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Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Option pricing: channels, target zones and sideways markets
Kakushadze, Zura - In: Bulletin of applied economics 7 (2020) 2, pp. 25-33
Persistent link: https://www.econbiz.de/10012813830
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
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Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana - In: Journal of financial studies & research : JFSR 2018 (2018), pp. 1-7
Persistent link: https://www.econbiz.de/10011977593
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Buy rough, sell smooth
Glasserman, Paul; He, Pu - In: Options - 45 years since the publication of the …, (pp. 89-125). 2023
Persistent link: https://www.econbiz.de/10014366595
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615