Sancetta, Alessio; Satchell, Steve E. Changing correlation and equity portfolio diversification failure for linear factor models during market declines. (English) Zbl 1186.91200 Appl. Math. Finance 14, No. 3, 227-242 (2007). MSC: 91G10 PDFBibTeX XMLCite \textit{A. Sancetta} and \textit{S. E. Satchell}, Appl. Math. Finance 14, No. 3, 227--242 (2007; Zbl 1186.91200) Full Text: DOI
Klebaner, Fima; Le, Truc; Liptser, Robert On estimation of volatility surface and prediction of future spot volatility. (English) Zbl 1143.91337 Appl. Math. Finance 13, No. 3, 245-263 (2006). MSC: 91B28 PDFBibTeX XMLCite \textit{F. Klebaner} et al., Appl. Math. Finance 13, No. 3, 245--263 (2006; Zbl 1143.91337) Full Text: DOI
Howison, Sam; Lamper, David Trading volume in models of financial derivatives. (English) Zbl 1013.91047 Appl. Math. Finance 8, No. 2, 119-135 (2001). MSC: 91B28 91B60 PDFBibTeX XMLCite \textit{S. Howison} and \textit{D. Lamper}, Appl. Math. Finance 8, No. 2, 119--135 (2001; Zbl 1013.91047) Full Text: DOI
Bauer, Rob; Nieuwland, Fred A multiplicative model for volume and volatility. (English) Zbl 1466.91305 Appl. Math. Finance 2, No. 3, 135-154 (1995). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{R. Bauer} and \textit{F. Nieuwland}, Appl. Math. Finance 2, No. 3, 135--154 (1995; Zbl 1466.91305) Full Text: DOI
Bensoussan, A.; Crouhy, M.; Galai, D. Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants. (English) Zbl 1466.91369 Appl. Math. Finance 2, No. 1, 43-59 (1995). MSC: 91G50 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Appl. Math. Finance 2, No. 1, 43--59 (1995; Zbl 1466.91369) Full Text: DOI
Bensoussan, Alain; Crouhy, Michel; Galai, Dan Stochastic equity volatility related to the leverage effect. I: Equity volatility behaviour. (English) Zbl 0831.90007 Appl. Math. Finance 1, No. 1, 63-85 (1994). MSC: 91B28 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Appl. Math. Finance 1, No. 1, 63--85 (1994; Zbl 0831.90007) Full Text: DOI Link