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Fuzzy uncertainty in the Heston stochastic volatility model

Figà-Talamanca, Gianna; Guerra, Maria Letizia; … - In: Fuzzy economic review : the review of the International … 16 (2011) 2, pp. 3-19

Persistent link: https://www.econbiz.de/10009549507

Towards a coherent volatility pricing model: an empirical comparison

Figà-Talamanca, Gianna; Guerra, Maria Letizia - In: Financial modelling : with 74 tables : [a selection of …, (pp. 159-169). 2000

Persistent link: https://www.econbiz.de/10001484973

Market application of the fuzzy-stochastic approach in the Heston option pricing model

Figà-Talamanca, Gianna; Guerra, Maria Letizia; … - In: Finance a úvěr 62 (2012) 2, pp. 162-179

Persistent link: https://www.econbiz.de/10009740500

Model-based arbitrage in multi-exchange models for Bitcoin price dynamics

Bistarelli, Stefano; Cretarola, Alessandra; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 23-46

Persistent link: https://www.econbiz.de/10012223861

Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics

Cretarola, Alessandra; Figà-Talamanca, Gianna - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508016

Haezendonck-Goovaerts risk measures and Orlicz quantiles

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 107-114

Persistent link: https://www.econbiz.de/10009558264

Generalized quantiles as risk measures

Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48

Persistent link: https://www.econbiz.de/10010259683

On Haezendonck risk measures

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994

Persistent link: https://www.econbiz.de/10003733781

On the existence of minimax martingale measures

Bellini, Fabio; Frittelli, Marco - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10001686149

Comparison Results for GARCH Processes

Bellini, Fabio - 2012

We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their...

Persistent link: https://www.econbiz.de/10013107661