Pages that link to "Item:Q4530988"

The following pages link to Transform Analysis and Asset Pricing for Affine Jump-diffusions (Q4530988):

Displaying 50 items.

• Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
• Risk-minimization for life insurance liabilities with basis risk (Q253099) (← links)
• A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (Q273640) (← links)
• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Econometric specification of stochastic discount factor models (Q278271) (← links)
• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216) (← links)
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility (Q291114) (← links)
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (Q291853) (← links)
• Option valuation with conditional skewness (Q292018) (← links)
• Determining and benchmarking risk neutral distributions implied from option prices (Q300172) (← links)
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
• Closed-form solutions for guaranteed minimum accumulation and death benefits (Q303739) (← links)
• Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
• A fast calibrating volatility model for option pricing (Q319158) (← links)
• Variance swap with mean reversion, multifactor stochastic volatility and jumps (Q319633) (← links)
• An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
• On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
• Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
• Calibration and hedging under jump diffusion (Q375525) (← links)
• Mean-variance hedging with oil futures (Q377447) (← links)
• Existence of financial equilibria in continuous time with potentially complete markets (Q392665) (← links)
• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
• Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
• Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
• Hermite polynomial based expansion of European option prices (Q469560) (← links)
• Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
• Affine fractional stochastic volatility models (Q470522) (← links)
• Taming animal spirits: risk management with behavioural factors (Q470654) (← links)
• Mutual excitation in Eurozone sovereign CDS (Q473225) (← links)
• Time-varying jump tails (Q473227) (← links)
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
• Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (Q482441) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
• Intensity-based framework for surrender modeling in life insurance (Q506089) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• Testing for non-correlation between price and volatility jumps (Q515135) (← links)
• Time-varying leverage effects (Q527980) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
• Semi-parametric estimation of American option prices (Q528168) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218) (← links)
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
• Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)