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Skew Brownian motion and pricing European options
Corns, T. R. A.; Satchell, Stephen - In: The European journal of finance 13 (2007) 5/6, pp. 523-544
Persistent link: https://www.econbiz.de/10003570605
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The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process
Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290
Persistent link: https://www.econbiz.de/10010462111
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GARCH processes - some exact results, some difficulties and a suggested remedy
Knight, John L.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 365-389). 2007
Persistent link: https://www.econbiz.de/10003873026
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Efficient estimation of the stochastic volatility model by the empirical characteristic function method
Knight, John L.; Satchell, Stephen; Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435264
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Forecasting (LOG) volatility models
Christodoulakis, George A.; Satchell, Stephen - 1998
Persistent link: https://www.econbiz.de/10000998647
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Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility …
Persistent link: https://www.econbiz.de/10011841506
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Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...
Persistent link: https://www.econbiz.de/10011761934
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Optimizing optimization : the next generation of optimization applications and theory
Satchell, Stephen - 2010
Persistent link: https://www.econbiz.de/10003904112
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Computing optimal mean/downside risk frontiers : the role of ellipticity
Hall, Tony; Satchell, Stephen - In: Optimizing optimization : the next generation of …, (pp. 179-199). 2010
Persistent link: https://www.econbiz.de/10003939154
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Robust optimization for utilizing forecasted returns in institutional investment
Koutsoyannis, Christos; Satchell, Stephen - In: Forecasting expected returns in the financial markets, (pp. 177-189). 2007
Persistent link: https://www.econbiz.de/10003557954