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Stochastic Volatility of Financial Assets and Default Risk
Katz, Yuri A. - 2014
fluctuations of the volatility of the firm's market value of financial assets. The minimal version of the model depends on the …
Persistent link: https://www.econbiz.de/10013048256
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Selected infinitely divisible distributions as models for financial return data - unconditional fit and option pricing
Fischer, Matthias - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001679700
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A study of Black-Scholes model’s applicability in Indian capital markets
Srivastava, Anubha; Shastri, Manjula - In: Paradigm : the journal of Institute of Management Technology 24 (2020) 1, pp. 73-92
Persistent link: https://www.econbiz.de/10012229650
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A practical guide to forecasting : financial markets volatility
Poon, Ser-Huang - 2005
Persistent link: https://www.econbiz.de/10013489917
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Essentials of stochastic finance : facts, models, theory
Širjaev, Alʹbert N. - 1999
Persistent link: https://www.econbiz.de/10001375629
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My journey through finance and stochastics
Musiela, Marek - In: Finance and stochastics 26 (2022) 1, pp. 33-58
Persistent link: https://www.econbiz.de/10012796468
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Stochastic Financial Models
Kennedy, Douglas - 2010
Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe...
Persistent link: https://www.econbiz.de/10011842700
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The financial economics of sovereign asset value : functional perspectives and market outcomes ; conference paper
Posch, Peter N.; Bowden, Roger J.; Kalteier, Eva-Maria - 2014
The asset value of government has traditionally been seen as the accounting value of public assets. We develop a detailed financial economics view on sovereign asset values using market measures to arrive at implied sovereign asset values. We establish definition and dependencies within the...
Persistent link: https://www.econbiz.de/10010486036
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Conditional Volatility Models in Financial Markets and Its Application
Babashova, Sakina - 2021
Sudden and rapid changes in the economy leads to an increase in volatility. The fact that high volatility in financial … markets brings along an increase in risk made it necessary to model it. Modeling volatility, which is accepted as a measure of … risk, will benefit investors in their attitudes towards risk. The volatility of financial variables such as exchange rates …
Persistent link: https://www.econbiz.de/10013252186
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Lévy processes in gold option modeling
Kumari, Sandya N. - In: International journal of economics and finance 12 (2020) 2, pp. 65-81
Persistent link: https://www.econbiz.de/10012202747