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Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
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Electricity futures price modeling with Lévy term structure models
Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-19
Persistent link: https://www.econbiz.de/10009672606
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Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model
Kawai, Reiichiro - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 283-295
Persistent link: https://www.econbiz.de/10003867401
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Modern logarithms for the Heston model
Fahrner, Ingo - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 23-30
Persistent link: https://www.econbiz.de/10003415501
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
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Small-time asymptotics for implied volitility under the Heston model
Forde, Martin; Jacquier, Antoine - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
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A stochastic volatility model for risk-reversals in foreign exchange
Albanese, Claudio; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899
Persistent link: https://www.econbiz.de/10003911250
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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388