Kim, Donggyu; Oh, Minseog; Wang, Yazhen Conditional quantile analysis for realized GARCH models. (English) Zbl 07570758 J. Time Ser. Anal. 43, No. 4, 640-665 (2022). MSC: 62Mxx 62M10 62P05 62F10 PDF BibTeX XML Cite \textit{D. Kim} et al., J. Time Ser. Anal. 43, No. 4, 640--665 (2022; Zbl 07570758) Full Text: DOI OpenURL
Yuan, Huiling; Sun, Yulei; Xu, Lu; Zhou, Yong; Cui, Xiangyu A new volatility model: GQARCH-Itô model. (English) Zbl 07569197 J. Time Ser. Anal. 43, No. 3, 345-370 (2022). MSC: 62Mxx 62M10 62M20 62F12 PDF BibTeX XML Cite \textit{H. Yuan} et al., J. Time Ser. Anal. 43, No. 3, 345--370 (2022; Zbl 07569197) Full Text: DOI OpenURL
Das, Kaustav; Langrené, Nicolas Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility. (English) Zbl 07567421 Stochastics 94, No. 5, 745-788 (2022). MSC: 91G60 41A58 65C20 PDF BibTeX XML Cite \textit{K. Das} and \textit{N. Langrené}, Stochastics 94, No. 5, 745--788 (2022; Zbl 07567421) Full Text: DOI OpenURL
Ozturk, Serda Selin; Demirer, Riza; Gupta, Rangan Climate uncertainty and carbon emissions prices: the relative roles of transition and physical climate risks. (English) Zbl 07566221 Econ. Lett. 217, Article ID 110687, 6 p. (2022). MSC: 91B76 PDF BibTeX XML Cite \textit{S. S. Ozturk} et al., Econ. Lett. 217, Article ID 110687, 6 p. (2022; Zbl 07566221) Full Text: DOI OpenURL
Lyu, Jianping; Ma, Yong; Sun, Wei A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps. (English) Zbl 07565480 Commun. Stat., Theory Methods 51, No. 15, 5112-5123 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{J. Lyu} et al., Commun. Stat., Theory Methods 51, No. 15, 5112--5123 (2022; Zbl 07565480) Full Text: DOI OpenURL
Gaygısız, Esma; Karasan, Abdullah; Hekimoğlu, Alper Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model. (English) Zbl 07565464 Optimization 71, No. 8, 2421-2449 (2022). MSC: 90Cxx 49-XX PDF BibTeX XML Cite \textit{E. Gaygısız} et al., Optimization 71, No. 8, 2421--2449 (2022; Zbl 07565464) Full Text: DOI OpenURL
Mbairadjim Moussa, Alfred; Sadefo Kamdem, Jules A fuzzy multifactor asset pricing model. (English) Zbl 07553151 Ann. Oper. Res. 313, No. 2, 1221-1241 (2022). MSC: 91G30 91B86 PDF BibTeX XML Cite \textit{A. Mbairadjim Moussa} and \textit{J. Sadefo Kamdem}, Ann. Oper. Res. 313, No. 2, 1221--1241 (2022; Zbl 07553151) Full Text: DOI OpenURL
Kharrat, Mohamed Pricing European and American options under fractional model. (English) Zbl 07551020 Palest. J. Math. 11, Spec. Iss. II, 63-73 (2022). MSC: 91G20 60G40 35R11 91G60 PDF BibTeX XML Cite \textit{M. Kharrat}, Palest. J. Math. 11, 63--73 (2022; Zbl 07551020) Full Text: Link OpenURL
Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (English) Zbl 07550830 Ann. Oper. Res. 313, No. 1, 29-46 (2022). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{J. Chen} et al., Ann. Oper. Res. 313, No. 1, 29--46 (2022; Zbl 07550830) Full Text: DOI OpenURL
De Gennaro Aquino, Luca; Bernard, Carole Correction to: “Semi-analytical prices for lookback and barrier options under the Heston model”. (English) Zbl 07544270 Decis. Econ. Finance 45, No. 1, 447-449 (2022). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{L. De Gennaro Aquino} and \textit{C. Bernard}, Decis. Econ. Finance 45, No. 1, 447--449 (2022; Zbl 07544270) Full Text: DOI OpenURL
Toscano, Giacomo; Recchioni, Maria Cristina Bias-optimal vol-of-vol estimation: the role of window overlapping. (English) Zbl 07544260 Decis. Econ. Finance 45, No. 1, 137-185 (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{G. Toscano} and \textit{M. C. Recchioni}, Decis. Econ. Finance 45, No. 1, 137--185 (2022; Zbl 07544260) Full Text: DOI OpenURL
Hata, Hiroaki; Liu, Nien-Lin; Yasuda, Kazuhiro Expressions of forward starting option price in Hull-White stochastic volatility model. (English) Zbl 07544259 Decis. Econ. Finance 45, No. 1, 101-135 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{H. Hata} et al., Decis. Econ. Finance 45, No. 1, 101--135 (2022; Zbl 07544259) Full Text: DOI OpenURL
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard Calibration to FX triangles of the 4/2 model under the benchmark approach. (English) Zbl 07544255 Decis. Econ. Finance 45, No. 1, 1-34 (2022). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{A. Gnoatto} et al., Decis. Econ. Finance 45, No. 1, 1--34 (2022; Zbl 07544255) Full Text: DOI OpenURL
Olivieri, Annamaria; Thirurajah, Samuel; Ziveyi, Jonathan Target volatility strategies for group self-annuity portfolios. (English) Zbl 07540872 ASTIN Bull. 52, No. 2, 591-617 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Olivieri} et al., ASTIN Bull. 52, No. 2, 591--617 (2022; Zbl 07540872) Full Text: DOI OpenURL
Lorig, Matthew; Suaysom, Natchanon Options on bonds: implied volatilities from affine short-rate dynamics. (English) Zbl 07540599 Ann. Finance 18, No. 2, 183-216 (2022). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{M. Lorig} and \textit{N. Suaysom}, Ann. Finance 18, No. 2, 183--216 (2022; Zbl 07540599) Full Text: DOI OpenURL
Lee, Youngrok; Lee, Jaesung The pricing of power quanto options under stochastic volatility. (English) Zbl 07539991 Proc. Jangjeon Math. Soc. 25, No. 1, 75-81 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Lee} and \textit{J. Lee}, Proc. Jangjeon Math. Soc. 25, No. 1, 75--81 (2022; Zbl 07539991) Full Text: DOI OpenURL
He, Wan-Hua; Wu, Chufang; Gu, Jia-Wen; Ching, Wai-Ki; Wong, Chi-Wing Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility. (English) Zbl 07539003 J. Ind. Manag. Optim. 18, No. 3, 2077-2094 (2022). MSC: 91G20 35R60 35C20 PDF BibTeX XML Cite \textit{W.-H. He} et al., J. Ind. Manag. Optim. 18, No. 3, 2077--2094 (2022; Zbl 07539003) Full Text: DOI OpenURL
Lee, Min-Ku; Kim, See-Woo; Kim, Jeong-Hoon Variance swaps under multiscale stochastic volatility of volatility. (English) Zbl 07536577 Methodol. Comput. Appl. Probab. 24, No. 1, 39-64 (2022). MSC: 91G20 60J60 35Q91 PDF BibTeX XML Cite \textit{M.-K. Lee} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 39--64 (2022; Zbl 07536577) Full Text: DOI OpenURL
Felpel, M.; Kienitz, J.; McWalter, T. A. Effective Markovian projection: application to CMS spread options and mid-curve swaptions. (English) Zbl 07532633 Quant. Finance 22, No. 6, 1169-1192 (2022). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{M. Felpel} et al., Quant. Finance 22, No. 6, 1169--1192 (2022; Zbl 07532633) Full Text: DOI OpenURL
Suzuki, Masataka Smooth ambiguity preferences and asset prices with a jump-diffusion process. (English) Zbl 07532618 Quant. Finance 22, No. 5, 871-887 (2022). MSC: 91G30 91G20 60J74 PDF BibTeX XML Cite \textit{M. Suzuki}, Quant. Finance 22, No. 5, 871--887 (2022; Zbl 07532618) Full Text: DOI OpenURL
Auster, Johan; Mathys, Ludovic; Maeder, Fabio JDOI variance reduction method and the pricing of American-style options. (English) Zbl 1486.91091 Quant. Finance 22, No. 4, 639-656 (2022). MSC: 91G60 65R20 65C05 91G20 60G40 PDF BibTeX XML Cite \textit{J. Auster} et al., Quant. Finance 22, No. 4, 639--656 (2022; Zbl 1486.91091) Full Text: DOI OpenURL
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles Stationary Heston model: calibration and pricing of exotics using product recursive quantization. (English) Zbl 07532600 Quant. Finance 22, No. 4, 611-629 (2022). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{V. Lemaire} et al., Quant. Finance 22, No. 4, 611--629 (2022; Zbl 07532600) Full Text: DOI OpenURL
Yazdani, S.; Hadizadeh, M.; Fakoor, V. Computational analysis of the behavior of stochastic volatility models with financial applications. (English) Zbl 07531710 J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022). MSC: 62Gxx 91Gxx 62Mxx PDF BibTeX XML Cite \textit{S. Yazdani} et al., J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022; Zbl 07531710) Full Text: DOI OpenURL
Jacquier, Antoine; Pannier, Alexandre Large and moderate deviations for stochastic Volterra systems. (English) Zbl 07527294 Stochastic Processes Appl. 149, 142-187 (2022). MSC: 60F10 60G22 91G20 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{A. Pannier}, Stochastic Processes Appl. 149, 142--187 (2022; Zbl 07527294) Full Text: DOI OpenURL
Yoshida, Nakahiro Quasi-likelihood analysis and its applications. (English) Zbl 07527230 Stat. Inference Stoch. Process. 25, No. 1, 43-60 (2022). MSC: 62Mxx PDF BibTeX XML Cite \textit{N. Yoshida}, Stat. Inference Stoch. Process. 25, No. 1, 43--60 (2022; Zbl 07527230) Full Text: DOI OpenURL
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael Tempered stable processes with time-varying exponential tails. (English) Zbl 07518203 Quant. Finance 22, No. 3, 541-561 (2022). MSC: 91G20 60G51 62P05 PDF BibTeX XML Cite \textit{Y. S. Kim} et al., Quant. Finance 22, No. 3, 541--561 (2022; Zbl 07518203) Full Text: DOI OpenURL
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian Performance measurement for option portfolios in a stochastic volatility framework. (English) Zbl 1487.91110 Quant. Finance 22, No. 3, 519-539 (2022). MSC: 91G10 91G20 PDF BibTeX XML Cite \textit{R. Baule} et al., Quant. Finance 22, No. 3, 519--539 (2022; Zbl 1487.91110) Full Text: DOI OpenURL
Miśkiewicz, Zofia Inhomogeneous time change equations for Markov chains and their applications. (English) Zbl 1487.60140 Stochastic Anal. Appl. 40, No. 3, 455-474 (2022). MSC: 60J27 60J28 60J60 91G80 PDF BibTeX XML Cite \textit{Z. Miśkiewicz}, Stochastic Anal. Appl. 40, No. 3, 455--474 (2022; Zbl 1487.60140) Full Text: DOI OpenURL
Hoyle, Edward; Macrina, Andrea; Menguturk, Levent Ali Modulated information flows in financial markets. (English) Zbl 07516351 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 335-369 (2022). MSC: 91G15 91G20 60J74 60G55 PDF BibTeX XML Cite \textit{E. Hoyle} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 335--369 (2022; Zbl 07516351) Full Text: DOI OpenURL
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea Information-based asset pricing. (English) Zbl 07516338 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 29-64 (2022). MSC: 91G30 91G20 60J70 PDF BibTeX XML Cite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 29--64 (2022; Zbl 07516338) Full Text: DOI OpenURL
Roslan, Teh Raihana Nazirah; Karim, Sharmila; Ibrahim, Siti Zulaiha; Jameel, Ali Fareed; Yahya, Zainor Ridzuan Stochastic pricing formulation for hybrid equity warrants. (English) Zbl 1485.91231 AIMS Math. 7, No. 1, 398-424 (2022). MSC: 91G20 91B70 91G30 PDF BibTeX XML Cite \textit{T. R. N. Roslan} et al., AIMS Math. 7, No. 1, 398--424 (2022; Zbl 1485.91231) Full Text: DOI OpenURL
Georgiev, Slavi G.; Vulkov, Lubin G. Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations. (English) Zbl 07511672 Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 13th international conference, LSSC 2021, Sozopol, Bulgaria, June 7–11, 2021. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 13127, 507-514 (2022). Reviewer: Paweł Kliber (Poznan) MSC: 91G20 60H35 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Lect. Notes Comput. Sci. 13127, 507--514 (2022; Zbl 07511672) Full Text: DOI OpenURL
Liu, Zhichao; Wang, Yunchen; Cheng, Ya; Saeed, Tareq; Ye, Yong Option pricing using stochastic volatility model under Fourier transform of nonlinear differential equation. (English) Zbl 1486.91083 Fractals 30, No. 2, Article ID 2240065, 11 p. (2022). MSC: 91G20 42A38 91G80 PDF BibTeX XML Cite \textit{Z. Liu} et al., Fractals 30, No. 2, Article ID 2240065, 11 p. (2022; Zbl 1486.91083) Full Text: DOI OpenURL
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique Forecasting market index volatility using ross-recovered distributions. (English) Zbl 1484.91475 Quant. Finance 22, No. 2, 255-271 (2022). MSC: 91G20 62P05 62M20 PDF BibTeX XML Cite \textit{M.-H. Gagnon} et al., Quant. Finance 22, No. 2, 255--271 (2022; Zbl 1484.91475) Full Text: DOI OpenURL
Hölzermann, Julian Term structure modeling under volatility uncertainty. (English) Zbl 1484.91496 Math. Financ. Econ. 16, No. 2, 317-343 (2022). MSC: 91G30 60G65 PDF BibTeX XML Cite \textit{J. Hölzermann}, Math. Financ. Econ. 16, No. 2, 317--343 (2022; Zbl 1484.91496) Full Text: DOI OpenURL
Antonopoulou, Dimitra C.; Bitsaki, Marina; Karali, Georgia The multi-dimensional stochastic Stefan financial model for a portfolio of assets. (English) Zbl 1483.91211 Discrete Contin. Dyn. Syst., Ser. B 27, No. 4, 1955-1987 (2022). MSC: 91G10 91B70 60H30 PDF BibTeX XML Cite \textit{D. C. Antonopoulou} et al., Discrete Contin. Dyn. Syst., Ser. B 27, No. 4, 1955--1987 (2022; Zbl 1483.91211) Full Text: DOI OpenURL
Ögetbil, Orcan; Ganesan, Narayan; Hientzsch, Bernhard Calibrating local volatility models with stochastic drift and diffusion. (English) Zbl 1484.91497 Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250011, 43 p. (2022). MSC: 91G30 PDF BibTeX XML Cite \textit{O. Ögetbil} et al., Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250011, 43 p. (2022; Zbl 1484.91497) Full Text: DOI OpenURL
Arai, Takuji Approximate option pricing formula for Barndorff-Nielsen and Shephard model. (English) Zbl 1483.91228 Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250008, 26 p. (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Arai}, Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250008, 26 p. (2022; Zbl 1483.91228) Full Text: DOI OpenURL
Bayer, Christian; Qiu, Jinniao; Yao, Yao Pricing options under rough volatility with backward SPDEs. (English) Zbl 1484.91469 SIAM J. Financ. Math. 13, No. 1, 179-212 (2022). MSC: 91G20 60H15 60G40 91G60 PDF BibTeX XML Cite \textit{C. Bayer} et al., SIAM J. Financ. Math. 13, No. 1, 179--212 (2022; Zbl 1484.91469) Full Text: DOI arXiv OpenURL
Bognanni, Mark Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”. (English) Zbl 07491169 J. Econom. 227, No. 2, 498-505 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{M. Bognanni}, J. Econom. 227, No. 2, 498--505 (2022; Zbl 07491169) Full Text: DOI OpenURL
Tong, Zhigang; Liu, Allen Pricing variance swaps under subordinated Jacobi stochastic volatility models. (English) Zbl 07486074 Physica A 593, Article ID 126941, 17 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{Z. Tong} and \textit{A. Liu}, Physica A 593, Article ID 126941, 17 p. (2022; Zbl 07486074) Full Text: DOI OpenURL
Peña, Víctor; Irie, Kaoru On the relationship between uhlig extended and beta-Bartlett processes. (English) Zbl 07476231 J. Time Ser. Anal. 43, No. 1, 147-153 (2022). MSC: 62M10 62H12 62F15 PDF BibTeX XML Cite \textit{V. Peña} and \textit{K. Irie}, J. Time Ser. Anal. 43, No. 1, 147--153 (2022; Zbl 07476231) Full Text: DOI OpenURL
Chang, Hao; Li, Jiaao; Zhao, Hui Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria. (English) Zbl 07475174 J. Ind. Manag. Optim. 18, No. 2, 1393-1423 (2022). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{H. Chang} et al., J. Ind. Manag. Optim. 18, No. 2, 1393--1423 (2022; Zbl 07475174) Full Text: DOI OpenURL
Fouque, Jean-Pierre; Hu, Ruimeng; Sircar, Ronnie Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets. (English) Zbl 1483.91214 SIAM J. Financ. Math. 13, No. 1, 109-128 (2022). MSC: 91G10 93E20 60H30 35C20 PDF BibTeX XML Cite \textit{J.-P. Fouque} et al., SIAM J. Financ. Math. 13, No. 1, 109--128 (2022; Zbl 1483.91214) Full Text: DOI arXiv OpenURL
Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza On smile properties of volatility derivatives: understanding the VIX skew. (English) Zbl 1483.91227 SIAM J. Financ. Math. 13, No. 1, 32-69 (2022). MSC: 91G20 91G80 60H07 60G22 PDF BibTeX XML Cite \textit{E. Alòs} et al., SIAM J. Financ. Math. 13, No. 1, 32--69 (2022; Zbl 1483.91227) Full Text: DOI arXiv OpenURL
Benth, Fred Espen; Schroers, Dennis; Veraart, Almut E. D. A weak law of large numbers for realised covariation in a Hilbert space setting. (English) Zbl 1480.60177 Stochastic Processes Appl. 145, 241-268 (2022). MSC: 60H15 60F15 60B11 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Stochastic Processes Appl. 145, 241--268 (2022; Zbl 1480.60177) Full Text: DOI arXiv OpenURL
Pigato, Paolo Density estimates and short-time asymptotics for a hypoelliptic diffusion process. (English) Zbl 1480.60170 Stochastic Processes Appl. 145, 117-142 (2022). MSC: 60H10 60H30 60H07 60J60 60F05 91G20 PDF BibTeX XML Cite \textit{P. Pigato}, Stochastic Processes Appl. 145, 117--142 (2022; Zbl 1480.60170) Full Text: DOI arXiv OpenURL
Kim, Jerim; Kim, Bara; Kim, Jeongsim; Lee, Sungji Computation of powered option prices under a general model for underlying asset dynamics. (English) Zbl 1483.91233 J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022). MSC: 91G20 44A10 60H30 PDF BibTeX XML Cite \textit{J. Kim} et al., J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022; Zbl 1483.91233) Full Text: DOI OpenURL
Malhotra, Gifty; Srivastava, R.; Taneja, H. C. Pricing of the geometric Asian options under a multifactor stochastic volatility model. (English) Zbl 07472433 J. Comput. Appl. Math. 406, Article ID 113986, 19 p. (2022). MSC: 91G20 35Q91 35R60 60H15 60H30 91G60 PDF BibTeX XML Cite \textit{G. Malhotra} et al., J. Comput. Appl. Math. 406, Article ID 113986, 19 p. (2022; Zbl 07472433) Full Text: DOI arXiv OpenURL
Mancino, Maria Elvira; Toscano, Giacomo Rate-efficient asymptotic normality for the Fourier estimator of the leverage process. (English) Zbl 07468432 Stat. Interface 15, No. 1, 73-89 (2022). MSC: 42A38 62F12 62G05 PDF BibTeX XML Cite \textit{M. E. Mancino} and \textit{G. Toscano}, Stat. Interface 15, No. 1, 73--89 (2022; Zbl 07468432) Full Text: DOI OpenURL
Zhu, Yichen; Escobar-Anel, Marcos Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (English) Zbl 07465280 Appl. Math. Comput. 418, Article ID 126836, 18 p. (2022). MSC: 49M25 49N90 60G99 91-08 91G10 PDF BibTeX XML Cite \textit{Y. Zhu} and \textit{M. Escobar-Anel}, Appl. Math. Comput. 418, Article ID 126836, 18 p. (2022; Zbl 07465280) Full Text: DOI OpenURL
Hansen, Peter G. New formulations of ambiguous volatility with an application to optimal dynamic contracting. (English) Zbl 1481.91102 J. Econ. Theory 199, Article ID 105205, 31 p. (2022). MSC: 91B41 91G10 PDF BibTeX XML Cite \textit{P. G. Hansen}, J. Econ. Theory 199, Article ID 105205, 31 p. (2022; Zbl 1481.91102) Full Text: DOI arXiv OpenURL
Guo, Ivan; Loeper, Grégoire; Obłój, Jan; Wang, Shiyi Joint modeling and calibration of SPX and VIX by optimal transport. (English) Zbl 1482.91203 SIAM J. Financ. Math. 13, No. 1, 1-31 (2022). Reviewer: Paweł Kliber (Poznan) MSC: 91G20 91G60 60H30 49M29 PDF BibTeX XML Cite \textit{I. Guo} et al., SIAM J. Financ. Math. 13, No. 1, 1--31 (2022; Zbl 1482.91203) Full Text: DOI arXiv OpenURL
Barigou, Karim; Delong, Łukasz Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (English) Zbl 1479.91304 J. Comput. Appl. Math. 404, Article ID 113922, 18 p. (2022). MSC: 91G05 91G10 60H30 35Q91 PDF BibTeX XML Cite \textit{K. Barigou} and \textit{Ł. Delong}, J. Comput. Appl. Math. 404, Article ID 113922, 18 p. (2022; Zbl 1479.91304) Full Text: DOI arXiv OpenURL
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks. (English) Zbl 1479.91408 J. Comput. Appl. Math. 404, Article ID 113901, 14 p. (2022). MSC: 91G20 91B70 60J28 PDF BibTeX XML Cite \textit{J. Ma} et al., J. Comput. Appl. Math. 404, Article ID 113901, 14 p. (2022; Zbl 1479.91408) Full Text: DOI OpenURL
Huang, Chun-Sung; O’Hara, John G.; Mataramvura, Sure Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility. (English) Zbl 07428131 Appl. Math. Comput. 414, Article ID 126669, 15 p. (2022). MSC: 91Gxx 65Txx 60Jxx PDF BibTeX XML Cite \textit{C.-S. Huang} et al., Appl. Math. Comput. 414, Article ID 126669, 15 p. (2022; Zbl 07428131) Full Text: DOI OpenURL
Stelzer, Robert; Vestweber, Johanna Geometric ergodicity of the multivariate COGARCH(1,1) process. (English) Zbl 07554009 Stochastics 93, No. 7, 959-992 (2021). MSC: 60J25 60G10 60G51 37A25 PDF BibTeX XML Cite \textit{R. Stelzer} and \textit{J. Vestweber}, Stochastics 93, No. 7, 959--992 (2021; Zbl 07554009) Full Text: DOI OpenURL
Han, Yuecai; Liu, Chunyang; Song, Qingshuo Pricing double volatility barriers option under stochastic volatility. (English) Zbl 07553842 Stochastics 93, No. 4, 625-645 (2021). MSC: 91G20 60H30 62P05 PDF BibTeX XML Cite \textit{Y. Han} et al., Stochastics 93, No. 4, 625--645 (2021; Zbl 07553842) Full Text: DOI OpenURL
Xiao, Jinghong; Tan, Zhongquan Almost sure limit theorems for the maxima of stochastic volatility models. (English) Zbl 07553837 Stochastics 93, No. 4, 513-527 (2021). MSC: 60F15 60G70 62P05 91B70 PDF BibTeX XML Cite \textit{J. Xiao} and \textit{Z. Tan}, Stochastics 93, No. 4, 513--527 (2021; Zbl 07553837) Full Text: DOI OpenURL
Götz, Thomas B.; Hauzenberger, Klemens Large mixed-frequency VARs with a parsimonious time-varying parameter structure. (English) Zbl 07546409 Econom. J. 24, No. 3, 442-461 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{T. B. Götz} and \textit{K. Hauzenberger}, Econom. J. 24, No. 3, 442--461 (2021; Zbl 07546409) Full Text: DOI OpenURL
Asai, Manabu; So, Mike K. P. A simulation smoother for long memory time series with correlated and heteroskedastic additive noise. (English) Zbl 07545556 Commun. Stat., Simulation Comput. 50, No. 2, 388-399 (2021). MSC: 62M10 62M20 PDF BibTeX XML Cite \textit{M. Asai} and \textit{M. K. P. So}, Commun. Stat., Simulation Comput. 50, No. 2, 388--399 (2021; Zbl 07545556) Full Text: DOI OpenURL
Guo, Zhidong Option pricing under the Heston model where the interest rate follows the Vasicek model. (English) Zbl 07533705 Commun. Stat., Theory Methods 50, No. 12, 2930-2937 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{Z. Guo}, Commun. Stat., Theory Methods 50, No. 12, 2930--2937 (2021; Zbl 07533705) Full Text: DOI OpenURL
Guo, Guangbao; Zhao, Weidong Schwarz method for financial engineering. (English) Zbl 07533066 J. Comput. Math. 39, No. 4, 538-555 (2021). MSC: 91G60 65C30 65C05 60H35 60H07 60J75 PDF BibTeX XML Cite \textit{G. Guo} and \textit{W. Zhao}, J. Comput. Math. 39, No. 4, 538--555 (2021; Zbl 07533066) Full Text: DOI OpenURL
Wang, XiaoTian; Yang, ZiJian; Cao, PiYao; Wang, ShiLin The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (English) Zbl 1485.91232 Chaos Solitons Fractals 148, Article ID 111012, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{X. Wang} et al., Chaos Solitons Fractals 148, Article ID 111012, 16 p. (2021; Zbl 1485.91232) Full Text: DOI OpenURL
Kim, Donghyun; Choi, Sun-Yong; Yoon, Ji-Hun Pricing of vulnerable options under hybrid stochastic and local volatility. (English) Zbl 07526743 Chaos Solitons Fractals 146, Article ID 110846, 12 p. (2021). MSC: 91-XX 60-XX PDF BibTeX XML Cite \textit{D. Kim} et al., Chaos Solitons Fractals 146, Article ID 110846, 12 p. (2021; Zbl 07526743) Full Text: DOI OpenURL
Baek, Changryong; Park, Minsu Sparse vector heterogeneous autoregressive modeling for realized volatility. (English) Zbl 1485.62143 J. Korean Stat. Soc. 50, No. 2, 495-510 (2021). MSC: 62P05 62M10 62M20 91B84 PDF BibTeX XML Cite \textit{C. Baek} and \textit{M. Park}, J. Korean Stat. Soc. 50, No. 2, 495--510 (2021; Zbl 1485.62143) Full Text: DOI OpenURL
Lin, Sha; He, Xin-Jiang A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. (English) Zbl 07514515 Chaos Solitons Fractals 144, Article ID 110644, 8 p. (2021). MSC: 91-XX 60-XX PDF BibTeX XML Cite \textit{S. Lin} and \textit{X.-J. He}, Chaos Solitons Fractals 144, Article ID 110644, 8 p. (2021; Zbl 07514515) Full Text: DOI OpenURL
Jeon, Jaegi; Kim, Geonwoo; Huh, Jeonggyu An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. (English) Zbl 07514512 Chaos Solitons Fractals 144, Article ID 110641, 10 p. (2021). MSC: 91-XX 60-XX PDF BibTeX XML Cite \textit{J. Jeon} et al., Chaos Solitons Fractals 144, Article ID 110641, 10 p. (2021; Zbl 07514512) Full Text: DOI OpenURL
Deng, Jie; Qin, Zhongfeng On Parisian option pricing for uncertain currency model. (English) Zbl 07512459 Chaos Solitons Fractals 143, Article ID 110561, 6 p. (2021). MSC: 91-XX 60-XX PDF BibTeX XML Cite \textit{J. Deng} and \textit{Z. Qin}, Chaos Solitons Fractals 143, Article ID 110561, 6 p. (2021; Zbl 07512459) Full Text: DOI OpenURL
Weba, Michael Prediction of stock returns may be fallacious: a stochastic confirmation of Malkiel’s assertion on dartboard investments. (English) Zbl 07508904 Far East J. Theor. Stat. 62, No. 2, 131-150 (2021). MSC: 62P05 62M20 60G25 91G10 91G70 PDF BibTeX XML Cite \textit{M. Weba}, Far East J. Theor. Stat. 62, No. 2, 131--150 (2021; Zbl 07508904) Full Text: DOI OpenURL
Bakhshmohammadlou, Minoo; Farnoosh, Rahman Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus. (English) Zbl 1486.60071 Math. Sci., Springer 15, No. 4, 337-343 (2021). MSC: 60H07 60H10 60J76 91B70 91G20 PDF BibTeX XML Cite \textit{M. Bakhshmohammadlou} and \textit{R. Farnoosh}, Math. Sci., Springer 15, No. 4, 337--343 (2021; Zbl 1486.60071) Full Text: DOI OpenURL
Saraev, Aleksandr Leonidovich; Saraev, Leonid Aleksandrovich Models of stochastic dynamics of development of industrial enterprises with lagging internal and external investments. (Russian. English summary) Zbl 07499970 Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 25, No. 4, 738-762 (2021). MSC: 60H10 PDF BibTeX XML Cite \textit{A. L. Saraev} and \textit{L. A. Saraev}, Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 25, No. 4, 738--762 (2021; Zbl 07499970) Full Text: DOI MNR OpenURL
Bégin, Jean-François; Boudreault, Mathieu Likelihood evaluation of jump-diffusion models using deterministic nonlinear filters. (English) Zbl 07499869 J. Comput. Graph. Stat. 30, No. 2, 452-466 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{J.-F. Bégin} and \textit{M. Boudreault}, J. Comput. Graph. Stat. 30, No. 2, 452--466 (2021; Zbl 07499869) Full Text: DOI OpenURL
Bollerslev, Tim; Li, Jia; Liao, Zhipeng Fixed-\(k\) inference for volatility. (English) Zbl 1485.91233 Quant. Econ. 12, No. 4, 1053-1084 (2021). MSC: 91G30 62P05 PDF BibTeX XML Cite \textit{T. Bollerslev} et al., Quant. Econ. 12, No. 4, 1053--1084 (2021; Zbl 1485.91233) Full Text: DOI OpenURL
Hess, Markus The VIX and future information. (English) Zbl 07488285 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150038, 30 p. (2021). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{M. Hess}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150038, 30 p. (2021; Zbl 07488285) Full Text: DOI OpenURL
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana Dynamic probabilistic forecasting with uncertainty. (English) Zbl 1484.91445 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150034, 18 p. (2021). MSC: 91G15 91G20 60J60 PDF BibTeX XML Cite \textit{F. E. Benth} et al., Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150034, 18 p. (2021; Zbl 1484.91445) Full Text: DOI OpenURL
Alexander, Carol; Lazar, Emese The continuous limit of weak GARCH. (English) Zbl 07484565 Econom. Rev. 40, No. 2, 197-216 (2021). MSC: 62M10 62P20 62P05 91B84 91G20 PDF BibTeX XML Cite \textit{C. Alexander} and \textit{E. Lazar}, Econom. Rev. 40, No. 2, 197--216 (2021; Zbl 07484565) Full Text: DOI arXiv OpenURL
Mezdoud, Zaineb; Hartmann, Carsten; Remita, Mohamed Riad; Kebiri, Omar \(\alpha\)-hypergeometric uncertain volatility models and their connection to 2BSDEs. (English) Zbl 1483.91239 Bull. Inst. Math., Acad. Sin. (N.S.) 16, No. 3, 263-288 (2021). MSC: 91G20 35Q91 60H30 PDF BibTeX XML Cite \textit{Z. Mezdoud} et al., Bull. Inst. Math., Acad. Sin. (N.S.) 16, No. 3, 263--288 (2021; Zbl 1483.91239) Full Text: DOI arXiv OpenURL
Liu, Chang; Chang, Chuo Combination of transition probability distribution and stable Lorentz distribution in stock markets. (English) Zbl 07464387 Physica A 565, Article ID 125554, 13 p. (2021). MSC: 82-XX PDF BibTeX XML Cite \textit{C. Liu} and \textit{C. Chang}, Physica A 565, Article ID 125554, 13 p. (2021; Zbl 07464387) Full Text: DOI OpenURL
Xu, De-xuan; Yang, Ben-zhang; Kang, Jian-hao; Huang, Nan-jing Variance and volatility swaps valuations with the stochastic liquidity risk. (English) Zbl 07459841 Physica A 566, Article ID 125679, 20 p. (2021). MSC: 82-XX PDF BibTeX XML Cite \textit{D.-x. Xu} et al., Physica A 566, Article ID 125679, 20 p. (2021; Zbl 07459841) Full Text: DOI OpenURL
Naryongo, Raphael; Ngare, Philip; Waititu, Anthony The log-asset dynamic with Euler-Maruyama scheme under Wishart processes. (English) Zbl 1486.65011 Int. J. Math. Math. Sci. 2021, Article ID 4050722, 15 p. (2021). MSC: 65C30 91G60 91G20 60H10 91G70 PDF BibTeX XML Cite \textit{R. Naryongo} et al., Int. J. Math. Math. Sci. 2021, Article ID 4050722, 15 p. (2021; Zbl 1486.65011) Full Text: DOI OpenURL
Grbac, Zorana; Krief, David; Tankov, Peter Long-time trajectorial large deviations and importance sampling for affine stochastic volatility models. (English) Zbl 07458585 Adv. Appl. Probab. 53, No. 1, 220-250 (2021). MSC: 60F10 91G60 PDF BibTeX XML Cite \textit{Z. Grbac} et al., Adv. Appl. Probab. 53, No. 1, 220--250 (2021; Zbl 07458585) Full Text: DOI OpenURL
Tsionas, Mike G. Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility. (English) Zbl 07456712 Physica A 567, Article ID 125647, 12 p. (2021). MSC: 82-XX PDF BibTeX XML Cite \textit{M. G. Tsionas}, Physica A 567, Article ID 125647, 12 p. (2021; Zbl 07456712) Full Text: DOI OpenURL
Han, Bingyan; Wong, Hoi Ying Time-inconsistency with rough volatility. (English) Zbl 1480.91266 SIAM J. Financ. Math. 12, No. 4, 1553-1595 (2021). MSC: 91G10 91A80 60H20 PDF BibTeX XML Cite \textit{B. Han} and \textit{H. Y. Wong}, SIAM J. Financ. Math. 12, No. 4, 1553--1595 (2021; Zbl 1480.91266) Full Text: DOI arXiv OpenURL
Song, Yuping; Li, Hangyan; Fang, Yetong Efficient estimation for the volatility of stochastic interest rate models. (English) Zbl 1477.62304 Stat. Pap. 62, No. 4, 1939-1964 (2021). MSC: 62P05 62G07 62G20 62M10 60J60 91G30 PDF BibTeX XML Cite \textit{Y. Song} et al., Stat. Pap. 62, No. 4, 1939--1964 (2021; Zbl 1477.62304) Full Text: DOI OpenURL
Ellanskaya, Anastasiya; Kabanov, Yuri On ruin probabilities with risky investments in a stock with stochastic volatility. (English) Zbl 07449510 Extremes 24, No. 4, 687-697 (2021). MSC: 60G44 91G05 PDF BibTeX XML Cite \textit{A. Ellanskaya} and \textit{Y. Kabanov}, Extremes 24, No. 4, 687--697 (2021; Zbl 07449510) Full Text: DOI arXiv OpenURL
Hayashi, Takaki; Takahashi, Makoto On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach. (English) Zbl 1477.62293 Jpn. J. Stat. Data Sci. 4, No. 1, 697-730 (2021). MSC: 62P05 62H12 62M20 91G15 PDF BibTeX XML Cite \textit{T. Hayashi} and \textit{M. Takahashi}, Jpn. J. Stat. Data Sci. 4, No. 1, 697--730 (2021; Zbl 1477.62293) Full Text: DOI OpenURL
Müller, Gernot; Uhl, Sebastian Estimation of time-varying autoregressive stochastic volatility models with stable innovations. (English) Zbl 1476.62017 Stat. Comput. 31, No. 3, Paper No. 36, 19 p. (2021). MSC: 62-08 62P05 62M10 PDF BibTeX XML Cite \textit{G. Müller} and \textit{S. Uhl}, Stat. Comput. 31, No. 3, Paper No. 36, 19 p. (2021; Zbl 1476.62017) Full Text: DOI OpenURL
Benth, Fred Espen; Lavagnini, Silvia Correlators of polynomial processes. (English) Zbl 1479.91391 SIAM J. Financ. Math. 12, No. 4, 1374-1415 (2021). MSC: 91G20 60J74 60J60 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{S. Lavagnini}, SIAM J. Financ. Math. 12, No. 4, 1374--1415 (2021; Zbl 1479.91391) Full Text: DOI arXiv OpenURL
Shinozaki, Yuji Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme. (English) Zbl 1479.91447 Quant. Finance 21, No. 7, 1147-1161 (2021). MSC: 91G60 65M99 91G20 91G30 PDF BibTeX XML Cite \textit{Y. Shinozaki}, Quant. Finance 21, No. 7, 1147--1161 (2021; Zbl 1479.91447) Full Text: DOI OpenURL
Choi, Jaehyuk; Wu, Lixin A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’. (English) Zbl 1476.91179 Quant. Finance 21, No. 7, 1083-1086 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Choi} and \textit{L. Wu}, Quant. Finance 21, No. 7, 1083--1086 (2021; Zbl 1476.91179) Full Text: DOI arXiv OpenURL
Felpel, M.; Kienitz, J.; Mcwalter, T. A. Effective stochastic volatility: applications to ZABR-type models. (English) Zbl 1479.91395 Quant. Finance 21, No. 5, 837-852 (2021). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{M. Felpel} et al., Quant. Finance 21, No. 5, 837--852 (2021; Zbl 1479.91395) Full Text: DOI OpenURL
Gudkov, Nikolay; Ziveyi, Jonathan Application of power series approximation techniques to valuation of European style options. (English) Zbl 1477.91054 Quant. Finance 21, No. 4, 609-635 (2021). MSC: 91G20 91G30 42A38 PDF BibTeX XML Cite \textit{N. Gudkov} and \textit{J. Ziveyi}, Quant. Finance 21, No. 4, 609--635 (2021; Zbl 1477.91054) Full Text: DOI OpenURL
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon Fractional stochastic volatility correction to CEV implied volatility. (English) Zbl 1479.91403 Quant. Finance 21, No. 4, 565-574 (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{H.-G. Kim} et al., Quant. Finance 21, No. 4, 565--574 (2021; Zbl 1479.91403) Full Text: DOI OpenURL
Forde, Martin; Smith, Benjamin; Viitasaari, Lauri Rough volatility and CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime. (Rough volatility, CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime.) (English) Zbl 1477.91053 Quant. Finance 21, No. 4, 541-563 (2021); correction ibid. 21, No. 4, i (2021). MSC: 91G20 60G51 91B70 PDF BibTeX XML Cite \textit{M. Forde} et al., Quant. Finance 21, No. 4, 541--563 (2021; Zbl 1477.91053) Full Text: DOI OpenURL
Orlando, Giuseppe; Bufalo, Michele Interest rates forecasting: between hull and white and the CIR# – how to make a single-factor model work. (English) Zbl 1476.62226 J. Forecast. 40, No. 8, 1566-1580 (2021). MSC: 62P05 62M20 91G30 91B84 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{M. Bufalo}, J. Forecast. 40, No. 8, 1566--1580 (2021; Zbl 1476.62226) Full Text: DOI OpenURL
Li, Xiafei; Li, Dongxin; Zhang, Xuhui; Wei, Guiwu; Bai, Lan; Wei, Yu Forecasting regular and extreme gold price volatility: the roles of asymmetry, extreme event, and jump. (English) Zbl 1479.62086 J. Forecast. 40, No. 8, 1501-1523 (2021). MSC: 62P05 62M10 62M20 62G32 91G15 PDF BibTeX XML Cite \textit{X. Li} et al., J. Forecast. 40, No. 8, 1501--1523 (2021; Zbl 1479.62086) Full Text: DOI OpenURL
Zhang, Weiguo; Gong, Xue; Wang, Chao; Ye, Xin Predicting stock market volatility based on textual sentiment: a nonlinear analysis. (English) Zbl 1479.62087 J. Forecast. 40, No. 8, 1479-1500 (2021). MSC: 62P05 62M10 62M20 91G15 68T05 PDF BibTeX XML Cite \textit{W. Zhang} et al., J. Forecast. 40, No. 8, 1479--1500 (2021; Zbl 1479.62087) Full Text: DOI OpenURL
He, Mengxi; Hao, Xianfeng; Zhang, Yaojie; Meng, Fanyi Forecasting stock return volatility using a robust regression model. (English) Zbl 1479.62084 J. Forecast. 40, No. 8, 1463-1478 (2021). MSC: 62P05 62M10 62M20 62G08 62G35 91G15 PDF BibTeX XML Cite \textit{M. He} et al., J. Forecast. 40, No. 8, 1463--1478 (2021; Zbl 1479.62084) Full Text: DOI OpenURL
Kuang, Wei Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach. (English) Zbl 1476.62201 J. Forecast. 40, No. 8, 1398-1419 (2021). MSC: 62M20 62H12 62M10 62P05 PDF BibTeX XML Cite \textit{W. Kuang}, J. Forecast. 40, No. 8, 1398--1419 (2021; Zbl 1476.62201) Full Text: DOI OpenURL