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On the skew and curvature of the implied and local volatilities
Alòs, Elisa; García Lorite, David; Pravosud, Makar - In: Applied mathematical finance 30 (2023) 1, pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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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
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Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo - In: Applied mathematical finance 30 (2023) 3, pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
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Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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KrigHedge : Gaussian process surrogates for Delta hedging
Ludkovski, Mike; Saporito, Yuri - In: Applied mathematical finance 28 (2021) 4, pp. 330-360
Persistent link: https://www.econbiz.de/10013411700
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On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
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Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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Stochastic volatility Gaussian Heath-Jarrow-Morton models
Valchev, Stoyan - In: Applied mathematical finance 11 (2004) 4, pp. 347-368
Persistent link: https://www.econbiz.de/10002458564