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Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
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Wavelet optimized valuation of financial derivatives
Wiart, B. Carton de; Dempster, Michael A. H. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1113-1137
Persistent link: https://www.econbiz.de/10009407662
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Estimating the fractal dimension of the S&P 500 index using wavelet analysis
Bayraktar, Erhan; Poor, H.Vincent; Sircar, Kaushik Ronnie - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 615-643
Persistent link: https://www.econbiz.de/10002171489
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Calibration of multifactor models in electricity markets
Barlow, Martin; Gusev, Yuri; Lai, Manpo - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 101-120
Persistent link: https://www.econbiz.de/10002021476
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Analysis of effect of detrending of time-scale structure of financial data using discrete wavelet transform
Fleming, Brian J. W. (contributor) - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 375-379
Persistent link: https://www.econbiz.de/10001522889
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Identification of affine term structures from yield curve data
Aihara, Shin Ichi; Bagchi, Arunabha - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 259-283
Persistent link: https://www.econbiz.de/10008860397
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Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence
Dang-Nguyen, Stephane; Le Caillec, Jean-Marc; Hillion, Alain - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-22
Persistent link: https://www.econbiz.de/10010438521
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Regime switching term structure model under partial information
Futami, Hidenori - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 265-294
Persistent link: https://www.econbiz.de/10008992165
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Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011403202
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Multifractal fluctuations in finance
Schmitt, François; Schertzer, Daniel; Lovejoy, Shaun - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 361-364
Persistent link: https://www.econbiz.de/10001522884