Turbulence on financial markets and multiplicative cascade model of volatility
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Publication:5141845
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS
- Algorithm for determining the volatility function in the Black-Scholes model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Evolution of large-scale flow from turbulence in a two-dimensional superfluid
- Generalized autoregressive conditional heteroscedasticity
- Giant vortex clusters in a two-dimensional quantum fluid
- scientific article; zbMATH DE number 821171 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Modeling and Forecasting Realized Volatility
- Stock price distributions with stochastic volatility: an analytic approach
- The Distribution of Realized Exchange Rate Volatility
- The pricing of options and corporate liabilities
- Volatility processes and volatility forecast with long memory
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