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Quantitative finance
CESifo Working Paper
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ECONIS (ZBW)
196
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Bond and option pricing for interest rate model with clustering effects
Zhang, Xin
;
Xiong, Jie
;
Shen, Yang
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
Saved in:
5
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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6
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
Alonso-García, Jennifer
;
Wood, Oliver
;
Ziveyi, Jonathan
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1049-1075
Persistent link: https://www.econbiz.de/10011911282
Saved in:
7
Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.
;
Gass, M.
;
Glau, Kathrin
;
Mahlstedt, M.
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
Saved in:
8
Singular Fourier-Padé series expansion of European option prices
Chan, Tat Lung
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1149-1171
Persistent link: https://www.econbiz.de/10011911530
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9
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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10
Interest rate trees : extensions and applications
Hull, John
;
White, Alan
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1199-1209
Persistent link: https://www.econbiz.de/10011911532
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