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Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
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Statistical arbitrage with vine copulas
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Quantitative finance 18 (2018) 11, pp. 1831-1849
Persistent link: https://www.econbiz.de/10012262849
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Exploiting social media with higher-order Factorization Machines : statistical arbitrage on high-frequency data of the S&P 500
Knoll, Julian; Stübinger, Johannes; Grottke, Michael - In: Quantitative finance 19 (2019) 4, pp. 571-585
Persistent link: https://www.econbiz.de/10012194697
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Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Stübinger, Johannes - In: Quantitative finance 19 (2019) 6, pp. 921-935
Persistent link: https://www.econbiz.de/10012194730
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
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Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes; Endres, Sylvia - In: Quantitative finance 18 (2018) 10, pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
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Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665