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Stochastic process
Volatility modelling
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ECONIS (ZBW)
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Modelling energy spot prices : empirical evidence from NYMEX
Nomikos, Nikos K.
;
Andriosopoulos, Kostas
- In:
Energy economics
34
(
2012
)
4
,
pp. 1153-1169
Persistent link: https://www.econbiz.de/10009688111
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2
Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR
Irfan, Mohammad
;
Irfan, Maria
;
Awais, Muhammad
- In:
International journal of economic perspectives : IJEP
4
(
2010
)
4
,
pp. 635-654
Persistent link: https://www.econbiz.de/10011587802
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3
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
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4
Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, Blanka Nora
;
Muguruza, Aitor
;
Tomas, Mehdi
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 11-27
Persistent link: https://www.econbiz.de/10012424629
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