Results for Discipline:
Basic Research, General Concepts and History of Economics
Hits 1-10 within 25 documents
A Multifactor Volatility Heston Model [journal article]
Source: Quantitative Finance, 8 (2008) 6. p.591-604
Pricing Options with Green's Functions when Volatility, Interest Rate, and Barriers Depend on Time [journal article]
Source: Quantitative Finance, 8 (2008) 2. p.119-133
Correlation Smile Matching for CDO Tranches with α Stable Distributions and Fitted Archimedan Copulas [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.439-449
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models [journal article]
Source: Quantitative Finance, 6 (2006) 2. p.125-145
Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.525-535
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 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