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Minimum-relative-entropy calibration of asset-pricing models
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
1
(
1998
)
4
,
pp. 447-472
Persistent link: https://www.econbiz.de/10001255560
Saved in:
2
Pricing Parislan-style options with a lattice method
Avellaneda, Marco
;
Wu, Lixin
- In:
International journal of theoretical and applied finance
2
(
1999
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10001372086
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3
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
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4
All for one ... one for all? : A principal component analysis of Latin American Brady bond debt from 1994 to 2000
Scherer, Kevin Paul
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
5
(
2002
)
1
,
pp. 79-106
Persistent link: https://www.econbiz.de/10001657407
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5
Credit contagion : pricing cross-country risk in Brady debt markets
Avellaneda, Marco
;
Wu, Lixin
- In:
International journal of theoretical and applied finance
4
(
2001
)
6
,
pp. 921-938
Persistent link: https://www.econbiz.de/10001632651
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6
On parabolic equations with gauge function term and applications to the multidimensional Leland equation
Kampen, Jörg
;
Avellaneda, Marco
- In:
Applied mathematical finance
10
(
2003
)
3
,
pp. 215-228
Persistent link: https://www.econbiz.de/10001841294
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7
Weighted Monte Carlo : a new technique for calibrating asset-pricing models
Avellaneda, Marco
(
contributor
)
- In:
International journal of theoretical and applied finance
4
(
2001
)
1
,
pp. 91-119
Persistent link: https://www.econbiz.de/10001554218
Saved in:
8
A Bayesian approach for constructing implied volatility surfaces through neural networks
Avellaneda, Marco
;
Carelli, A.
;
Stella, F.
- In:
The journal of computational finance
4
(
2000
)
1
,
pp. 83-107
Persistent link: https://www.econbiz.de/10001528165
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9
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
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10
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
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