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Random matrix models for datasets with fixed time horizons
Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
Hambuckers, J.; Kneib, Thomas; Langrock, Roland; … - In: Quantitative finance 18 (2018) 10, pp. 1679-1698
Persistent link: https://www.econbiz.de/10012259864
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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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On the first hitting time density for a reducible diffusion process
Lipton, Alexander; Kaushansky, Vadim - In: Quantitative finance 20 (2020) 5, pp. 723-743
Persistent link: https://www.econbiz.de/10012262616
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Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
Chan, Tat Lung - In: Quantitative finance 20 (2020) 8, pp. 1325-1343
Persistent link: https://www.econbiz.de/10012262665