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Fast analytic option valuation with GARCH

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10003759897

Stetig-diskrete Zustandsraummodelle dynamischer Wirtschaftsprozesse

Mazzoni, Thomas - 2007

Persistent link: https://www.econbiz.de/10003473959

Are short term stock asset returns predictable? : an extended empirical analysis

Mazzoni, Thomas - 2010

Persistent link: https://www.econbiz.de/10003977437

Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10003699961

Fast continous-discrete DAF-filters

Mazzoni, Thomas - 2009

Persistent link: https://www.econbiz.de/10003947355

A functional approach to pricing complex barrier options

Mazzoni, Thomas - 2011

Persistent link: https://www.econbiz.de/10009428211

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

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

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

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-26

A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is...

Persistent link: https://www.econbiz.de/10011857274