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Stochastic model development and price volatility analysis
Taya, Shinichi - 2012
production in different countries is deemed as one of the factors of the price spike in 2007/08, the contribution of correlation … of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant …
Persistent link: https://www.econbiz.de/10009683293
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Exponential hedging and pricing under proportional transaction costs
Bouchard, Bruno - 2000
Persistent link: https://www.econbiz.de/10001548982
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A note on the utility based option pricing with proportional transaction costs under large risk aversion
Bouchard, Bruno - 2000
Persistent link: https://www.econbiz.de/10001548990
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Asymmetic smiles, leverage effects and structural parameters
Garcia, René; Luger, Richard; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001549285
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998
Persistent link: https://www.econbiz.de/10000997340
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Statistical inference for random variance option pricing
Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997
Persistent link: https://www.econbiz.de/10000984169
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World wheat price volatility : selected scenario analyses
Thompson, Wyatt; Smith, Garry D.; Elasri, Armelle - 2012
This study complements OECD analyses on commodity price volatility by providing quantitative assessments of the impact of two structural changes that a number of market observers have identified as contributing to world wheat market price volatility. The factors examined relate to changes in...
Persistent link: https://www.econbiz.de/10009683275
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Integrierte Analyse der Einkommens- und Vermögensverteilung : Abschlussbericht zur Studie ; [Forschungsprojekt]
Grabka, Markus M. (contributor) - 2008 - Stand: August 2008
Persistent link: https://www.econbiz.de/10003777789
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Nonlinear persistence and copersistence
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10009758935
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Large and moderate deviations principles for infinite dimensional autoregressive processes
Mas, André; Menneteau, Ludovic - 2001
Persistent link: https://www.econbiz.de/10001577502