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Multiple subordinated modeling of asset returns : implications for option pricing

Shirvani, Abootaleb; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Econometric reviews 40 (2021) 3, pp. 290-319

Persistent link: https://www.econbiz.de/10012515600

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378

Persistent link: https://www.econbiz.de/10011963681

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

Systemic risk modeling with Lévy copulas

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20

We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...

Persistent link: https://www.econbiz.de/10012588056