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The pricing of jump propagation : evidence from spot and options markets

Du, Du; Luo, Dan - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2360-2387

Persistent link: https://www.econbiz.de/10012039789

Pricing volatility options under stochastic skew with application to the VIX index

Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374

Persistent link: https://www.econbiz.de/10011736265

Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models

Repplinger, Detlef (contributor); Fandel, G. (contributor); … - 2008

-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

Persistent link: https://www.econbiz.de/10013521005

Robust econometric inference for stock return predictability

Kostakis, Alexandros; Magdalinos, Tassos; … - In: The review of financial studies 28 (2015) 5, pp. 1506-1553

Persistent link: https://www.econbiz.de/10011338192

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Stochastic volatility of volatility and variance risk premia

Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10009708931

Variance trading and market price of variance risk

Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010379480

Valuation of stock loans with jump risk

Cai, Ning; Sun, Lihua - In: Journal of economic dynamics & control 40 (2014), pp. 213-241

Persistent link: https://www.econbiz.de/10010424378

Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...

Persistent link: https://www.econbiz.de/10009612031

Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10011499728

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