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~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
Saved in:
2
Modeling the dynamics of credit spreads with stochastic volatility
Jacobs, Kris
;
Li, Xiaofei
- In:
Management science : journal of the Institute for …
54
(
2008
)
6
,
pp. 1176-1188
Persistent link: https://www.econbiz.de/10003737492
Saved in:
3
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
- In:
Management science : journal of the Institute for …
60
(
2014
)
9
,
pp. 2248-2268
Persistent link: https://www.econbiz.de/10010461908
Saved in:
4
Information in the term structure : a forecasting perspective
Doshi, Hitesh
;
Jacobs, Kris
;
Liu, Rui
- In:
Management science : journal of the Institute for …
67
(
2021
)
8
,
pp. 5255-5277
Persistent link: https://www.econbiz.de/10012625107
Saved in:
5
Which GARCH Model for Option Valuation?
Christoffersen, Peter
;
Jacobs, Kris
- In:
Management science : journal of the Institute for …
50
(
2004
)
9
,
pp. 1204-1221
Persistent link: https://www.econbiz.de/10006080250
Saved in:
6
Modeling the Dynamics of Credit Spreads with Stochastic Volatility
Jacobs, Kris
;
Li, Xiaofei
- In:
Management science : journal of the Institute for …
54
(
2008
)
6
,
pp. 1176-1188
Persistent link: https://www.econbiz.de/10008063951
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