Pages that link to "Item:Q3539544"

The following pages link to A multifactor volatility Heston model (Q3539544):

Displaying 50 items.

• Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
• Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
• On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
• Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
• Affine processes on positive semidefinite matrices (Q535197) (← links)
• On strong solutions for positive definite jump diffusions (Q554460) (← links)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
• Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
• Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
• Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
• Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
• The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options (Q2067976) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• Forests, cumulants, martingales (Q2139104) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• Pricing vulnerable options with stochastic volatility (Q2147889) (← links)
• A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate (Q2183282) (← links)
• Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
• An asymptotic expansion method for geometric Asian options pricing under the double Heston model (Q2213442) (← links)
• European option pricing under Wishart processes (Q2240201) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280) (← links)
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options (Q2374113) (← links)
• Asymptotic expansion formula of option price under multifactor Heston model (Q2398581) (← links)
• Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649) (← links)
• Pricing range notes within Wishart affine models (Q2513635) (← links)
• Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK (Q2831004) (← links)
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS (Q2851561) (← links)
• Riding on the smiles (Q2866376) (← links)
• The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
• LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS (Q2970316) (← links)
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
• A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031) (← links)
• Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037) (← links)
• Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation (Q4600012) (← links)
• The Heston stochastic volatility model in Hilbert space (Q4685702) (← links)
• WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK (Q4902547) (← links)
• THE WISHART SHORT RATE MODEL (Q4909141) (← links)