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ECONIS (ZBW)
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1
Inversion of convex ordering in the VIX market
Guyon, Julien
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1597-1623
Persistent link: https://www.econbiz.de/10012295626
Saved in:
2
Performance measurement for option portfolios in a stochastic
volatility
framework
Baule, Rainer
;
Entrop, Oliver
;
Wessels, Sebastian
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
Saved in:
3
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
4
The implied Sharpe ratio
Agarwal, Ankush
;
Lorig, Matthew
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 1009-1026
Persistent link: https://www.econbiz.de/10012262655
Saved in:
5
Mind the cap!-constrained portfolio optimisation in Heston's stochastic
volatility
model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
6
Functional Itô calculus
Dupire, Bruno
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 721-729
Persistent link: https://www.econbiz.de/10012194711
Saved in:
7
A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi
;
Takada, Hideyuki
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
Saved in:
8
The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio
;
Bormetti, Giacomo
;
Romagnoli, Silvia
; …
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
Saved in:
9
A fast algorithm for simulation of rough
volatility
models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
Saved in:
10
Short-dated smile under rough
volatility
: asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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