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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
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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
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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
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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
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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
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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