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Volatility in the capital markets : state-of-the-art techniques for modeling, managing, and trading volatility
Nelken, Israel (ed.) - 1997
Persistent link: https://www.econbiz.de/10001783628
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On American derivates and related obstacle problems
Kampen, Jörg - In: International journal of theoretical and applied finance 6 (2003) 6, pp. 565-591
Persistent link: https://www.econbiz.de/10001794260
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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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Volatility and correlation : the perfect hedger and the fox
Rebonato, Riccardo - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001932788
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Locally time homogeneous time series modelling
Elagin, Mstislav; Spokojnyj, Vladimir G. - 2008
Persistent link: https://www.econbiz.de/10003805435
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Dynamic principal component analysis of multivariate volatility via Fourier analysis
Mancino, Maria Elvira; Renò, Roberto - In: Applied mathematical finance 12 (2005) 2, pp. 187-199
Persistent link: https://www.econbiz.de/10002989949
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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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Computation of local volatilities from regularized dupire equations
Hanke, Martin; Rösler, Elisabeth - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 207-221
Persistent link: https://www.econbiz.de/10002679551
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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Christensen, Bent Jesper (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high frequency
Christensen, Bent Jesper (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001599613