Pricing quanto options with market liquidity risk. [PDF]
PLoS One, 2023 Gao R, Bai Y.
europepmc +1 more source
Coarse Thinking and Pricing a Financial Option [PDF]
Mullainathan et al [Quarterly Journal of Economics, May 2008] present a formalization of the concept of coarse thinking in the context of a model of persuasion.
Siddiqi, Hammad
core +1 more source
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source
Reduced effects of social feedback on learning in Turner syndrome. [PDF]
Sci Rep, 2023 Björlin Avdic H +9 more
europepmc +1 more source
On cross-currency models with stochastic volatility and correlated interest rates [PDF]
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates ...
Grzelak, Lech, Oosterlee, Kees
core +1 more source
Market Implied Probability Distributions and Bayesian Skew Estimation [PDF]
arXiv, 2009 We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the smile are examined. Special attention is given to the effects of slope, which might appear at first counter-intuitive.
arxiv
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. [PDF]
Ann Oper Res, 2022 Cummins M +4 more
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The function and impact of cryptocurrency and data technology in the context of financial technology: introduction to the issue. [PDF]
Financ Innov, 2021 Zhao L.
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. [PDF]
Math Financ Econ, 2021 Bernis G +3 more
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The impact of COVID-19 on commodity options market: Evidence from China. [PDF]
Econ Model, 2022 Chen J, Xu L, Xu H.
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