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Tempered stable and tempered infinitely divisible GARCH models

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 34 (2010) 9, pp. 2096-2109

Persistent link: https://www.econbiz.de/10008732109

A modified tempered stable distribution with volatility clustering

Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008

Persistent link: https://www.econbiz.de/10003981863

Tempered stable and tempered infinitely divisible GARCH models

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2011

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...

Persistent link: https://www.econbiz.de/10009010170

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

Fonseca, José da; Gnoatto, Alessandro; Grasselli, Martino - In: Operations research letters 43 (2015) 6, pp. 601-607

Persistent link: https://www.econbiz.de/10011416324

A flexible matrix Libor model with smiles

Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793

Persistent link: https://www.econbiz.de/10009726178

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

Smiles all around : FX joint calibration in a multi-Heston model

De Col, Alvise; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of banking & finance 37 (2013) 10, pp. 3799-3818

Persistent link: https://www.econbiz.de/10010126819

Financial market models with Lévy processes and time-varying volatility

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 32 (2008) 7, pp. 1363-1378

Persistent link: https://www.econbiz.de/10003749233

Quanto option pricing in the presence of fat tails and asymmetric dependence

Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520

Persistent link: https://www.econbiz.de/10011499753