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E-Arch model for implied volat...
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Volatility
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Avellaneda, Marco
12
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2
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Applied mathematical finance
5
International journal of theoretical and applied finance
2
Applied Mathematical Finance
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
International review of economics & finance : IREF
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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ECONIS (ZBW)
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1
A risk-neutral stochastic volatility model
Zhu, Yingzi
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
Saved in:
2
An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi
- In:
Applied mathematical finance
4
(
1997
)
2
,
pp. 81-100
Persistent link: https://www.econbiz.de/10001226702
Saved in:
3
Volatility components : the term structure dynamics of VIX futures
Lu, Zhongjin
;
Zhu, Yingzi
- In:
The journal of futures markets
30
(
2010
)
3
,
pp. 230-256
Persistent link: https://www.econbiz.de/10003962468
Saved in:
4
Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu
;
Zhu, Yingzi
- In:
Management science : journal of the Institute for …
61
(
2015
)
2
,
pp. 413-430
Persistent link: https://www.econbiz.de/10010490848
Saved in:
5
Managing the volatility risk of portfolios of derivate securities : the Lagrangian uncertain volatility model
Avellaneda, Marco
- In:
Applied mathematical finance
3
(
1996
)
1
,
pp. 21-52
Persistent link: https://www.econbiz.de/10001209610
Saved in:
6
Calibrating volatility surfaces via relative-entropy minimization
Avellaneda, Marco
(
contributor
)
- In:
Applied mathematical finance
4
(
1997
)
1
,
pp. 37-64
Persistent link: https://www.econbiz.de/10001226743
Saved in:
7
Combinatorial implications of nonlinear uncertain volatility models : the case of barrier options
Avellaneda, Marco
;
Buff, Robert
- In:
Applied mathematical finance
6
(
1999
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10001449223
Saved in:
8
Trading signals in VIX futures
Avellaneda, Marco
;
Li, Thomas Nanfeng
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Saved in:
9
Statistics of VIX futures and applications to trading volatility exchange-traded products
Avellaneda, Marco
;
Papanicolaou, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012012774
Saved in:
10
Statistics of VIX futures and their applications to trading volatility exchange-traded products
Avellaneda, Marco
;
Papanicolaou, Andrew
- In:
The journal of investment strategies
7
(
2018
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011880127
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