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A time series approach to option pricing : models, methods and empirical performances

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian - 2015

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Prognosemodelle und Handelsansätze für Implizite Volatilitäten

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A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances

Chorro, Christophe - 2015

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

Persistent link: https://www.econbiz.de/10012401993

Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar

Avellaneda, Marco (contributor) - 1999

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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter

Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20

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A practical guide to forecasting : financial markets volatility

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Calibrating the Italian smile with time-varying volatility and heavy-tailed models

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Quantitative Analysis in Financial Markets : Collected Papers of the New York University Mathematical Finance Seminar

Avellaneda, Marco - 1999

topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical …

Persistent link: https://www.econbiz.de/10012691369

Quantitative analysis in financial markets : collected papers of the New York University Mathematical Finance Seminar : Volume III

Avellaneda, Marco (contributor) - New York University Mathematical Finance Seminar - 2001

KB). Chapter 1.2: Modeling mutual funds (96 KB). Chapter 1.3: Main results (86 KB). Contents: Finance Theory and Asset …Intro -- CONTENTS -- Preface -- Acknowledgments -- Finance Theory and Asset-Allocation -- On the Regulation of Fee …

Persistent link: https://www.econbiz.de/10012673729

A multivariate stochastic unit root model with an application to derivative pricing

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110

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