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Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
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Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model
Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063
Persistent link: https://www.econbiz.de/10008906216
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Natural expectations and macroeconomic fluctuations
Fuster, Andreas; Laibson, David I.; Mendel, Brock - In: The journal of economic perspectives : EP ; a journal … 24 (2010) 4, pp. 67-84
Persistent link: https://www.econbiz.de/10008906886
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Affine models of the joint dynamics of exchange rates and interest rates
Anderson, Bing; Hammond, Peter J.; Ramezani, Cyrus A. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1341-1365
Persistent link: https://www.econbiz.de/10008907330
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
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Tangent models as a mathematical framework for dynamic calibration
Carmona, René; Nadtochiy, Sergey - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 107-135
Persistent link: https://www.econbiz.de/10008908384
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A simplified pricing model for volatility futures
Dupoyet, Brice; Daigler, Robert T.; Chen, Zhiyao - In: The journal of futures markets 31 (2011) 4, pp. 307-339
Persistent link: https://www.econbiz.de/10008908397
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Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125
Persistent link: https://www.econbiz.de/10008908408
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Currency mismatch, balance-sheet effect and monetary policy
Nakamura, Chikafumi - In: Journal of international economic studies 25 (2011), pp. 103-128
Persistent link: https://www.econbiz.de/10008908912
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Heterogeneity and volatility puzzles in international finance
Li, Tao; Muzere, Mark L. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1485-1516
Persistent link: https://www.econbiz.de/10008909156