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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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Randomised mixture models for pricing kernels
Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315
Persistent link: https://www.econbiz.de/10010511573
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Market-consistent modeling for cap-and-trade schemes and application to option pricing
Barrieu, Pauline; Fehr, Max - In: Operations research 62 (2014) 2, pp. 234-249
Persistent link: https://www.econbiz.de/10010361477
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Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.; Hamada, Ahmed S. - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
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The intrinsic bounds on the risk premium of Markovian pricing kernels
Han, Jihun; Park, Hyungbin - In: Finance research letters 13 (2015), pp. 36-44
Persistent link: https://www.econbiz.de/10011552334
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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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A binomial approximation for two-state Markovian HJM models
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Review of derivatives research 14 (2011) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Casarin, Roberto - 2015
We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...
Persistent link: https://www.econbiz.de/10013031557