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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira - In: Quantitative finance 18 (2018) 5, pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Orthogonal expansions for VIX options under affine jump diffusions
Barletta, Andrea; Nicolato, Elisa - In: Quantitative finance 18 (2018) 6, pp. 951-967
Persistent link: https://www.econbiz.de/10011911220
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Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
Fouque, Jean-Pierre; Saporito, Y. F. - In: Quantitative finance 18 (2018) 6, pp. 1003-1016
Persistent link: https://www.econbiz.de/10011911259
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A term structure model of interest rates with quadratic volatility
Takamizawa, Hideyuki - In: Quantitative finance 18 (2018) 7, pp. 1173-1198
Persistent link: https://www.econbiz.de/10011911531
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Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Hua, Qiuling; Jiang, Tingfeng; Cheng, Zhang - In: Quantitative finance 18 (2018) 9, pp. 1501-1515
Persistent link: https://www.econbiz.de/10011913179
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Option prices and stock market momentum : evidence from China
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng F. - In: Quantitative finance 18 (2018) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10011913187
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Dividend derivatives
Tunaru, Radu - In: Quantitative finance 18 (2018) 1, pp. 63-81
Persistent link: https://www.econbiz.de/10011905830