Pages that link to "Item:Q3094895"
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The following pages link to Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (Q3094895):
Displaying 50 items.
- Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
- Investment timing under hybrid stochastic and local volatility (Q340490) (← links)
- Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (Q504846) (← links)
- A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190) (← links)
- Pricing turbo warrants under stochastic elasticity of variance (Q508292) (← links)
- Distance to the line in the Heston model (Q511233) (← links)
- Pricing perpetual American options under multiscale stochastic elasticity of variance (Q728150) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Stochastic elasticity of variance with stochastic interest rates (Q892883) (← links)
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model (Q899403) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
- Monte Carlo calibration to implied volatility surface under volatility models (Q1684770) (← links)
- Weighted average price in the Heston stochastic volatility model (Q1693861) (← links)
- A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945) (← links)
- Numerical studies on asymptotics of European option under multiscale stochastic volatility (Q1694499) (← links)
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion (Q1712059) (← links)
- Turbo warrants under hybrid stochastic and local volatility (Q1724051) (← links)
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595) (← links)
- Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (Q1996984) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- Asymptotic analysis for one-name credit derivatives (Q2015749) (← links)
- Pricing external barrier options under a stochastic volatility model (Q2029429) (← links)
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
- Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion (Q2045132) (← links)
- Stochastic asset flow equations: interdependence of trend and volatility (Q2069088) (← links)
- Pricing of the geometric Asian options under a multifactor stochastic volatility model (Q2074887) (← links)
- Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544) (← links)
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716) (← links)
- To expand and to abandon: real options under asset variance risk premium (Q2116895) (← links)
- Dynamic networks with multi-scale temporal structure (Q2121707) (← links)
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Fat tails arise endogenously from supply/demand, with or without jump processes (Q2133227) (← links)
- Pricing of vulnerable options under hybrid stochastic and local volatility (Q2137228) (← links)
- Measuring systematic risk with neural network factor model (Q2137662) (← links)
- Generalized optimal liquidation problems across multiple trading venues (Q2165772) (← links)
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model (Q2213442) (← links)
- Emergence of turbulent epochs in oil prices (Q2213590) (← links)
- Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
- McMC estimation of multiscale stochastic volatility models with applications (Q2229879) (← links)
- The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model (Q2232189) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- Portfolio optimization under convex incentive schemes (Q2255013) (← links)
- Statistical inference for Vasicek-type model driven by Hermite processes (Q2274256) (← links)
