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Theorie
Volatility
40,662
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25,410
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17,115
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16,675
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14,747
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Bollerslev, Tim
81
Härdle, Wolfgang
77
Phillips, Peter C. B.
70
Diebold, Francis X.
68
Lux, Thomas
67
Koopman, Siem Jan
66
McAleer, Michael
62
Chiarella, Carl
59
Schlag, Christian
53
Madan, Dilip B.
46
Yu, Jun
46
Andersen, Torben
45
Caporale, Guglielmo Maria
45
Platen, Eckhard
43
Sethi, Suresh
42
Escudero, Laureano F.
40
Branger, Nicole
39
Wystup, Uwe
39
Hautsch, Nikolaus
37
Renault, Eric
37
Li, Kai
36
Pierdzioch, Christian
36
Post, Thierry
36
Jarrow, Robert A.
35
Uppal, Raman
35
Bekaert, Geert
34
Hafner, Christian M.
34
Linton, Oliver
34
Aizenman, Joshua
33
Barndorff-Nielsen, Ole E.
33
Caporin, Massimiliano
33
Gupta, Rangan
33
Kohlmann, Michael
33
Engle, Robert F.
32
Fabozzi, Frank J.
31
Gil-Alaña, Luis A.
31
Hull, John
31
Scaillet, Olivier
31
Bauwens, Luc
30
Ghysels, Eric
30
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National Bureau of Economic Research
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Springer Fachmedien Wiesbaden
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Springer-Verlag GmbH
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Institutionen för Skogsekonomi <Ume°a>
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Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen
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University of Exeter / Department of Economics
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Centre for Actuarial Studies
3
Centre of Financial Studies
3
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
3
Federal Reserve Bank of San Francisco
3
Goethe-Universität Frankfurt am Main
3
Københavns Universitet / Økonomisk Institut
3
School of Economics and Finance <Brisbane>
3
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European journal of operational research : EJOR
468
Mathematical finance : an international journal of mathematics, statistics and financial theory
258
International journal of theoretical and applied finance
218
Finance and stochastics
216
NBER working paper series
215
Working paper / National Bureau of Economic Research, Inc.
208
Journal of econometrics
200
NBER Working Paper
182
Journal of economic dynamics & control
162
Insurance / Mathematics & economics
159
Journal of banking & finance
158
Research paper series / Swiss Finance Institute
150
Computers & operations research : and their applications to problems of world concern ; an international journal
148
Discussion paper / Tinbergen Institute
146
International journal of production research
128
Economics letters
121
Operations research
120
Swiss Finance Institute Research Paper
114
Economic modelling
111
Discussion paper / Centre for Economic Policy Research
106
Finance research letters
106
The journal of derivatives : the official publication of the International Association of Financial Engineers
106
Applied mathematical finance
105
The review of financial studies
105
Operations research letters
103
The journal of futures markets
102
CESifo working papers
100
Journal of financial economics
99
SFB 649 discussion paper
98
Working paper
98
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
92
Journal of empirical finance
90
Risks : open access journal
87
Quantitative finance
86
The journal of computational finance
86
International journal of forecasting
85
The European journal of finance
84
Energy economics
81
Journal of international money and finance
81
Econometric reviews
80
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Source
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ECONIS (ZBW)
25,404
EconStor
646
USB Cologne (EcoSocSci)
11
OLC EcoSci
6
ArchiDok
5
RePEc
1
Showing
1
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10
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date (oldest first)
1
A stochastic
volatility
libor model and its robust calibration
Belomestny, Denis
(
contributor
); …
-
2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR
volatility
… calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic
volatility
; CIR processes …
Persistent link: https://www.econbiz.de/10003635097
Saved in:
2
Conditional density models for asset pricing
Filipović, Damir
;
Hughston, Lane P.
;
Macrina, Andrea
-
2010
along with the specification of (a) the initial density, and (b) the
volatility
structure of the density. The
volatility
…
Persistent link: https://www.econbiz.de/10008797695
Saved in:
3
Implied
volatility
at expiration
Medvedev, Alexey N.
-
2008
under a broad class of stochastic
volatility
models. Based on this formula, we propose a closed-form approximation of the … implied
volatility
smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic
volatility
…
Persistent link: https://www.econbiz.de/10003961401
Saved in:
4
A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.
;
Nagaev, Sergei A.
;
Kunst, Robert M.
-
2005
Brownian motion. -- asymptotic uniformity ; local limit theorem ;
volatility
…
Persistent link: https://www.econbiz.de/10009728974
Saved in:
5
How do investors' expectations drive asset prices?
Lüders, Erik
;
Peisl, Bernhard
-
2001
stochastic
volatility
of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic
volatility
. …
Persistent link: https://www.econbiz.de/10011445936
Saved in:
6
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer
(
contributor
);
Veith, Jochen
(
contributor
)
-
2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657
Saved in:
7
Numerics of implied binomial trees
Härdle, Wolfgang
(
contributor
); …
-
2008
, especially on the BS implied
volatility
. Implied binomial trees (IBT) models capture the variations of the implied
volatility
… known as "
volatility
smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local
volatility
and the state price density …
Persistent link: https://www.econbiz.de/10003727608
Saved in:
8
Collateral Smile
Leippold, Markus
;
Su, Lujing
-
2011
prices, which translates into skew and smile patterns for implied
volatility
curves even under constant volatilities … the market. collateral requirements, funding costs,
volatility
smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
Saved in:
9
Extended Libor market models with affine and quadratic
volatility
Zühlsdorff, Christian
-
2002
dynamics has a linear
volatility
function. In this paper, the model is extended to quadratic
volatility
functions which are the …
Persistent link: https://www.econbiz.de/10011538865
Saved in:
10
The pricing of derivatives on assets with quadratic
volatility
Zühlsdorff, Christian
-
2002
Black-Scholes formula for pricing the call option. The asset's
volatility
is a linear function of the asset value and the … solved for level-dependent
volatility
which is a quadratic polynomial. If zero is attainable, both absorption and negative … for an asset whose volatiliy is affine, the formula for the Bachelier model with constant
volatility
, and new formulae in …
Persistent link: https://www.econbiz.de/10011539634
Saved in:
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