Hits 11-20 within 59 documents
Optimal approximations of power-laws with exponentials: application to volatility models with long memory [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.585-589
A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.75-90
Pricing and capital requirements for with profit contracts: modelling considerations [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.803-817
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
Testing asymmetry in financial time series [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.687-696
A multi-factor jump-diffusion model for commodities [journal article]
Source: Quantitative Finance, 8 (2008) 2. p.181-200
Cash management using multi-stage stochastic programming [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.209-219
Least Squares Importance Sampling for Monte Carlo Security Pricing [journal article]
Source: Quantitative Finance, 8 (2008) 5. p.485-497
Value-at-risk forecasts under scrutiny - the German experience [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.621-636