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Index volatility and the put-call ratio : a tale of three markets
Gang, Jianhua; Huang, Nan; Song, Ke; Zhang, Ruyi - In: Quantitative finance 20 (2020) 12, pp. 1983-1996
Persistent link: https://www.econbiz.de/10012313532
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
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Variance swaps valuation under non-affine GARCH models and their diffusion limits
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu - In: Quantitative finance 19 (2019) 2, pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
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Probability weighting and default risk : a possible explanation for distressed stock puzzles
Yamazaki, Akira - In: Quantitative finance 20 (2020) 5, pp. 745-767
Persistent link: https://www.econbiz.de/10012262617
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Universal regimes for rates and inflation : the effect of local elasticity on market and counterparty risk
Chorniy, Vladimir; Kotecha, Vinay - In: Quantitative finance 20 (2020) 1, pp. 99-117
Persistent link: https://www.econbiz.de/10012194857
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Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670