Similar Search Results

Treasury option returns and models with unspanned risks

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10014462650

Experiments in Quantitative Finance

Gibbons, Joel - 2017 - 1st.

Persistent link: https://www.econbiz.de/10014499323

An assessment of model risk in pricing wind derivatives

Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502

Persistent link: https://www.econbiz.de/10014436785

Discount models

Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946

Persistent link: https://www.econbiz.de/10014426399

The pricing kernel in options

Heston, Steven L.; Jacobs, Kris; Kim, Hyung Joo - 2023

Persistent link: https://www.econbiz.de/10014385050

Empirical asset pricing with functional factors

Nadler, Philip; Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 4, pp. 1258-1281

Persistent link: https://www.econbiz.de/10014391457

Deep equal risk pricing of financial derivatives with non-translation invariant risk measures

Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27

The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in several prior studies provides more flexibility...

Persistent link: https://www.econbiz.de/10014391590

Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: International journal of financial engineering 10 (2023) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10014444661

Arbitrage pricing theory for idiosyncratic variance factors

Renaut, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of financial econometrics 21 (2023) 5, pp. 1403-1442

Persistent link: https://www.econbiz.de/10014444683

The term structure of short selling costs

Weitzner, Gregory - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 2125-2161

Persistent link: https://www.econbiz.de/10014445766