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I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a … effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the …
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Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field of quantitative finance and insurance, this...
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