Results 101 to 110 of about 1,119,588 (120)

Extending SABR Model to Negative Rates

SpringerBriefs in Quantitative Finance, 2019
A. Antonov, M. Konikov, Michael Spector
semanticscholar   +1 more source

Forecasting realized volatility of oil futures market: A new insight

Journal of Forecasting, 2018
Feng Ma, Yu Wei
exaly  

A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

Mathematical Finance, 2013
Rama Cont, Thomas Kokholm
exaly  

Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets

International Journal of Finance and Economics, 2015
David E Giles
exaly  

Market interdependence and volatility transmission among major crops

Agricultural Economics (United Kingdom), 2016
Cornelis Gardebroek, Manuel A Hernandez, Miguel Robles   +2 more
exaly  

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

Mathematical Finance, 2017
Andrea Pascucci, Matthew Lorig, Stefano Pagliarani   +2 more
exaly  

PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

Mathematical Finance, 2017
Jean-pierre Fouque, Thaleia Zariphopoulou   +1 more
exaly  

Modeling and Forecasting Realized Volatility

Econometrica, 2003
Tim Bollerslev
exaly  

SABR Volatility Model in the LIBOR Market Model Framework

SSRN Electronic Journal, 2012
openaire   +1 more source

LIBOR market model with SABR style stochastic volatility

2019
Hagan, Patrick, Lesniewski, Andrew
openaire   +1 more source