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Stock Market Volatility and Mathematical Expectations
James, Robert G. - 2019
It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are driven by “irrational exuberance” or “animal spirits”. As shown in this paper, there is an alternative explanation. If ex-ante and ex-post expectations are calculated in...
Persistent link: https://www.econbiz.de/10012862894
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On the inverse problem of Dupire's education with nonlocal boundary and integral conditions
Guler, Coskun; Oban, Volkan - In: Journal of mathematical finance 7 (2017) 4, pp. 934-940
Persistent link: https://www.econbiz.de/10011859946
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Stock market risk-return inference : an unconditional non-parametric approach
Mikosch, Thomas; Starica, Catalin - 2005
Persistent link: https://www.econbiz.de/10002789961
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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Time change, volatility, and turbulence
Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen - In: Mathematical control theory and finance, (pp. 29-53). 2008
Persistent link: https://www.econbiz.de/10003755554
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Regular variation and smile asymptotics
Benaim, S.; Friz, P. - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10003818197
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An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862-893
Persistent link: https://www.econbiz.de/10003900928
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Local well-posedness of Musiela's SPDE with Lévy noise
Marinelli, Carlo - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 341-363
Persistent link: https://www.econbiz.de/10008665088
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Minimizing the probability of lifetime ruin under stochastic volatility
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 194-206
Persistent link: https://www.econbiz.de/10009242040
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Size distortion in the analysis of volatility and covolatility effects
Gouriéroux, Christian; Jasiak, Joann - In: Uncertainty analysis in econometrics with applications …, (pp. 91-118). 2013
Persistent link: https://www.econbiz.de/10009711160