Narrow search
Showing 1 - 10 of 4,544
Cover Image
A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
Cover Image
Option pricing when the regime-switching risk is priced
Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - 2007
Persistent link: https://www.econbiz.de/10003647140
Cover Image
Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
Persistent link: https://www.econbiz.de/10013165295
Cover Image
Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Cover Image
Efficient bond price approximations in nonlinear equilibrium-based term structure models
Andreasen, Martin Møller; Zabczyk, Pawel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011311205
Cover Image
A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
Cover Image
The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Cover Image
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Cover Image
Price and volatility co-jumps
Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
Cover Image
Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338
Persistent link: https://www.econbiz.de/10011642179