المؤلفون: Osei K. Tweneboah, Kwesi A. Ohene-Obeng, Maria C. Mariani

المصدر: Risks, Vol 13, Iss 1, p 3 (2024)

مصطلحات موضوعية: Stochastic Volatility models, financial time series, Ghana Stock Exchange Composite Index, Hurst exponent, R/S analysis, Insurance, HG8011-9999

وصف الملف: electronic resource

Relation: https://www.mdpi.com/2227-9091/13/1/3; https://doaj.org/toc/2227-9091

URL الوصول: https://doaj.org/article/4bc81bf900d24f669ca81e1e0ac96e33

المؤلفون: Ali Safdari-Vaighani, Pooya Garshasebi

المصدر: Mathematics and Modeling in Finance, Vol 3, Iss 1, Pp 137-143 (2023)

مصطلحات موضوعية: black-scholes model, stochastic volatility models, 3/2 model, 3/2 plus jump model, Finance, HG1-9999, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://jmmf.atu.ac.ir/article_16237_294db77302e1c3137a6b83d8e75b35eb.pdf; https://doaj.org/toc/2783-0578; https://doaj.org/toc/2783-056X

URL الوصول: https://doaj.org/article/52135bfc918c477f8706d1ac02ce1d46

المؤلفون: Bayer, Christian, Belomestny, Denis, Butkovsky, Oleg, Schoenmakers, John G. M.

مصطلحات موضوعية: article, ddc:510, 91G20, 65C30, 46E22, Stochastic volatility models -- Singular McKean–Vlasov equations -- Reproducing kernel Hilbert space

Relation: Finance and Stochastics -- Finance Stochast. -- 0949-2984 -- 1356339-7 -- 1432-1122 -- 1467022-7 -- https://www.springer.com/journal/780

الاتاحة: https://doi.org/10.1007/s00780-024-00541-5
https://archive.wias-berlin.de/receive/wias_mods_00007616
https://archive.wias-berlin.de/servlets/MCRZipServlet/wias_derivate_00003826
https://link.springer.com/article/10.1007/s00780-024-00541-5

المؤلفون: Castillo Paredes, Laura Daniela, Ramoni Perazzi, Josefa

المصدر: Apuntes del Cenes; Vol. 36 No. 63 (2017); 95-135 ; Apuntes del Cenes; Vol. 36 Núm. 63 (2017); 95-135 ; 2256-5779 ; 0120-3053

مصطلحات موضوعية: parallel exchange rate, volatility, persistence, stochastic volatility models, EGARCH, tipo de cambio paralelo, volatilidad, persistencia, modelos estocásticos de volatilidad

وصف الملف: application/pdf; application/xml; application/vnd.openxmlformats-officedocument.wordprocessingml.document; image/jpeg

Relation: https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/4733; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6668; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6901; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6902; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6903; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6904; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6905; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6906; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6907; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6908; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6909; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6910; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6911; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6912; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6913; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6914; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6915; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6916; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6917; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6918; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6919; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6920; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6921; https://revistas.uptc.edu.co/index.php/cenes/article/view/5312; https://repositorio.uptc.edu.co/handle/001/11956

الاتاحة: https://repositorio.uptc.edu.co/handle/001/11956
https://revistas.uptc.edu.co/index.php/cenes/article/view/5312
https://doi.org/10.19053/01203053.v36.n63.2017.5312

المؤلفون: Alòs, Elisa, García-Lorite, David, Muguruza Gonzalez, Aitor

مصطلحات موضوعية: variance options, VIX, implied volatility, Malliavin calculus, stochastic volatility models, rough volatility, fractional Brownian motion

وصف الملف: application/pdf

Relation: Journal on Financial Mathematics. 2022;13(1):35 p.; http://hdl.handle.net/10230/59132; http://dx.doi.org/10.1137/19M1269981

الاتاحة: http://hdl.handle.net/10230/59132
https://doi.org/10.1137/19M1269981

المؤلفون: Luca Di Persio, Emanuele Lavagnoli, Marco Patacca

المصدر: Risks; Volume 10; Issue 12; Pages: 227

مصطلحات موضوعية: Black–Scholes–Barenblatt, neural networks, stochastic volatility models

وصف الملف: application/pdf

Relation: https://dx.doi.org/10.3390/risks10120227

الاتاحة: https://doi.org/10.3390/risks10120227

المؤلفون: Fatone, L, Mariani, F, Zirilli, F

المساهمون: Fatone, L, Mariani, F, Zirilli, F

مصطلحات موضوعية: calibration, optimal control, stochastic volatility models

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:001077043200001; volume:44; issue:1; firstpage:75; lastpage:102; numberofpages:28; journal:THE JOURNAL OF FUTURES MARKETS; https://hdl.handle.net/11566/325814; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85173530368

الاتاحة: https://hdl.handle.net/11566/325814
https://doi.org/10.1002/fut.22461

المؤلفون: Bayer, Christian, Belomestny, Denis, Butkovsky, Oleg, Schoenmakers, John G. M.

مصطلحات موضوعية: Stochastic volatility models, singular McKean--Vlasov equations, reproducing kernel Hilbert spaces

Time: 510

وصف الملف: application/pdf

الاتاحة: https://oa.tib.eu/renate/handle/123456789/9679
https://doi.org/10.34657/8717

المؤلفون: Solibakke, Per Bjarte

مصطلحات موضوعية: ddc:330, energy, forecasting volatility, Markov Chain Monte Carlo (MCMC) simulations, projection-reprojection, stochastic volatility models

Relation: gbv-ppn:1785406221; Journal: Journal of Risk and Financial Management; Volume: 14; Year: 2021; Issue: 11; Pages: 1-17; Basel: MDPI; http://hdl.handle.net/10419/258614

الاتاحة: http://hdl.handle.net/10419/258614
https://doi.org/10.3390/jrfm14110510

المؤلفون: Recchioni, Maria Cristina, Iori, Giulia, Tedeschi, Gabriele, Ouellette, Michelle S.

مصطلحات موضوعية: finance, stochastic volatility models, option pricing, variance risk premium

وصف الملف: application/pdf

Relation: https://www.sciencedirect.com/science/article/pii/S0377221720310109; RECCHIONI, Maria Cristina, et al. The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. European Journal of Operational Research, 2021, vol. 293, no 1, p. 336-360.; http://hdl.handle.net/10234/193109; https://doi.org/10.1016/j.ejor.2020.11.050

الاتاحة: http://hdl.handle.net/10234/193109
https://doi.org/10.1016/j.ejor.2020.11.050

المؤلفون: Alòs, Elisa, León, Jorge A.

مصطلحات موضوعية: derivative operator in the Malliavin calculus sense, fractional Brownian motion, future average volatility, Hull and White formula, Itô’s formula, Skorohod integral, stochastic volatility models, implied volatility, skews and smiles, rough volatility

وصف الملف: application/pdf

Relation: Mathematics. 2021;9(9):994.; Alòs E, León JA. An intuitive introduction to fractional and rough volatilities. Mathematics. 2021;9(9):994. DOI:10.3390/math9090994; http://hdl.handle.net/10230/57177; http://dx.doi.org/10.3390/math9090994

الاتاحة: http://hdl.handle.net/10230/57177
https://doi.org/10.3390/math9090994

المؤلفون: Lee, Youngjo, Nelder, John A.

المصدر: Journal of the Royal Statistical Society. Series C (Applied Statistics), 2006 Jan 01. 55(2), 139-185.

URL الوصول: https://www.jstor.org/stable/3592661

المؤلفون: Bilgi Yilmaz

المصدر: Modern Stochastics: Theory and Applications, Vol 5, Iss 2, Pp 145-165 (2018)

مصطلحات موضوعية: Malliavin calculus, Bismut–Elworthy–Li formula, computation of greeks, hybrid stochastic volatility models, Applied mathematics. Quantitative methods, T57-57.97, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2351-6046; https://doaj.org/toc/2351-6054

URL الوصول: https://doaj.org/article/2c56e1013c9440fab5dc1432205c9988

المؤلفون: van Es, Bert, Spreij, Peter, van Zanten, Harry

المصدر: Bernoulli, 2003 Jun 01. 9(3), 451-465.

URL الوصول: https://www.jstor.org/stable/3318918

المؤلفون: Sørensen, Helle

المصدر: Scandinavian Journal of Statistics, 2003 Jun 01. 30(2), 257-276.

URL الوصول: https://www.jstor.org/stable/4616763

المؤلفون: Huber, Florian

مصطلحات موضوعية: JEL C11, C30, C53, E52, multi country models, density predictions, hierarchical modeling, factor stochastic volatility models

وصف الملف: application/pdf

Relation: https://www.wu.ac.at/economics/forschung/wp/; http://epub.wu.ac.at/6247/

الاتاحة: http://epub.wu.ac.at/6247/1/wp262.pdf

المؤلفون: Bertschinger, Nils, Mozzhorin, Iurii

مصطلحات موضوعية: ddc:330, C11, C52, C58, G12, Agent-based models, Stochastic volatility models, Bayesian estimation, Hamiltonian Monte Carlo

Relation: Journal: Journal of Economic Interaction and Coordination; Volume: 16; Year: 2020; Issue: 1; Pages: 173-210; Berlin, Heidelberg: Springer; https://hdl.handle.net/10419/288932

الاتاحة: https://hdl.handle.net/10419/288932
https://doi.org/10.1007/s11403-020-00289-z

المؤلفون: Baños, David, Lagunas-Merino, Marc, Ortiz-Latorre, Salvador

مصطلحات موضوعية: ddc:330, unit-linked policies, pure endowment, term insurance, stochastic volatility models, stochastic interest rates

Relation: gbv-ppn:1735237868; Journal: Risks; Volume: 8; Year: 2020; Issue: 3; Pages: 1-23; Basel: MDPI; http://hdl.handle.net/10419/258037

الاتاحة: http://hdl.handle.net/10419/258037
https://doi.org/10.3390/risks8030084

المؤلفون: Bayer, Christian, Friz, Peter K., Gassiat, Paul, Martin, Jorg, Stemper, Benjamin

مصطلحات موضوعية: 510 Mathematik, financial modeling, rough volatility, stochastic volatility models

وصف الملف: application/pdf

Relation: https://depositonce.tu-berlin.de/handle/11303/11960; http://dx.doi.org/10.14279/depositonce-10842

الاتاحة: https://depositonce.tu-berlin.de/handle/11303/11960
https://doi.org/10.14279/depositonce-10842

المؤلفون: Riccardo Brignone, Luca Gonzato, Carlo Sgarra

المصدر: Annals of Operations Research.

مصطلحات موضوعية: Self-exciting jumps, History, Commodity derivatives, Polymers and Plastics, Multifactor affine stochastic volatility models, General Decision Sciences, Business and International Management, Management Science and Operations Research, Commodity derivatives, Multifactor affine stochastic volatility models, Self-exciting jumps, Simulation, Asian options, Asian options, Simulation, Industrial and Manufacturing Engineering

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81af736e1259c0b3a09269a5f65c0348
https://doi.org/10.1007/s10479-022-05152-x