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Funding strategies for defined benefit pension plans and the measurement of leverage risk
Pellens, Bernhard; Crasselt, Nils - In: Current issues in financial reporting and financial …, (pp. 3-33). 2005
Persistent link: https://www.econbiz.de/10002867533
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Systemic risk via dynamic correlations
Dellaportas, Petros; Plataniotis, Anastasios; Titsias, … - In: Systemic risk tomography : signals, measurement and …, (pp. 3-41). 2017
Persistent link: https://www.econbiz.de/10011617877
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Quantization meets Fourier : a new technology for pricing options
Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino - In: Application of operations research to financial markets, (pp. 59-86). 2019
Persistent link: https://www.econbiz.de/10012157344
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Implementation of local stochastic volatility model in FX derivatives
Zheng, J.; Yuan, X. - In: Applied quantitative finance, (pp. 57-69). 2017
Persistent link: https://www.econbiz.de/10011794953
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Sequential Monte Carlo sampling for state space models
Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.
Persistent link: https://www.econbiz.de/10011800920
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Analytical approximation of pricing average options under the Heston model
Yamazaki, Akira - In: Recent advances in financial engineering 2011: …, (pp. 203-220). 2012
Persistent link: https://www.econbiz.de/10009573427
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A collective investment problem in a stochastic volatility environment : the impact of sharing rules
Chen, An; Nguyen, Thai; Rach, Manuel Matthias - 2021
Persistent link: https://www.econbiz.de/10012605876
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Joint tails impact in stochastic volatility portfolio selection models
Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, … - In: Stochastic optimization: theory and applications, (pp. 833-848). 2020
Persistent link: https://www.econbiz.de/10012290845
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A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul; Dufour, Jean-Marie - 2019
Persistent link: https://www.econbiz.de/10012244154
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A "jump" in the stochasticity of the Solow-Swan growth model
Diebolt, Claude; Mishra, Tapas; Parhi, Mamata - 2015
Persistent link: https://www.econbiz.de/10011342161