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On the asymptotics of fast mean-reversion stochastic volatility models
Souza, Max O.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 817-835
Persistent link: https://www.econbiz.de/10003564654
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Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
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Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets
Lux, Thomas - 2016
Persistent link: https://www.econbiz.de/10012991383
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Convex regularization of local volatility estimation
Albani, Vinícius; Cezaro, Adriano de; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011686808