Similar Search Results

Processes of normal inverse Gaussian type

Barndorff-Nielsen, Ole E. - In: Finance and stochastics 2 (1998) 1, pp. 41-68

Persistent link: https://www.econbiz.de/10001230156

Pricing average and spread options under local-stochastic volatility jump-diffusion models

Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333

Persistent link: https://www.econbiz.de/10012001122

An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach

Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373

Persistent link: https://www.econbiz.de/10011619975

A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance

Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371

Persistent link: https://www.econbiz.de/10011642221

On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model

Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541

Persistent link: https://www.econbiz.de/10011338705

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Power variation & stochastic volatility : a review and some new results

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001759031

Power and bipower variation with stochastic volatility and jumps

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001759032

Multipower variation and stochastic volatility

Barndorff-Nielsen, Ole E. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002704097

Power and bipower variation with stochastic volatility and jumps

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10002214180