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Extremes of multidimensional stationary diffusion processes and applications in finance
Kunz, Andreas (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763100
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Calibration and Backtesting of the Heston Model for Counterparty Credit Risk
de Innocentis, Marco - 2018
We describe a fast new method for the market implied calibration of the Heston (1993) model for equity, based on an improved version of the parabolic pricing algorithm of Levendorskii (2012). This pricing method, when used in the calibration, is much faster and more accurate, and better...
Persistent link: https://www.econbiz.de/10012936313
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Market risk, mortality risk, and sustainable retirement asset allocation : a downside risk perspective
Harlow, W. V.; Brown, Keith C. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10011690837
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Spatial dependence and aggregation in weather risk hedging : a lévy subordinated hierarchical archimedean copulas (LSHAC) approach
Zhu, Wenjun; Tan, Ken Seng; Porth, Lysa; Wang, Chou-Wen - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 779-815
Persistent link: https://www.econbiz.de/10011875814
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ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
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Probability equivalent level for CoVaR and VaR
Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35
Persistent link: https://www.econbiz.de/10015066724
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Downside risk in multiperiod tracking error models
Barro, Diana; Canestrelli, Elio - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 263-283
Persistent link: https://www.econbiz.de/10010356930
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Analysis on the growth of telecommunication services : a global comparison of diffusion patterns
Lee, Jongsu; Lee, Minkyu - In: Applied economics 41 (2009) 22/24, pp. 3143-3150
Persistent link: https://www.econbiz.de/10003895120
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Measuring telecommunication system network effects
Madden, Gary; Banerjee, Aniruddha; Coble-Neal, Grant - In: Frontiers of broadband, electronic and mobile commerce, (pp. 195-220). 2004
Persistent link: https://www.econbiz.de/10002104508
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Stock price dynamics of listed growth companies : evidence from the options market
Baule, Rainer; Tallau, Christian - In: The IUP journal of applied finance : IJAF 19 (2013) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10009696959