VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882): Difference between revisions

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+Coherent Measures of Risk
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+COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
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+A martingale control variate method for option pricing with stochastic volatility
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+Q4509488
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+A smooth estimator for MC/QMC methods in finance
@@ Property / cites work: A smooth estimator for MC/QMC methods in finance / rank @@
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q4794126
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+Financial modeling under non-Gaussian distributions.
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+Fourier series method for measurement of multivariate volatilities
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+A Fourier transform method for nonparametric estimation of multivariate volatility
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+Q5706744
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+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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+https://doi.org/10.1142/s0219024914500095
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+W3123200835
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