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Volatility
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Jacquier, Antoine
3
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ECONIS (ZBW)
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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2
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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3
Large deviations for the extended Heston model : the large-time case
Jacquier, Antoine
;
Mijatovi´c, Aleksandar
- In:
Asia-Pacific financial markets
21
(
2014
)
3
,
pp. 263-280
Persistent link: https://www.econbiz.de/10010511579
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4
Asymptotic arbitrage in the Heston model
Haba, Fatma
;
Jacquier, Antoine
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011419412
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5
The large-maturity smile for the SABR and CEV-Heston models
Forde, Martin
;
Pogudin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010243621
Saved in:
6
Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe
;
Muguruza, Aitor
;
Stone, Henry
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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7
Short maturity conditional Asian options in local volatility models
Yao, Nian
;
Ling, Zhichao
;
Zhang, Jieyu
;
Xiao, Mingqing
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 307-328
Persistent link: https://www.econbiz.de/10012240287
Saved in:
8
Black-Scholes in a CEV random environment
Jacquier, Antoine
;
Roome, Patrick
- In:
Mathematics and financial economics
12
(
2018
)
3
,
pp. 445-474
Persistent link: https://www.econbiz.de/10011963872
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9
Short maturity forward start Asian options in local volatility models
Pirjol, Dan
;
Wang, Jing
;
Zhu, Lingjiong
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
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10
Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles
Forde, Martin
;
Smith, Benjamin
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10014365673
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