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Affine forward variance models
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97
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92
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87
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83
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83
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82
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81
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76
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76
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76
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74
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74
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Showing
1
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68,119
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1
CBI-time-changed Lévy processes for multi-currency modeling
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
-
2021
Persistent link: https://www.econbiz.de/10013347432
Saved in:
2
CBI-time-changed Lévy processes
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
-
2022
Persistent link: https://www.econbiz.de/10013347447
Saved in:
3
A comparison principle between rough and non-rough Heston models - with applications to the
volatility
surface
Keller-Ressel, M.
;
Majid, Assad
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 919-933
Persistent link: https://www.econbiz.de/10012262636
Saved in:
4
Inversion of convex ordering in the VIX market
Guyon, Julien
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1597-1623
Persistent link: https://www.econbiz.de/10012295626
Saved in:
5
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
6
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
Saved in:
7
Exponentiation of conditional expectations under stochastic
volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
8
Lifting the Heston model
Abi Jaber, Eduardo
- In:
Quantitative finance
19
(
2019
)
12
,
pp. 1995-2013
Persistent link: https://www.econbiz.de/10012195671
Saved in:
9
The fractional
volatility
model and rough
volatility
Mendes, Rui Vilela
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014365677
Saved in:
10
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
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