Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications. (English) Zbl 07356027 Eur. J. Oper. Res. 293, No. 1, 336-360 (2021). Reviewer: Reviewer (Berlin) MSC: 90B PDF BibTeX XML Cite \textit{M. C. Recchioni} et al., Eur. J. Oper. Res. 293, No. 1, 336--360 (2021; Zbl 07356027) Full Text: DOI
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (English) Zbl 07355314 Eur. J. Oper. Res. 290, No. 3, 1046-1062 (2021). Reviewer: Reviewer (Berlin) MSC: 90B PDF BibTeX XML Cite \textit{Z. Cui} et al., Eur. J. Oper. Res. 290, No. 3, 1046--1062 (2021; Zbl 07355314) Full Text: DOI
Kim, Donghyun; Yoon, Ji-Hun; Park, Chang-Rae Pricing external barrier options under a stochastic volatility model. (English) Zbl 07354674 J. Comput. Appl. Math. 394, Article ID 113555, 16 p. (2021). Reviewer: Reviewer (Berlin) MSC: 91G PDF BibTeX XML Cite \textit{D. Kim} et al., J. Comput. Appl. Math. 394, Article ID 113555, 16 p. (2021; Zbl 07354674) Full Text: DOI
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge The market nanostructure origin of asset price time reversal asymmetry. (English) Zbl 07353679 Quant. Finance 21, No. 2, 295-304 (2021). Reviewer: Reviewer (Berlin) MSC: 91G30 PDF BibTeX XML Cite \textit{M. Cordi} et al., Quant. Finance 21, No. 2, 295--304 (2021; Zbl 07353679) Full Text: DOI
Ishii, Hitoshi; Roch, Alexandre Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing. (English) Zbl 07348566 SIAM J. Financ. Math. 12, No. 2, 604-640 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 60G40 49L25 60J70 PDF BibTeX XML Cite \textit{H. Ishii} and \textit{A. Roch}, SIAM J. Financ. Math. 12, No. 2, 604--640 (2021; Zbl 07348566) Full Text: DOI
Malham, Simon J. A.; Shen, Jiaqi; Wiese, Anke Series expansions and direct inversion for the Heston model. (English) Zbl 07348560 SIAM J. Financ. Math. 12, No. 1, 487-549 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 91B70 41A58 41A60 PDF BibTeX XML Cite \textit{S. J. A. Malham} et al., SIAM J. Financ. Math. 12, No. 1, 487--549 (2021; Zbl 07348560) Full Text: DOI
He, Xin-Jiang; Chen, Wenting A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. (English) Zbl 1460.91269 Math. Financ. Econ. 15, No. 2, 381-396 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{W. Chen}, Math. Financ. Econ. 15, No. 2, 381--396 (2021; Zbl 1460.91269) Full Text: DOI
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (English) Zbl 1460.91243 SIAM J. Financ. Math. 12, No. 1, 369-409 (2021). Reviewer: Reviewer (Berlin) MSC: 91G10 93E20 60H10 PDF BibTeX XML Cite \textit{E. Abi Jaber} et al., SIAM J. Financ. Math. 12, No. 1, 369--409 (2021; Zbl 1460.91243) Full Text: DOI
Cipriano, Fernanda; Martins, Nuno F. M.; Pereira, Diogo Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model. (English) Zbl 07343456 SIAM J. Financ. Math. 12, No. 1, 226-253 (2021). Reviewer: Reviewer (Berlin) MSC: 91G10 93E20 60H10 PDF BibTeX XML Cite \textit{F. Cipriano} et al., SIAM J. Financ. Math. 12, No. 1, 226--253 (2021; Zbl 07343456) Full Text: DOI
Cuchiero, Christa; Svaluto-Ferro, Sara Infinite-dimensional polynomial processes. (English) Zbl 07341442 Finance Stoch. 25, No. 2, 383-426 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 60J28 60H15 91G80 PDF BibTeX XML Cite \textit{C. Cuchiero} and \textit{S. Svaluto-Ferro}, Finance Stoch. 25, No. 2, 383--426 (2021; Zbl 07341442) Full Text: DOI
Ho, Hwai-Chung; Chen, Hung-Yin; Tsai, Henghsiu Non-parametric estimation of conditional tail expectation for long-horizon returns. (English) Zbl 07339844 Stat. Sin. 31, No. 1, 547-569 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 62G07 62G10 62G20 62G32 62P05 PDF BibTeX XML Cite \textit{H.-C. Ho} et al., Stat. Sin. 31, No. 1, 547--569 (2021; Zbl 07339844) Full Text: DOI
Chan, Ngai Hang; Ng, Wai Leong; Yau, Chun Yip Self-normalized sequential change-point detection. (English) Zbl 07339842 Stat. Sin. 31, No. 1, 491-517 (2021). Reviewer: Dimitrios Bagkavos (Ioannina) MSC: 62G10 62L12 62M10 62P30 PDF BibTeX XML Cite \textit{N. H. Chan} et al., Stat. Sin. 31, No. 1, 491--517 (2021; Zbl 07339842) Full Text: DOI
Wang, Xingchun Analytical valuation of vulnerable European and Asian options in intensity-based models. (English) Zbl 07337465 J. Comput. Appl. Math. 393, Article ID 113412, 23 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 91G30 91G45 PDF BibTeX XML Cite \textit{X. Wang}, J. Comput. Appl. Math. 393, Article ID 113412, 23 p. (2021; Zbl 07337465) Full Text: DOI
Yang, Yu; Liu, Shican; Wu, Yonghong; Wiwatanapataphee, Benchawan Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion. (English) Zbl 07337463 J. Comput. Appl. Math. 393, Article ID 113277, 25 p. (2021). Reviewer: Reviewer (Berlin) MSC: 60G 91G PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Comput. Appl. Math. 393, Article ID 113277, 25 p. (2021; Zbl 07337463) Full Text: DOI
Kang, Jian-hao; Wang, Ming-hui; Huang, Nan-jing Equilibrium strategy for mean-variance-utility portfolio selection under Heston’s SV model. (English) Zbl 07337458 J. Comput. Appl. Math. 392, Article ID 113490, 19 p. (2021). Reviewer: Reviewer (Berlin) MSC: 91G10 91A80 91G30 PDF BibTeX XML Cite \textit{J.-h. Kang} et al., J. Comput. Appl. Math. 392, Article ID 113490, 19 p. (2021; Zbl 07337458) Full Text: DOI
Lin, Y.-T.; Shih, Y.-T.; Chien, C.-S.; Sheng, Q. A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing. (English) Zbl 07332944 Appl. Math. Comput. 393, Article ID 125764, 14 p. (2021). Reviewer: Reviewer (Berlin) MSC: 41A10 41A58 65C99 91G80 PDF BibTeX XML Cite \textit{Y. T. Lin} et al., Appl. Math. Comput. 393, Article ID 125764, 14 p. (2021; Zbl 07332944) Full Text: DOI
Yang, Shuquan; Jia, Zhaoli; Wu, Qianqian; Wu, Huojun Homotopy analysis method for portfolio optimization problem under the 3/2 model. (English) Zbl 1460.91256 J. Syst. Sci. Complex. 34, No. 3, 1087-1101 (2021). Reviewer: Reviewer (Berlin) MSC: 91G10 55P99 91G80 PDF BibTeX XML Cite \textit{S. Yang} et al., J. Syst. Sci. Complex. 34, No. 3, 1087--1101 (2021; Zbl 1460.91256) Full Text: DOI
Qiu, Yue Complete subset least squares support vector regression. (English) Zbl 07328771 Econ. Lett. 200, Article ID 109737, 5 p. (2021). Reviewer: Reviewer (Berlin) MSC: 62P05 62J07 62M20 68T05 PDF BibTeX XML Cite \textit{Y. Qiu}, Econ. Lett. 200, Article ID 109737, 5 p. (2021; Zbl 07328771) Full Text: DOI
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; Lu, Zhiping; Zhou, Yong; Wang, Yazhen Volatility analysis with realized GARCH-Itô models. (English) Zbl 07327200 J. Econom. 222, No. 1, Part B, 393-410 (2021). Reviewer: Reviewer (Berlin) MSC: 62 91 PDF BibTeX XML Cite \textit{X. Song} et al., J. Econom. 222, No. 1, Part B, 393--410 (2021; Zbl 07327200) Full Text: DOI
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu Closed-form implied volatility surfaces for stochastic volatility models with jumps. (English) Zbl 07327199 J. Econom. 222, No. 1, Part B, 364-392 (2021). Reviewer: Reviewer (Berlin) MSC: 62 91 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} et al., J. Econom. 222, No. 1, Part B, 364--392 (2021; Zbl 07327199) Full Text: DOI
Ning, Ning; Wu, Jing Well-posedness and stability analysis of two classes of generalized stochastic volatility models. (English) Zbl 1459.91199 SIAM J. Financ. Math. 12, No. 1, 79-109 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 60G20 PDF BibTeX XML Cite \textit{N. Ning} and \textit{J. Wu}, SIAM J. Financ. Math. 12, No. 1, 79--109 (2021; Zbl 1459.91199) Full Text: DOI
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model. (English) Zbl 07314379 SIAM J. Numer. Anal. 59, No. 1, 477-502 (2021). Reviewer: Reviewer (Berlin) MSC: 60H35 65C20 91G60 PDF BibTeX XML Cite \textit{M. Briani} et al., SIAM J. Numer. Anal. 59, No. 1, 477--502 (2021; Zbl 07314379) Full Text: DOI
Soleymani, Fazlollah; Zhu, Shengfeng RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function. (English) Zbl 07308009 Comput. Math. Appl. 82, 161-178 (2021). Reviewer: Reviewer (Berlin) MSC: 65 91 PDF BibTeX XML Cite \textit{F. Soleymani} and \textit{S. Zhu}, Comput. Math. Appl. 82, 161--178 (2021; Zbl 07308009) Full Text: DOI
Kulikova, Maria V.; Tsyganova, J. V.; Kulikov, G. Yu. SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation. (English) Zbl 1458.93250 J. Comput. Appl. Math. 387, Article ID 112487, 13 p. (2021). Reviewer: Reviewer (Berlin) MSC: 93E11 93C35 PDF BibTeX XML Cite \textit{M. V. Kulikova} et al., J. Comput. Appl. Math. 387, Article ID 112487, 13 p. (2021; Zbl 1458.93250) Full Text: DOI
Tsai, Henghsiu; Ho, Hwai-Chung; Chen, Hung-Yin Non-parametric inference on risk measures for integrated returns. (English) Zbl 1451.91232 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2485-2497 (2021). Reviewer: Reviewer (Berlin) MSC: 91G70 62P05 62G05 PDF BibTeX XML Cite \textit{H. Tsai} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2485--2497 (2021; Zbl 1451.91232) Full Text: DOI
Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng Few; Lu, Hsin-Min The jump behavior of a foreign exchange market: analysis of the Thai baht. (English) Zbl 1454.91337 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1943-1968 (2021). Reviewer: Reviewer (Berlin) MSC: 91G45 60J74 62P05 PDF BibTeX XML Cite \textit{J.-R. Chang} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1943--1968 (2021; Zbl 1454.91337) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) Full Text: DOI
Diavatopoulos, Dean; Sokolinskiy, Oleg Stochastic volatility models: faking a smile. (English) Zbl 1454.91286 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271-1293 (2021). Reviewer: Reviewer (Berlin) MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{D. Diavatopoulos} and \textit{O. Sokolinskiy}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271--1293 (2021; Zbl 1454.91286) Full Text: DOI
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). Reviewer: Reviewer (Berlin) MSC: 62P05 62M10 91G30 62-08 PDF BibTeX XML Cite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI
Mertens, Elmar; Nason, James M. Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (English) Zbl 07354549 Quant. Econ. 11, No. 4, 1485-1520 (2020). Reviewer: Reviewer (Berlin) MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{E. Mertens} and \textit{J. M. Nason}, Quant. Econ. 11, No. 4, 1485--1520 (2020; Zbl 07354549) Full Text: DOI
Creal, Drew D.; Wu, Jing Cynthia Bond risk premia in consumption-based models. (English) Zbl 07354548 Quant. Econ. 11, No. 4, 1461-1484 (2020). Reviewer: Reviewer (Berlin) MSC: 91B64 91G30 PDF BibTeX XML Cite \textit{D. D. Creal} and \textit{J. C. Wu}, Quant. Econ. 11, No. 4, 1461--1484 (2020; Zbl 07354548) Full Text: DOI
Maliar, Lilia; Maliar, Serguei; Taylor, John B.; Tsener, Inna A tractable framework for analyzing a class of nonstationary Markov models. (English) Zbl 07354543 Quant. Econ. 11, No. 4, 1289-1323 (2020). Reviewer: Reviewer (Berlin) MSC: 91B62 PDF BibTeX XML Cite \textit{L. Maliar} et al., Quant. Econ. 11, No. 4, 1289--1323 (2020; Zbl 07354543) Full Text: DOI
Gribisch, Bastian; Stollenwerk, Michael Dynamic principal component CAW models for high-dimensional realized covariance matrices. (English) Zbl 07353667 Quant. Finance 20, No. 5, 799-821 (2020). Reviewer: Reviewer (Berlin) MSC: 62P20 62M10 62M15 62H12 62H25 62J10 91B84 PDF BibTeX XML Cite \textit{B. Gribisch} and \textit{M. Stollenwerk}, Quant. Finance 20, No. 5, 799--821 (2020; Zbl 07353667) Full Text: DOI
Bégin, Jean-François; Amaya, Diego; Gauthier, Geneviève; Malette, Marie-Ève On the estimation of jump-diffusion models using intraday data: a filtering-based approach. (English) Zbl 07352461 SIAM J. Financ. Math. 11, No. 4, 1168-1208 (2020). Reviewer: Reviewer (Berlin) MSC: 91G 62F99 65C60 PDF BibTeX XML Cite \textit{J.-F. Bégin} et al., SIAM J. Financ. Math. 11, No. 4, 1168--1208 (2020; Zbl 07352461) Full Text: DOI
Sun, Peng; Kim, Inyoung; Lee, Kiahm Flexible weighted Dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution. (English) Zbl 07349726 J. Nonparametric Stat. 32, No. 4, 989-1014 (2020). Reviewer: Reviewer (Berlin) MSC: 62H30 62M10 62M20 60G55 62P20 PDF BibTeX XML Cite \textit{P. Sun} et al., J. Nonparametric Stat. 32, No. 4, 989--1014 (2020; Zbl 07349726) Full Text: DOI
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility. (English) Zbl 07342898 Math. Financ. Econ. 14, No. 4, 699-724 (2020). Reviewer: Reviewer (Berlin) MSC: 91G10 PDF BibTeX XML Cite \textit{T. Yan} et al., Math. Financ. Econ. 14, No. 4, 699--724 (2020; Zbl 07342898) Full Text: DOI
Amine, Oussama; Coffie, Emmanuel; Harang, Fabian; Proske, Frank Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility. (English) Zbl 1459.60119 Commun. Math. Sci. 18, No. 7, 1863-1890 (2020). Reviewer: Reviewer (Berlin) MSC: 60H10 60H07 49N60 91G80 PDF BibTeX XML Cite \textit{O. Amine} et al., Commun. Math. Sci. 18, No. 7, 1863--1890 (2020; Zbl 1459.60119) Full Text: DOI
Kirkby, J. Lars; Nguyen, Duy Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (English) Zbl 07341678 Ann. Finance 16, No. 3, 307-351 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 60G51 60J28 60G40 PDF BibTeX XML Cite \textit{J. L. Kirkby} and \textit{D. Nguyen}, Ann. Finance 16, No. 3, 307--351 (2020; Zbl 07341678) Full Text: DOI
Liu, S.; Wiwatanapataphee, Benchawan; Wu, Y. H.; Yang, Y. Variance swap pricing under hybrid jump model. (English) Zbl 07340267 East Asian J. Appl. Math. 10, No. 3, 594-619 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{S. Liu} et al., East Asian J. Appl. Math. 10, No. 3, 594--619 (2020; Zbl 07340267) Full Text: DOI
Issaka, Aziz Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model. (English) Zbl 07339900 Stochastic Anal. Appl. 38, No. 5, 856-874 (2020). Reviewer: Reviewer (Berlin) MSC: 60H PDF BibTeX XML Cite \textit{A. Issaka}, Stochastic Anal. Appl. 38, No. 5, 856--874 (2020; Zbl 07339900) Full Text: DOI
Batra, Luckshay; Taneja, H. C. On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach. (English) Zbl 07339885 Stochastic Anal. Appl. 39, No. 2, 327-338 (2020). Reviewer: Reviewer (Berlin) MSC: 60H PDF BibTeX XML Cite \textit{L. Batra} and \textit{H. C. Taneja}, Stochastic Anal. Appl. 39, No. 2, 327--338 (2020; Zbl 07339885) Full Text: DOI
Cuchiero, Christa; Teichmann, Josef Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case. (English) Zbl 07339812 J. Evol. Equ. 20, No. 4, 1301-1348 (2020). Reviewer: Feng-Yu Wang (Swansea) MSC: 60H15 60J25 PDF BibTeX XML Cite \textit{C. Cuchiero} and \textit{J. Teichmann}, J. Evol. Equ. 20, No. 4, 1301--1348 (2020; Zbl 07339812) Full Text: DOI
Xue, Guangming; Lin, Funing Pricing of American options and American barrier options with jump stochastic volatility model. (Chinese. English summary) Zbl 07338819 J. Jilin Univ., Sci. 58, No. 5, 1119-1129 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 PDF BibTeX XML Cite \textit{G. Xue} and \textit{F. Lin}, J. Jilin Univ., Sci. 58, No. 5, 1119--1129 (2020; Zbl 07338819) Full Text: DOI
Wu, Jingmin; Xue, Hong; Jia, Yijia European option pricing with stochastic volatility in sub-fractional Brownian motion environment. (Chinese. English summary) Zbl 07338510 Basic Sci. J. Text. Univ. 33, No. 3, 86-93 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 91G60 60G22 PDF BibTeX XML Cite \textit{J. Wu} et al., Basic Sci. J. Text. Univ. 33, No. 3, 86--93 (2020; Zbl 07338510) Full Text: DOI
Lioui, Abraham; Tarelli, Andrea Factor investing for the long run. (English) Zbl 07331288 J. Econ. Dyn. Control 117, Article ID 103960, 31 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91 PDF BibTeX XML Cite \textit{A. Lioui} and \textit{A. Tarelli}, J. Econ. Dyn. Control 117, Article ID 103960, 31 p. (2020; Zbl 07331288) Full Text: DOI
Goard, Joanna Closed-form formulae for European options under three-factor models. (English) Zbl 07329671 Commun. Math. Stat. 8, No. 4, 379-408 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Goard}, Commun. Math. Stat. 8, No. 4, 379--408 (2020; Zbl 07329671) Full Text: DOI
Shiraya, Kenichirpo An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. (English) Zbl 1459.91204 Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050051, 20 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 PDF BibTeX XML Cite \textit{K. Shiraya}, Int. J. Theor. Appl. Finance 23, No. 8, Article ID 2050051, 20 p. (2020; Zbl 1459.91204) Full Text: DOI
van Appel, Jacques; McWalter, Thomas A. Moment approximations of displaced forward-LIBOR rates with application to swaptions. (English) Zbl 07323549 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050046, 29 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{J. van Appel} and \textit{T. A. McWalter}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050046, 29 p. (2020; Zbl 07323549) Full Text: DOI
Ferreiro-Ferreiro, Ana María; García-Rodríguez, José A.; Souto, Luis; Vázquez, Carlos A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs. (English) Zbl 07318111 Math. Comput. Simul. 177, 467-486 (2020). Reviewer: Reviewer (Berlin) MSC: 62P 91G 42A 65T 60E PDF BibTeX XML Cite \textit{A. M. Ferreiro-Ferreiro} et al., Math. Comput. Simul. 177, 467--486 (2020; Zbl 07318111) Full Text: DOI
Kim, Seong-Tae; Kim, Jeong-Hoon Stochastic elasticity of vol-of-vol and pricing of variance swaps. (English) Zbl 07318109 Math. Comput. Simul. 177, 420-440 (2020). Reviewer: Reviewer (Berlin) MSC: 91G 91B PDF BibTeX XML Cite \textit{S.-T. Kim} and \textit{J.-H. Kim}, Math. Comput. Simul. 177, 420--440 (2020; Zbl 07318109) Full Text: DOI
Fouque, Jean-Pierre; Hu, Ruimeng Multiscale asymptotic analysis for portfolio optimization under stochastic environment. (English) Zbl 1458.91193 Multiscale Model. Simul. 18, No. 3, 1318-1342 (2020). Reviewer: Reviewer (Berlin) MSC: 91G10 93E20 35Q91 35C20 PDF BibTeX XML Cite \textit{J.-P. Fouque} and \textit{R. Hu}, Multiscale Model. Simul. 18, No. 3, 1318--1342 (2020; Zbl 1458.91193) Full Text: DOI
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano The term structure of equity and variance risk premia. (English) Zbl 07306103 J. Econom. 219, No. 2, 204-230 (2020). Reviewer: Reviewer (Berlin) MSC: 62 91 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} et al., J. Econom. 219, No. 2, 204--230 (2020; Zbl 07306103) Full Text: DOI
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. Collocating volatility: a competitive alternative to stochastic local volatility models. (English) Zbl 1454.91309 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 PDF BibTeX XML Cite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020; Zbl 1454.91309) Full Text: DOI
Tangpi, Ludovic Efficient hedging under ambiguity in continuous time. (English) Zbl 1457.91392 Probab. Uncertain. Quant. Risk 5, Paper No. 6, 19 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 60H30 60G48 PDF BibTeX XML Cite \textit{L. Tangpi}, Probab. Uncertain. Quant. Risk 5, Paper No. 6, 19 p. (2020; Zbl 1457.91392) Full Text: DOI
Cao, Jiling; Roslan, Teh Raihana Nazirah; Zhang, Wenjun The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure. (English) Zbl 1457.91370 J. Korean Math. Soc. 57, No. 5, 1167-1186 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Korean Math. Soc. 57, No. 5, 1167--1186 (2020; Zbl 1457.91370) Full Text: DOI
Jacquier, Antoine; Torricelli, Lorenzo Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (English) Zbl 1455.91258 SIAM J. Financ. Math. 11, No. 4, 1137-1167 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 91G30 60G51 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{L. Torricelli}, SIAM J. Financ. Math. 11, No. 4, 1137--1167 (2020; Zbl 1455.91258) Full Text: DOI
Wei, Zhu’e; He, Jiawen Valuation on quanto chooser option in a stochastic volatility model with jump risks. (English) Zbl 07296048 Math. Pract. Theory 50, No. 12, 94-101 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{Z. Wei} and \textit{J. He}, Math. Pract. Theory 50, No. 12, 94--101 (2020; Zbl 07296048)
Jia, Zhaoli; Yang, Shuquan; Wu, Huojun Study on pricing variance swaps under OU process. (Chinese. English summary) Zbl 07295314 J. Hefei Univ. Technol., Nat. Sci. 43, No. 5, 712-715 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 PDF BibTeX XML Cite \textit{Z. Jia} et al., J. Hefei Univ. Technol., Nat. Sci. 43, No. 5, 712--715 (2020; Zbl 07295314) Full Text: DOI
Zhao, Xiaoyin; Yang, Liu Reconstructing implied volatility based on mean-reverting price processes. (English) Zbl 07295154 J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329-337 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 93E20 91G80 PDF BibTeX XML Cite \textit{X. Zhao} and \textit{L. Yang}, J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329--337 (2020; Zbl 07295154) Full Text: DOI
Saraev, Aleksandr Leonidovich; Saraev, Leonid Aleksandrovich Stochastic calculation of curves dynamics of enterprise. (Russian. English summary) Zbl 07294542 Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 24, No. 2, 343-364 (2020). Reviewer: Reviewer (Berlin) MSC: 91G80 60H30 PDF BibTeX XML Cite \textit{A. L. Saraev} and \textit{L. A. Saraev}, Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 24, No. 2, 343--364 (2020; Zbl 07294542) Full Text: DOI MNR
Kalemkerian, Juan; Sosa, Andrés Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices. (English) Zbl 1455.91261 J. Dyn. Games 7, No. 3, 225-237 (2020). Reviewer: Reviewer (Berlin) MSC: 91G30 60G22 PDF BibTeX XML Cite \textit{J. Kalemkerian} and \textit{A. Sosa}, J. Dyn. Games 7, No. 3, 225--237 (2020; Zbl 1455.91261) Full Text: DOI
Kong, Xin-Bing; Lin, Jin-Guan; Liu, Guang-Ying Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data. (English) Zbl 1456.62172 Random Matrices Theory Appl. 9, No. 3, Article ID 2050007, 23 p. (2020). Reviewer: Reviewer (Berlin) MSC: 62M05 62G20 62H12 60J76 60G20 PDF BibTeX XML Cite \textit{X.-B. Kong} et al., Random Matrices Theory Appl. 9, No. 3, Article ID 2050007, 23 p. (2020; Zbl 1456.62172) Full Text: DOI
Bozhkov, Stanislav; Lee, Habin; Sivarajah, Uthayasankar; Despoudi, Stella; Nandy, Monomita Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility. (English) Zbl 1455.91244 Ann. Oper. Res. 294, No. 1-2, 419-452 (2020). Reviewer: Reviewer (Berlin) MSC: 91G15 91G30 PDF BibTeX XML Cite \textit{S. Bozhkov} et al., Ann. Oper. Res. 294, No. 1--2, 419--452 (2020; Zbl 1455.91244) Full Text: DOI
Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, Sergio Joint tails impact in stochastic volatility portfolio selection models. (English) Zbl 1455.91232 Ann. Oper. Res. 292, No. 2, 833-848 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 60E15 60J28 PDF BibTeX XML Cite \textit{M. Bonomelli} et al., Ann. Oper. Res. 292, No. 2, 833--848 (2020; Zbl 1455.91232) Full Text: DOI
Ahn, Dohyun; Kim, Kyoung-Kuk; Kim, Younghoon Small-time smile for the multifactor volatility Heston model. (English) Zbl 1454.91311 J. Appl. Probab. 57, No. 4, 1070-1087 (2020). Reviewer: George Stoica (Saint John) MSC: 91G30 41A60 60F10 91G60 PDF BibTeX XML Cite \textit{D. Ahn} et al., J. Appl. Probab. 57, No. 4, 1070--1087 (2020; Zbl 1454.91311) Full Text: DOI
Guyon, Julien Inversion of convex ordering in the VIX market. (English) Zbl 1454.91288 Quant. Finance 20, No. 10, 1597-1623 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 PDF BibTeX XML Cite \textit{J. Guyon}, Quant. Finance 20, No. 10, 1597--1623 (2020; Zbl 1454.91288) Full Text: DOI
Li, Xingyi; Zakamulin, Valeriy Stock volatility predictability in bull and bear markets. (English) Zbl 1454.91255 Quant. Finance 20, No. 7, 1149-1167 (2020). Reviewer: Reviewer (Berlin) MSC: 91G15 62P05 62M20 PDF BibTeX XML Cite \textit{X. Li} and \textit{V. Zakamulin}, Quant. Finance 20, No. 7, 1149--1167 (2020; Zbl 1454.91255) Full Text: DOI
Verschuren, Robert Matthijs Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model. (English) Zbl 1454.91323 Quant. Finance 20, No. 7, 1123-1148 (2020). Reviewer: Reviewer (Berlin) MSC: 91G30 PDF BibTeX XML Cite \textit{R. M. Verschuren}, Quant. Finance 20, No. 7, 1123--1148 (2020; Zbl 1454.91323) Full Text: DOI
Agarwal, Ankush; Lorig, Matthew The implied Sharpe ratio. (English) Zbl 1454.91274 Quant. Finance 20, No. 6, 1009-1026 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{A. Agarwal} and \textit{M. Lorig}, Quant. Finance 20, No. 6, 1009--1026 (2020; Zbl 1454.91274) Full Text: DOI
Keller-Ressel, M.; Majid, A. A comparison principle between rough and non-rough Heston models – with applications to the volatility surface. (English) Zbl 1454.91317 Quant. Finance 20, No. 6, 919-933 (2020). Reviewer: Reviewer (Berlin) MSC: 91G30 PDF BibTeX XML Cite \textit{M. Keller-Ressel} and \textit{A. Majid}, Quant. Finance 20, No. 6, 919--933 (2020; Zbl 1454.91317) Full Text: DOI
Lacker, Daniel; Shkolnikov, Mykhaylo; Zhang, Jiacheng Inverting the Markovian projection, with an application to local stochastic volatility models. (English) Zbl 07276922 Ann. Probab. 48, No. 5, 2189-2211 (2020). Reviewer: Reviewer (Berlin) MSC: 60H10 35Q84 35J60 PDF BibTeX XML Cite \textit{D. Lacker} et al., Ann. Probab. 48, No. 5, 2189--2211 (2020; Zbl 07276922) Full Text: DOI Euclid
Aktekin, Tevfik; Polson, Nicholas G.; Soyer, Refik A family of multivariate non-Gaussian time series models. (English) Zbl 1453.62625 J. Time Ser. Anal. 41, No. 5, 691-721 (2020). Reviewer: Reviewer (Berlin) MSC: 62M10 62M20 62H20 62P05 91B84 PDF BibTeX XML Cite \textit{T. Aktekin} et al., J. Time Ser. Anal. 41, No. 5, 691--721 (2020; Zbl 1453.62625) Full Text: DOI
Díaz, Antonio; Jareño, Francisco; Navarro, Eliseo Yield curves from different bond data sets. (English) Zbl 1451.91205 Rev. Deriv. Res. 23, No. 2, 191-226 (2020). Reviewer: Reviewer (Berlin) MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{A. Díaz} et al., Rev. Deriv. Res. 23, No. 2, 191--226 (2020; Zbl 1451.91205) Full Text: DOI
Saporito, Yuri F. Short communication: pricing path-dependent derivatives under multiscale stochastic volatility models: a Malliavin representation. (English) Zbl 1452.91313 SIAM J. Financ. Math. 11, No. 3, SC-14-SC-25 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 60H07 PDF BibTeX XML Cite \textit{Y. F. Saporito}, SIAM J. Financ. Math. 11, No. 3, SC-14-SC-25 (2020; Zbl 1452.91313) Full Text: DOI
Boado-Penas, M. Carmen; Eisenberg, Julia; Helmert, Axel; Krühner, Paul A new approach for satisfactory pensions with no guarantees. (English) Zbl 1452.91263 Eur. Actuar. J. 10, No. 1, 3-21 (2020). Reviewer: Reviewer (Berlin) MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{M. C. Boado-Penas} et al., Eur. Actuar. J. 10, No. 1, 3--21 (2020; Zbl 1452.91263) Full Text: DOI
Shen, Yifan Measuring macroeconomic uncertainty: a historical perspective. (English) Zbl 1451.91141 Econ. Lett. 196, Article ID 109592, 5 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91B82 91B84 PDF BibTeX XML Cite \textit{Y. Shen}, Econ. Lett. 196, Article ID 109592, 5 p. (2020; Zbl 1451.91141) Full Text: DOI
Zhou, Shuangyou; Qian, Xiyuan SV model estimation based on Bayesian computation with empirical likelihood. (Chinese. English summary) Zbl 07267414 Math. Pract. Theory 50, No. 6, 8-15 (2020). Reviewer: Reviewer (Berlin) MSC: 62C12 91B70 62P05 PDF BibTeX XML Cite \textit{S. Zhou} and \textit{X. Qian}, Math. Pract. Theory 50, No. 6, 8--15 (2020; Zbl 07267414)
Wei, Zhu’e; He, Jiawen Pricing quanto reset options in a stochastic volatility model with jump risks. (Chinese. English summary) Zbl 07267364 Math. Pract. Theory 50, No. 3, 48-59 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{Z. Wei} and \textit{J. He}, Math. Pract. Theory 50, No. 3, 48--59 (2020; Zbl 07267364)
Nie, Gaoqin; Chang, Hao Optimal investment and reinsurance under Vasicek interest rate and Heston model. (Chinese. English summary) Zbl 07267279 Math. Appl. 33, No. 2, 525-533 (2020). Reviewer: Reviewer (Berlin) MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{G. Nie} and \textit{H. Chang}, Math. Appl. 33, No. 2, 525--533 (2020; Zbl 07267279)
Liu, Limin; Wan, Mengran Parameter estimation of stochastic volatility model with jump. (Chinese. English summary) Zbl 07266816 J. Henan Norm. Univ., Nat. Sci. 48, No. 3, 6-11 (2020). Reviewer: Reviewer (Berlin) MSC: 62F10 91B70 60J76 62P20 PDF BibTeX XML Cite \textit{L. Liu} and \textit{M. Wan}, J. Henan Norm. Univ., Nat. Sci. 48, No. 3, 6--11 (2020; Zbl 07266816) Full Text: DOI
Zhang, Jichao; Zhou, Hang; Ma, Hui Price volatility barrier option based on Bessel process. (Chinese. English summary) Zbl 07266653 J. Beihua Univ., Nat. Sci. 21, No. 2, 152-156 (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 91G80 PDF BibTeX XML Cite \textit{J. Zhang} et al., J. Beihua Univ., Nat. Sci. 21, No. 2, 152--156 (2020; Zbl 07266653) Full Text: DOI
Zhu, Yanling; Wang, Kai; Ren, Yong Dynamics of a mean-reverting stochastic volatility equation with regime switching. (English) Zbl 1458.91214 Commun. Nonlinear Sci. Numer. Simul. 83, Article ID 105110, 8 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 91B70 60H10 60J60 PDF BibTeX XML Cite \textit{Y. Zhu} et al., Commun. Nonlinear Sci. Numer. Simul. 83, Article ID 105110, 8 p. (2020; Zbl 1458.91214) Full Text: DOI
Moutsinga, Claude Rodrigue Bambe; Pindza, Edson; Maré, Eben A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models. (English) Zbl 1453.65361 Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105159, 16 p. (2020). Reviewer: Bülent Karasözen (Ankara) MSC: 65M70 65M22 65M12 44A15 35R09 45K05 91G20 91G60 60G55 PDF BibTeX XML Cite \textit{C. R. B. Moutsinga} et al., Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105159, 16 p. (2020; Zbl 1453.65361) Full Text: DOI
Kettani, Othmane; Reghai, Adil Financial models in production. (English) Zbl 1458.91006 SpringerBriefs in Finance. Cham: Springer (ISBN 978-3-030-57495-6/pbk; 978-3-030-57496-3/ebook). xiv, 61 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91B38 91G20 91G30 PDF BibTeX XML Cite \textit{O. Kettani} and \textit{A. Reghai}, Financial models in production. Cham: Springer (2020; Zbl 1458.91006) Full Text: DOI
Todorov, Viktor Testing and inference for fixed times of discontinuity in semimartingales. (English) Zbl 07256164 Bernoulli 26, No. 4, 2907-2948 (2020). Reviewer: Reviewer (Berlin) MSC: 62G10 62G05 62G20 60G48 60G51 60H30 PDF BibTeX XML Cite \textit{V. Todorov}, Bernoulli 26, No. 4, 2907--2948 (2020; Zbl 07256164) Full Text: DOI Euclid
Sun, Yan; Lian, Guanghua; Lu, Zudi; Loveland, Jennifer; Blackhurst, Isaac Modeling the variance of return intervals toward volatility prediction. (English) Zbl 1450.62116 J. Time Ser. Anal. 41, No. 4, 492-519 (2020). Reviewer: Reviewer (Berlin) MSC: 62M10 62M20 37M10 91B84 62P05 PDF BibTeX XML Cite \textit{Y. Sun} et al., J. Time Ser. Anal. 41, No. 4, 492--519 (2020; Zbl 1450.62116) Full Text: DOI
Nguyen, T.; Pergamenschchikov, S. Approximate hedging with constant proportional transaction costs in financial markets with jumps. (English. Russian original) Zbl 1460.91274 Theory Probab. Appl. 65, No. 2, 224-248 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 281-311 (2020). Reviewer: John O’Hara (Colchester) MSC: 91G20 PDF BibTeX XML Cite \textit{T. Nguyen} and \textit{S. Pergamenschchikov}, Theory Probab. Appl. 65, No. 2, 224--248 (2020; Zbl 1460.91274); translation from Teor. Veroyatn. Primen. 65, No. 2, 281--311 (2020) Full Text: DOI Link
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. (English) Zbl 1448.91294 Quant. Finance 20, No. 2, 291-310 (2020); correction ibid. 20, No. 2, ei (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 60G40 60J74 PDF BibTeX XML Cite \textit{G. H. L. Cheang} and \textit{L. P. D. M. Garces}, Quant. Finance 20, No. 2, 291--310 (2020; Zbl 1448.91294) Full Text: DOI
Cattivelli, Luca; Gallo, Giampiero M. Adaptive Lasso for vector multiplicative error models. (English) Zbl 1448.62113 Quant. Finance 20, No. 2, 255-274 (2020). Reviewer: Reviewer (Berlin) MSC: 62J07 62H12 62M20 62P20 PDF BibTeX XML Cite \textit{L. Cattivelli} and \textit{G. M. Gallo}, Quant. Finance 20, No. 2, 255--274 (2020; Zbl 1448.62113) Full Text: DOI
Filipović, Damir; Larsson, Martin Polynomial jump-diffusion models. (English) Zbl 1450.60038 Stoch. Syst. 10, No. 1, 71-97 (2020). Reviewer: Reviewer (Berlin) MSC: 60J25 60J60 91G20 60H30 PDF BibTeX XML Cite \textit{D. Filipović} and \textit{M. Larsson}, Stoch. Syst. 10, No. 1, 71--97 (2020; Zbl 1450.60038) Full Text: DOI
Song, Xinyu; Wang, Yazhen GARCH quasi-likelihood ratios for SV model and the diffusion limit. (English) Zbl 1447.62097 Stat. Probab. Lett. 165, Article ID 108817, 6 p. (2020). Reviewer: Reviewer (Berlin) MSC: 62M07 62M10 60H15 60J60 62P05 PDF BibTeX XML Cite \textit{X. Song} and \textit{Y. Wang}, Stat. Probab. Lett. 165, Article ID 108817, 6 p. (2020; Zbl 1447.62097) Full Text: DOI
Chong, Carsten High-frequency analysis of parabolic stochastic PDEs. (English) Zbl 1450.62122 Ann. Stat. 48, No. 2, 1143-1167 (2020). Reviewer: Oscar Bustos (Córdoba) MSC: 62M40 62G20 60H15 60F15 PDF BibTeX XML Cite \textit{C. Chong}, Ann. Stat. 48, No. 2, 1143--1167 (2020; Zbl 1450.62122) Full Text: DOI Euclid
Mendes, Eduardo F.; Carter, Christopher K.; Gunawan, David; Kohn, Robert A flexible particle Markov chain Monte Carlo method. (English) Zbl 1447.62095 Stat. Comput. 30, No. 4, 783-798 (2020). Reviewer: Reviewer (Berlin) MSC: 62M02 60J60 65C05 PDF BibTeX XML Cite \textit{E. F. Mendes} et al., Stat. Comput. 30, No. 4, 783--798 (2020; Zbl 1447.62095) Full Text: DOI
Eumenius-Schulz, Yaroslav Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem. (English) Zbl 1458.62188 Stat. Inference Stoch. Process. 23, No. 2, 355-380 (2020). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62P05 60L90 62M09 62G15 60G22 60G48 60J60 60F05 91G20 PDF BibTeX XML Cite \textit{Y. Eumenius-Schulz}, Stat. Inference Stoch. Process. 23, No. 2, 355--380 (2020; Zbl 1458.62188) Full Text: DOI
Frazier, David T.; Renault, Eric Indirect inference with(out) constraints. (English) Zbl 1454.62108 Quant. Econ. 11, No. 1, 113-159 (2020). Reviewer: Reviewer (Berlin) MSC: 62G05 62G30 62M10 PDF BibTeX XML Cite \textit{D. T. Frazier} and \textit{E. Renault}, Quant. Econ. 11, No. 1, 113--159 (2020; Zbl 1454.62108) Full Text: DOI
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient. (English) Zbl 1445.62071 Braz. J. Probab. Stat. 34, No. 3, 537-579 (2020). Reviewer: Reviewer (Berlin) MSC: 62G07 60J60 60J70 60H10 62P20 91B84 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Braz. J. Probab. Stat. 34, No. 3, 537--579 (2020; Zbl 1445.62071) Full Text: DOI Euclid
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; Kiesel, Rüdiger Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling. (English) Zbl 1447.91175 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050027, 38 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 PDF BibTeX XML Cite \textit{M. Kremer} et al., Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050027, 38 p. (2020; Zbl 1447.91175) Full Text: DOI
Hoyle, Edward; Macrina, Andrea; Mengütürk, Levent Ali Modulated information flows in financial markets. (English) Zbl 1447.91169 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050026, 35 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G15 91B44 PDF BibTeX XML Cite \textit{E. Hoyle} et al., Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050026, 35 p. (2020; Zbl 1447.91169) Full Text: DOI
Aguilar, Jean-Philippe Some pricing tools for the variance gamma model. (English) Zbl 1448.91289 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020). Reviewer: Shyam Sundar Chandramouli (New York) MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{J.-P. Aguilar}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020; Zbl 1448.91289) Full Text: DOI
Pellegrino, Tommaso Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives. (English) Zbl 1447.91181 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050021, 30 p. (2020). Reviewer: Reviewer (Berlin) MSC: 91G20 34E15 PDF BibTeX XML Cite \textit{T. Pellegrino}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050021, 30 p. (2020; Zbl 1447.91181) Full Text: DOI