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Modelling energy spot prices by Lévy semistationary processes
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10003959807
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Exponential conditional volatility models
Harvey, Andrew C. - 2010
Persistent link: https://www.econbiz.de/10008649425
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Nonparametric estimation for a stochastic volatility model
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Y. - In: Finance and stochastics 14 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003924782
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A case study of condition based maintenance modelling based upon the oil analysis data of marine diesel engines using stochastic filtering
Wang, Wenbin; Hussin, B.; Jefferis, Tim - In: International journal of production economics 136 (2012) 1, pp. 84-92
Persistent link: https://www.econbiz.de/10009503677
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Computing DSGE models with recursive preferences and stochastic volatility
Caldara, Dario; Fernández-Villaverde, Jesús; … - 2012
Persistent link: https://www.econbiz.de/10009505593
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Testing the local volatility assumption : a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - In: Annals of finance 8 (2012) 1, pp. 31-48
Persistent link: https://www.econbiz.de/10009510584
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Symposium on stochastic volatility : an introductory overview
Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 151-157
Persistent link: https://www.econbiz.de/10009548135
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Pricing, implementation and calibration of credit derivatives in incomplete market
Houssou, Régis - 2011
After the financial crisis of 2UU8. it is observed that tlie liquidity of many credit derivatives has dried up. The existence of illiquid credit derivatives that can not be perfectly hedged means that the market is incomplete. Therefore. the classical risk-neutral approach to valuing the credit...
Persistent link: https://www.econbiz.de/10009523460
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009524097
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009539803