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On the approximation of the SABR with mean reversion model : a probabilistic approach

Kennedy, Joanne E.; Pham, Duy - In: Applied mathematical finance 21 (2014) 5/6, pp. 451-481

Persistent link: https://www.econbiz.de/10010500879

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

Analysis of VIX Markets with a time-spread portfolio

Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408

Persistent link: https://www.econbiz.de/10011704261

A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model

Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134

Persistent link: https://www.econbiz.de/10013465872

A reduced-form contingent convertible bond model with deterministic conversion intensity

Cheridito, Patrick; Xu, Zhikai - In: Journal of risk 17 (2014/15) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10011298892

Capital structure models and contingent convertible securities

Meng, Di; Metzler, Adam; Reesor, R. Mark - In: Risks : open access journal 12 (2024) 3, pp. 1-35

securities (CoCos). Typical studies involving capital structure model calibration focus on non-financial firms as they have lower …

Persistent link: https://www.econbiz.de/10014497414

A stochastic volatility libor model and its robust calibration

Belomestny, Denis; Matthew, Stanley; Schoenmakers, John … - 2007

processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The … calibration algorithm is FFT based, so fast and easy to implement. …

Persistent link: https://www.econbiz.de/10010276591

Joint pricing of VIX and SPX options with stochastic volatility and jump models

Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10010513370

Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model

Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98

Persistent link: https://www.econbiz.de/10011298899

Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration

Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588

Persistent link: https://www.econbiz.de/10011530043

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