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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147
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Empirical dynamic asset pricing : model specification and econometric assessment
Singleton, Kenneth J. - 2006
Persistent link: https://www.econbiz.de/10003310745
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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10003313338
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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321
Persistent link: https://www.econbiz.de/10008653256
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Learning, confidence and option prices
Shaliastovich, Ivan - 2009 - Current version: October 2009
Persistent link: https://www.econbiz.de/10009355444
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Pricing swaptions under multifactor Gaussian HJM models
Nunes, Joaõ Pedro Vidal; Prazeres, Pedro Miguel Silva - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 762-789
Persistent link: https://www.econbiz.de/10011308169
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Portfolio-Optimierung und Beta-Bestimmung unter Verwendung impliziter Informationen
Saßning, Sven - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009691279
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...
Persistent link: https://www.econbiz.de/10011560691
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Evaluating option pricing model performance using model uncertainty
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2014
Persistent link: https://www.econbiz.de/10010502926