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Fast analytic option valuation with GARCH
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003759897
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Stetig-diskrete Zustandsraummodelle dynamischer Wirtschaftsprozesse
Mazzoni, Thomas - 2007
Persistent link: https://www.econbiz.de/10003473959
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Are short term stock asset returns predictable? : an extended empirical analysis
Mazzoni, Thomas - 2010
Persistent link: https://www.econbiz.de/10003977437
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Fast analytic option valuation with GARCH
Mazzoni, Thomas - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 18-38
Persistent link: https://www.econbiz.de/10008655530
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Fast continous-discrete DAF-filters
Mazzoni, Thomas - 2009
Persistent link: https://www.econbiz.de/10003947355
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A functional approach to pricing complex barrier options
Mazzoni, Thomas - 2011
Persistent link: https://www.econbiz.de/10009428211
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A GARCH parameterization of the volatility surface
Mazzoni, Thomas - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
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A functional approach to pricing complex barrier options
Mazzoni, Thomas - In: The European journal of finance 20 (2014) 4/6, pp. 399-418
Persistent link: https://www.econbiz.de/10010462022
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Nonlinear portfolio views : an efficient extension to the Black-Litterman approach
Mazzoni, Thomas - In: Journal of business economics : JBE 85 (2015) 6, pp. 693-717
Persistent link: https://www.econbiz.de/10011294251