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RISA semi analytic pricing formula for lookback options under a general stochastic volatility model
Publisher: Elsevier Science
Year: 2013
On geometric ergodicity of skewed—SVCHARME models
Publisher: Elsevier Science
Year: 2014
Volatility occupation times
Publisher: The Institute of Mathematical Statistics
Year: 2013
An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
Publisher: Elsevier Science
Year: 2013
Volatility model selection for extremes of financial time series
Publisher: Elsevier Science
Year: 2013
Extended stochastic volatility models incorporating realised measures
Publisher: Elsevier Science
Year: 2014
Simulated likelihood inference for stochastic volatility models using continuous particle filtering
Publisher: Springer
Year: 2014
Long memory with stochastic variance model: A recursive analysis for US inflation
Publisher: Elsevier Science
Year: 2014
The large maturity smile for the Stein–Stein model
Publisher: Elsevier Science
Year: 2014