Volume 14; Issue 10

Quantitative Finance

Volume 14; Issue 10
1

A regime-switching Heston model for VIX and S&P 500 implied volatilities

Papanicolaou, Andrew, Sircar, Ronnie
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 2.48 MB
english, 2014
2

The Half-life of Facts: Why Everything We Know Has an Expiration Date

Stein, Roger M.
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 301 KB
english, 2014
3

Making mean-variance hedging implementable in a partially observable market

Fujii, Masaaki, Takahashi, Akihiko
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 699 KB
english, 2014
4

Pricing of geometric Asian options under Heston's stochastic volatility model

Kim, Bara, Wee, In-Suk
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 288 KB
english, 2014
7

Option pricing and Greeks via a moving least square meshfree method

Kim, Yongsik, Bae, Hyeong-Ohk, Koo, Hyeng Keun
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 3.13 MB
english, 2014
8

Bayesian testing for jumps in stochastic volatility models with correlated jumps

Yong, Li, Zhang, Jie
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 590 KB
english, 2014
9

Calendar

Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 90 KB
english, 2014
10

Comparison of methods to estimate option implied risk-neutral densities

Lai, Wan-Ni
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 919 KB
english, 2014
11

Dynamics of the implied volatility surface. Theory and empirical evidence

Romo, Jacinto Marabel
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 259 KB
english, 2014
12

Closed form spread option valuation

Bjerksund, Petter, Stensland, Gunnar
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 229 KB
english, 2014
13

Discrete dividends and the FTSE-100 index options valuation

Areal, Nelson, Rodrigues, Artur
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 683 KB
english, 2014
14

Hedging strategies for energy derivatives

Leoni, P., Vandaele, N., Vanmaele, M.
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 256 KB
english, 2014