Pages that link to "Item:Q2729107"
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The following pages link to Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (Q2729107):
Displayed 50 items.
- Electricity spot price modelling with a view towards extreme spike risk (Q2994839) (← links)
- Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473) (← links)
- CHARACTERIZING SPECIES DISTRIBUTIONS BY PRODUCTIVITY AND MORTALITY RATES IN MULTISPECIES MODELS (Q3005107) (← links)
- AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (Q3005841) (← links)
- Sequential Monte Carlo methods for stochastic volatility models: a review (Q3008580) (← links)
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models (Q3019508) (← links)
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099) (← links)
- Sato Processes in Default Modelling (Q3063871) (← links)
- New evidence on the relation between return volatility and trading volume (Q3065535) (← links)
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958) (← links)
- Assessment and propagation of input uncertainty in tree-based option pricing models (Q3077471) (← links)
- Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes (Q3094135) (← links)
- A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (Q3094327) (← links)
- THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (Q3100748) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- Well-balanced Lévy driven Ornstein–Uhlenbeck processes (Q3107438) (← links)
- Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models (Q3111058) (← links)
- Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
- MULTIVARIATE ECOGARCH PROCESSES (Q3168874) (← links)
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (Q3174918) (← links)
- The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model (Q3182399) (← links)
- Integrating Volatility Clustering Into Exponential Lévy Models (Q3182422) (← links)
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes (Q3182428) (← links)
- Multifractal scenarios for products of geometric Lévy-based stationary models (Q3185980) (← links)
- Modelling Electricity Futures by Ambit Fields (Q3191820) (← links)
- Stationarity and Ergodicity for an Affine Two-Factor Model (Q3191827) (← links)
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion (Q3368564) (← links)
- Wavelet Galerkin pricing of American options on Lévy driven assets (Q3375382) (← links)
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977) (← links)
- Modelling Electricity Prices with Forward Looking Capacity Constraints (Q3395723) (← links)
- Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance (Q3404096) (← links)
- Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
- Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables (Q3436007) (← links)
- Simultaneity and non-linear variability in financial markets: simulation and forecasting (Q3439769) (← links)
- SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
- MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS (Q3502978) (← links)
- QUADRATIC HEDGING FOR THE BATES MODEL (Q3502983) (← links)
- The Volatility of Realized Volatility (Q3539863) (← links)
- Distinguishing short and long memory volatility specifications (Q3548528) (← links)
- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces (Q3551497) (← links)
- (Q3552463) (← links)
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (Q3552628) (← links)
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
- Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334) (← links)
- Inference in Lévy-type stochastic volatility models (Q3590750) (← links)
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes (Q3603201) (← links)
- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model (Q3605222) (← links)