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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
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Risk factors and their associated risk premia : an empirical analysis of the crude oil market
Hain, Martin; Uhrig-Homburg, Marliese; Unger, Nils - In: Journal of banking & finance 95 (2018), pp. 44-63
Persistent link: https://www.econbiz.de/10011966706
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The role of jumps and options in the risk premia of interest rates
Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea; Zenios, Stauros Andrea - 2018
Persistent link: https://www.econbiz.de/10011884964
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Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of economic dynamics & control 88 (2018), pp. 137-155
Persistent link: https://www.econbiz.de/10011973933
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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
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Modelling electricity swaps with stochastic forward premium models
Blanco, Iván; Peña Sánchez de Rivera, Juan Ignacio; … - In: The energy journal 39 (2018) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10011825389
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591