Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models: by Andrey Itkin, World Scientific (2020). ISBN 978-981-121-276-5. Hardback.
- Published in:
- 2021
- By:
- Publication type:
- Book Review
Works in Quantitative Finance, 2021, Vol 21, Issue 4
Results: 12
1
2
Graph theoretical representations of equity indices and their centrality measures.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 523, doi. 10.1080/14697688.2020.1822539
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- Publication type:
- Article
3
Correction.
- Published in:
- 2021
- Publication type:
- Correction Notice
4
Fractional stochastic volatility correction to CEV implied volatility.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 565, doi. 10.1080/14697688.2020.1812703
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- Publication type:
- Article
5
Artificial neural network for option pricing with and without asymptotic correction.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 575, doi. 10.1080/14697688.2020.1812702
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- Publication type:
- Article
6
A functional analysis approach to the static replication of European options.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 637, doi. 10.1080/14697688.2020.1810857
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- Publication type:
- Article
7
Application of power series approximation techniques to valuation of European style options.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 609, doi. 10.1080/14697688.2020.1809696
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- Publication type:
- Article
8
Equal risk pricing of derivatives with deep hedging.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 593, doi. 10.1080/14697688.2020.1806343
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- Publication type:
- Article
9
Efficient computation of mean reverting portfolios using cyclical coordinate descent.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 673, doi. 10.1080/14697688.2020.1803497
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- Publication type:
- Article
10
Rough volatility, CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 541, doi. 10.1080/14697688.2020.1790634
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- Publication type:
- Article
11
Mean-variance portfolio selection with non-negative state-dependent risk aversion.
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- Quantitative Finance, 2021, v. 21, n. 4, p. 657, doi. 10.1080/14697688.2020.1787492
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- Publication type:
- Article
12
An alternative nonparametric tail risk measure.
- Published in:
- Quantitative Finance, 2021, v. 21, n. 4, p. 685, doi. 10.1080/14697688.2020.1787491
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- Publication type:
- Article