Similar Search Results

Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models

Kolliopoulos, Nikolaos - 2018

Persistent link: https://www.econbiz.de/10012386950

Robustness of stable volatility strategies

Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151

Persistent link: https://www.econbiz.de/10011575084

Jointly estimating jump beats

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

Finite difference techniques for arbitrage-free SABR

Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79

Persistent link: https://www.econbiz.de/10011689679

Option pricing in an investment risk-return setting

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638

Persistent link: https://www.econbiz.de/10012875529

Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models

Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525

Persistent link: https://www.econbiz.de/10011729607

Probability distribution and option pricing for drawdown in a stochastic volatility environment

Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354

Persistent link: https://www.econbiz.de/10008860388

Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

Yamamoto, Kyo - 2010

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment … correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for …

Persistent link: https://www.econbiz.de/10013142489

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally …

Persistent link: https://www.econbiz.de/10014446758

1
2
3
4
5
6
7
8
9
10
Next
Last