Volume 16; Issue 4

Quantitative Finance

Volume 16; Issue 4
1

Forecasting risk via realized GARCH, incorporating the realized range

Gerlach, Richard, Wang, Chao
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 650 KB
english, 2016
2

Econophysics and Physical Economics

Hunter, Chris
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 371 KB
english, 2016
3

The multivariate Variance Gamma model: basket option pricing and calibration

Linders, Daniël, Stassen, Ben
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 870 KB
english, 2016
4

General closed-form basket option pricing bounds

Caldana, Ruggero, Fusai, Gianluca, Gnoatto, Alessandro, Grasselli, Martino
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 542 KB
english, 2016
6

Optimal pricing barriers in a regulated market using reflected diffusion processes

Han, Zheng, Hu, Yaozhong, Lee, Chihoon
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 582 KB
english, 2016
7

Exploring the total positivity of yields correlations

Goia, A., Salinelli, E.
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 1.15 MB
english, 2016
8

Calendar

Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 223 KB
english, 2016