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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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Estimating Correlated Jumps and Stochastic Volatilities
Witzany, Jiri - 2011
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...
Persistent link: https://www.econbiz.de/10013121407
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Calibration of local correlation models to basket smiles
Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10011691606
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A stochastically correlated bivariate square-root model
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
is, via a constant correlation coefficient. Note that closed-form solutions for the conditional characteristic and moment …
Persistent link: https://www.econbiz.de/10014636327
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Simulation of tempered stable Lévy bridges and its applications
Kim, Kyoung-Kuk; Kim, Sojung - In: Operations research 64 (2016) 2, pp. 495-509
Persistent link: https://www.econbiz.de/10011485601
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Exact simulation of the 3/2 model
Baldeaux, jan - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
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A structural framework for the pricing of corporate securities : economic and empirical issues
Genser, Michael - 2006
Persistent link: https://www.econbiz.de/10003042068
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan - 2019
Persistent link: https://www.econbiz.de/10012197036
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Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions
Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015077292