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Short and Long Term Smile Effe...
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259
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19
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18
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17
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1
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RePEc
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ECONIS (ZBW)
150
OLC EcoSci
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USB Cologne (EcoSocSci)
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Other ZBW resources
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91
ROM simulation : applications to stress testing and VaR
Alexander, Carol
;
Ledermann, Daniel
-
2012
Persistent link: https://www.econbiz.de/10009722161
Saved in:
92
Continuous-time VIX dynamics : on the role of stochastic volatility of volatility
Kaeck, Andreas
;
Alexander, Carol
- In:
International review of financial analysis
28
(
2013
),
pp. 46-56
Persistent link: https://www.econbiz.de/10009762709
Saved in:
93
Stochastic volatility jump-diffusions for European equity index dynamics
Kaeck, Andreas
;
Alexander, Carol
- In:
European financial management : the journal of the …
19
(
2013
)
3
,
pp. 470-496
Persistent link: https://www.econbiz.de/10010193749
Saved in:
94
Volatility exchange-traded notes : curse or cure?
Alexander, Carol
;
Korovilas, Dimitris
- In:
The journal of alternative investments
16
(
2013/14
)
2
,
pp. 52-70
Persistent link: https://www.econbiz.de/10010203456
Saved in:
95
Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
- In:
International review of financial analysis
30
(
2013
),
pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
Saved in:
96
Analytic approximations for multi-asset option pricing
Alexander, Carol
;
Venkatramanan, Aanand
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 667-689
Persistent link: https://www.econbiz.de/10009614941
Saved in:
97
Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas
;
Alexander, Carol
- In:
Journal of banking & finance
36
(
2012
)
11
,
pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
Saved in:
98
The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol
;
Prokopczuk, Marcel
;
Sumawong, Anannit
-
2012
Persistent link: https://www.econbiz.de/10009520538
Saved in:
99
Diversification of equity with VIX futures : personal views and skewness preference
Alexander, Carol
;
Korovilas, Dimitris
-
2012
Persistent link: https://www.econbiz.de/10009520567
Saved in:
100
Regime dependent determinants of credit dafault swap spreads
Alexander, Carol
;
Kaeck, Andreas
- In:
Journal of banking & finance
32
(
2008
)
6
,
pp. 1008-1021
Persistent link: https://www.econbiz.de/10003733793
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