Hits 1-6 within 6 documents
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models [journal article]
Source: Quantitative Finance, 6 (2006) 2. p.125-145
A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method [journal article]
Source: Quantitative Finance, 6 (2006) 2. p.147-158
The robustness of modified unit root tests in the presence of GARCH [journal article]
Source: Quantitative Finance, 6 (2006) 4. p.359-363
There's more to volatility than volume [journal article]
Source: Quantitative Finance, 6 (2006) 5. p.371-384
A Multivariate Jump-Driven Financial Asset Model [journal article]
Source: Quantitative Finance, 6 (2006) 5. p.385-402
A Cross-Currency Lévy Market Model [journal article]
Source: Quantitative Finance, 6 (2006) 6. p.465-480