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Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

Persistent link: https://www.econbiz.de/10010426624

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

Pricing and Risk Management with Stochastic Volatility Using Importance Sampling

Stilger, Przemyslaw Stan - 2014

Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic … volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling …

Persistent link: https://www.econbiz.de/10013065164

Valuing catastrophe derivatives under limited diversification : a stochastic dominance approach

Perrakis, Stylianos; Boloorforoosh, Ali - In: Journal of banking & finance 37 (2013) 8, pp. 3157-3168

Persistent link: https://www.econbiz.de/10009778483

Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

Persistent link: https://www.econbiz.de/10009634376

An investigation of model risk in a market with jumps and stochastic volatility

Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658

Persistent link: https://www.econbiz.de/10011493990

Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model

Mozumder, Sharif; Rahman, Arafatur - In: Annals of financial economics 11 (2016) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011685729

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

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

The Art of Quantitative Finance Vol.1 : Trading, Derivatives and Basic Concepts

Larcher, Gerhard - 2023

Basic products and interest calculations -- Derivatives and trading in derivatives, basic concepts and strategies -- Basics of derivative valuation -- The Wiener Stock Price Model and the basic principles of Black-Scholes theory.

Persistent link: https://www.econbiz.de/10014248083