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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

Adaptative estimation of the spectrum of a stationary Gaussian sequence

Comte, Fabienne - 1999

Persistent link: https://www.econbiz.de/10009758933

Exponential hedging and pricing under proportional transaction costs

Bouchard, Bruno - 2000

Persistent link: https://www.econbiz.de/10001548982

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

Asymmetic smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001549285

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

Statistical inference for random variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997

Persistent link: https://www.econbiz.de/10000984169

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

Nonlinear persistence and copersistence

Gouriéroux, Christian; Jasiak, Joann - 1999

Persistent link: https://www.econbiz.de/10009758935

Large and moderate deviations principles for infinite dimensional autoregressive processes

Mas, André; Menneteau, Ludovic - 2001

Persistent link: https://www.econbiz.de/10001577502

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