Works matching IS 09492984 AND DT 2022 AND VI 26 AND IP 4
Results: 7
The characteristic function of Gaussian stochastic volatility models: an analytic expression.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 733, doi. 10.1007/s00780-022-00489-4
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- Article
Jacobi stochastic volatility factor for the LIBOR market model.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 771, doi. 10.1007/s00780-022-00488-5
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- Article
Bubbles in discrete-time models.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 899, doi. 10.1007/s00780-022-00487-6
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- Article
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 671, doi. 10.1007/s00780-022-00486-7
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- Article
A concept of copula robustness and its applications in quantitative risk management.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 825, doi. 10.1007/s00780-022-00485-8
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- Article
Semimartingale price systems in models with transaction costs beyond efficient friction.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 927, doi. 10.1007/s00780-022-00484-9
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- Article
On ruin probabilities with investments in a risky asset with a regime-switching price.
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- Finance & Stochastics, 2022, v. 26, n. 4, p. 877, doi. 10.1007/s00780-022-00483-w
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- Article