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Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index
Issaka, Aziz; SenGupta, Indranil - In: Annals of finance 13 (2017) 4, pp. 401-434
Persistent link: https://www.econbiz.de/10011945581
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Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging
Salmon, Nicholas; SenGupta, Indranil - In: Annals of finance 17 (2021) 4, pp. 529-558
Persistent link: https://www.econbiz.de/10012664151
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Bank default indicators with volatility clustering
Kenç, Turalay; Cevik, Emrah Ismail; Dibooglu, Sel - In: Annals of finance 17 (2021) 1, pp. 127-151
Persistent link: https://www.econbiz.de/10012489940