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Tools and techniques
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898678
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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
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Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343
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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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A spectral estimation of tempered stable stochastic volatility models and option pricing
Li, Junye; Favero, Carlo A.; Ortu, Fulvio - 2010
Persistent link: https://www.econbiz.de/10011334802
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10011338705