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Ballota, Laura; Deelstra, Griselda; Rayée, Grégory - 2015

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Ballotta, Laura - 2017

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

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Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27

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Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285

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Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

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Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495

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Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8

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Recchioni, M. C.; Sun, Y. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 359-377

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Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333

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Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

Persistent link: https://www.econbiz.de/10012172988