Schlögl, Erik - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10012153028
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
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Forecasting volatility in commodity markets with long-memory models
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios - In: Journal of commodity markets 28 (2022), pp. 1-29
Persistent link: https://www.econbiz.de/10014335250
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Meta-labeling architecture
Meyer, Michael; Joubert, Jacques Francois; Alfeus, Mesias - In: The journal of financial data science 4 (2022) 4, pp. 10-24
Persistent link: https://www.econbiz.de/10014232771