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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu; Shieh, Shwu-Jane - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
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Covariance and correlation swaps for financial markets with Markov-modulated volatilities
Salvi, Giovanni; Sviščuk, Anatolij - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363946
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Historical volatility distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 417
Persistent link: https://www.econbiz.de/10001522909
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie Jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
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An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
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Estimates of the short-term rate process in an arbitrage-free framework
Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589
Persistent link: https://www.econbiz.de/10002171480
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Renormalization of Black-Scholes equation for stochastically fluctuating interest rate
Muslimov, Alexander G.; Silantʹev, Nikolai A. - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 621-634
Persistent link: https://www.econbiz.de/10001600364
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate
Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10012030903