Bianchi, Michele Leonardo; Tassinari, Gian Luca Extracting implied volatilities from bank bonds. (English) Zbl 1522.91264 Quant. Finance 23, No. 7-8, 1177-1197 (2023). MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{M. L. Bianchi} and \textit{G. L. Tassinari}, Quant. Finance 23, No. 7--8, 1177--1197 (2023; Zbl 1522.91264) Full Text: DOI
Coffie, Emmanuel Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation. (English) Zbl 1525.65010 Stat. Risk. Model. 40, No. 3-4, 67-89 (2023). MSC: 65C30 65C05 91G30 91G60 PDFBibTeX XMLCite \textit{E. Coffie}, Stat. Risk. Model. 40, No. 3--4, 67--89 (2023; Zbl 1525.65010) Full Text: DOI arXiv
Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDFBibTeX XMLCite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) Full Text: DOI
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume CBI-time-changed Lévy processes. (English) Zbl 1517.60050 Stochastic Processes Appl. 163, 323-349 (2023). MSC: 60G51 91G20 91G30 60H20 60J25 60G44 60J80 PDFBibTeX XMLCite \textit{C. Fontana} et al., Stochastic Processes Appl. 163, 323--349 (2023; Zbl 1517.60050) Full Text: DOI arXiv
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian volatility learning under microstructure noise. (English) Zbl 1516.62084 Jpn. J. Stat. Data Sci. 6, No. 1, 551-571 (2023). MSC: 62P05 62G20 62M05 62-08 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., Jpn. J. Stat. Data Sci. 6, No. 1, 551--571 (2023; Zbl 1516.62084) Full Text: DOI arXiv
Lu, Dong; Mu, Yuhao A parsimonious model of trade, finance and endogenous currency choices in international reserves. (English) Zbl 1518.91140 Econ. Lett. 225, Article ID 111063, 5 p. (2023). MSC: 91B60 91B64 PDFBibTeX XMLCite \textit{D. Lu} and \textit{Y. Mu}, Econ. Lett. 225, Article ID 111063, 5 p. (2023; Zbl 1518.91140) Full Text: DOI
Levendis, Alexis; Maré, Eben Pricing two-asset rainbow options with the fast Fourier transform. (English) Zbl 1524.91143 S. Afr. Stat. J. 57, No. 1, 13-25 (2023). MSC: 91G60 65T50 91G20 91G30 PDFBibTeX XMLCite \textit{A. Levendis} and \textit{E. Maré}, S. Afr. Stat. J. 57, No. 1, 13--25 (2023; Zbl 1524.91143) Full Text: DOI
Gulisashvili, Archil Large deviation principles for stochastic volatility models with reflection. (English) Zbl 1517.91150 Appl. Math. Optim. 88, No. 2, Paper No. 44, 32 p. (2023). MSC: 91B70 60F10 60J60 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili}, Appl. Math. Optim. 88, No. 2, Paper No. 44, 32 p. (2023; Zbl 1517.91150) Full Text: DOI
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang Vector autoregression models with skewness and heavy tails. (English) Zbl 1521.62214 J. Econ. Dyn. Control 146, Article ID 104580, 20 p. (2023). MSC: 62P20 62M10 91B64 91B84 PDFBibTeX XMLCite \textit{S. Karlsson} et al., J. Econ. Dyn. Control 146, Article ID 104580, 20 p. (2023; Zbl 1521.62214) Full Text: DOI arXiv
Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution. (English) Zbl 1519.91247 Quant. Finance 23, No. 3, 367-388 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91B26 PDFBibTeX XMLCite \textit{T. Mariotti} et al., Quant. Finance 23, No. 3, 367--388 (2023; Zbl 1519.91247) Full Text: DOI arXiv
Parent, Léo The EWMA Heston model. (English) Zbl 1518.91264 Quant. Finance 23, No. 1, 71-93 (2023). MSC: 91G15 91B70 60H30 PDFBibTeX XMLCite \textit{L. Parent}, Quant. Finance 23, No. 1, 71--93 (2023; Zbl 1518.91264) Full Text: DOI
Gassiat, Paul Weak error rates of numerical schemes for rough volatility. (English) Zbl 1517.91280 SIAM J. Financ. Math. 14, No. 2, 475-496 (2023). MSC: 91G60 65C20 60G22 PDFBibTeX XMLCite \textit{P. Gassiat}, SIAM J. Financ. Math. 14, No. 2, 475--496 (2023; Zbl 1517.91280) Full Text: DOI arXiv
Ögetbil, Orcan; Hientzsch, Bernhard Extensions of Dupire formula: stochastic interest rates and stochastic local volatility. (English) Zbl 1517.91247 SIAM J. Financ. Math. 14, No. 2, 452-474 (2023). MSC: 91G30 91G20 35Q91 PDFBibTeX XMLCite \textit{O. Ögetbil} and \textit{B. Hientzsch}, SIAM J. Financ. Math. 14, No. 2, 452--474 (2023; Zbl 1517.91247) Full Text: DOI arXiv
Larcher, Gerhard The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools. (English) Zbl 1527.91001 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-031-23869-7/hbk; 978-3-031-23870-3/ebook). xii, 353 p. (2023). Reviewer: Claudio Fontana (Paris) MSC: 91-01 91G15 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{G. Larcher}, The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools. Cham: Springer (2023; Zbl 1527.91001) Full Text: DOI
Alòs, Elisa; Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio CVA in fractional and rough volatility models. (English) Zbl 1511.91147 Appl. Math. Comput. 442, Article ID 127715, 27 p. (2023). MSC: 91G20 91G40 60H30 PDFBibTeX XMLCite \textit{E. Alòs} et al., Appl. Math. Comput. 442, Article ID 127715, 27 p. (2023; Zbl 1511.91147) Full Text: DOI arXiv
Bornstein, Gideon; Krusell, Per; Rebelo, Sergio A world equilibrium model of the oil market. (English) Zbl 1510.91086 Rev. Econ. Stud. 90, No. 1, 132-164 (2023). Reviewer: Valerii V. Obukhovskij (Voronezh) MSC: 91B50 91B52 91B54 91B64 PDFBibTeX XMLCite \textit{G. Bornstein} et al., Rev. Econ. Stud. 90, No. 1, 132--164 (2023; Zbl 1510.91086) Full Text: DOI
Alexopoulos, Angelos; Dellaportas, Petros; Titsias, Michalis K. Variance reduction for Metropolis-Hastings samplers. (English) Zbl 1499.62009 Stat. Comput. 33, No. 1, Paper No. 6, 20 p. (2023). MSC: 62-08 62F15 62J12 62P05 65C05 PDFBibTeX XMLCite \textit{A. Alexopoulos} et al., Stat. Comput. 33, No. 1, Paper No. 6, 20 p. (2023; Zbl 1499.62009) Full Text: DOI arXiv
Papanicolaou, Andrew Consistent time-homogeneous modeling of SPX and VIX derivatives. (English) Zbl 1522.91283 Math. Finance 32, No. 3, 907-940 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Papanicolaou}, Math. Finance 32, No. 3, 907--940 (2022; Zbl 1522.91283) Full Text: DOI arXiv OA License
Abi Jaber, Eduardo The Laplace transform of the integrated Volterra Wishart process. (English) Zbl 1522.91254 Math. Finance 32, No. 1, 309-348 (2022). MSC: 91G20 44A10 60G15 PDFBibTeX XMLCite \textit{E. Abi Jaber}, Math. Finance 32, No. 1, 309--348 (2022; Zbl 1522.91254) Full Text: DOI arXiv
Hafalir, Isa E.; Imisiker, Serkan Call auctions with contingent orders. (English) Zbl 1519.91126 Games 13, No. 5, Paper No. 61, 8 p. (2022). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91B26 91B03 91G15 PDFBibTeX XMLCite \textit{I. E. Hafalir} and \textit{S. Imisiker}, Games 13, No. 5, Paper No. 61, 8 p. (2022; Zbl 1519.91126) Full Text: DOI
Junike, Gero; Schoutens, Wim; Stier, Hauke Performance of advanced stock price models when it becomes exotic: an empirical study. (English) Zbl 1512.91145 Ann. Finance 18, No. 1, 109-119 (2022). MSC: 91G20 60G51 91G60 65C05 PDFBibTeX XMLCite \textit{G. Junike} et al., Ann. Finance 18, No. 1, 109--119 (2022; Zbl 1512.91145) Full Text: DOI
Kavungal, Shiji; Thekkedath, Rahul On normal-Laplace stochastic volatility model. (English) Zbl 1507.62321 Stoch. Qual. Control 37, No. 2, 127-136 (2022). MSC: 62P05 62M10 91B70 PDFBibTeX XMLCite \textit{S. Kavungal} and \textit{R. Thekkedath}, Stoch. Qual. Control 37, No. 2, 127--136 (2022; Zbl 1507.62321) Full Text: DOI
Hoencamp, J. H.; de Kort, J. P.; Kandhai, B. D. The impact of stochastic volatility on initial margin and MVA for interest rate derivatives. (English) Zbl 1510.91164 Appl. Math. Finance 29, No. 2, 141-179 (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. H. Hoencamp} et al., Appl. Math. Finance 29, No. 2, 141--179 (2022; Zbl 1510.91164) Full Text: DOI
Guyon, Julien The VIX future in Bergomi models: fast approximation formulas and joint calibration with S&P 500 skew. (English) Zbl 1503.91120 SIAM J. Financ. Math. 13, No. 4, 1418-1485 (2022). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{J. Guyon}, SIAM J. Financ. Math. 13, No. 4, 1418--1485 (2022; Zbl 1503.91120) Full Text: DOI
Pfarrhofer, Michael Modeling tail risks of inflation using unobserved component quantile regressions. (English) Zbl 1514.62330 J. Econ. Dyn. Control 143, Article ID 104493, 19 p. (2022). MSC: 62P20 62G08 62G32 62M10 62M20 PDFBibTeX XMLCite \textit{M. Pfarrhofer}, J. Econ. Dyn. Control 143, Article ID 104493, 19 p. (2022; Zbl 1514.62330) Full Text: DOI arXiv
Sung, Jaeyoung Optimal contracting under mean-volatility joint ambiguity uncertainties. (English) Zbl 1500.91089 Econ. Theory 74, No. 2, 593-642 (2022). MSC: 91B43 91B41 PDFBibTeX XMLCite \textit{J. Sung}, Econ. Theory 74, No. 2, 593--642 (2022; Zbl 1500.91089) Full Text: DOI
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, Bernard; Mehalla, Sophian Jacobi stochastic volatility factor for the LIBOR market model. (English) Zbl 1498.91427 Finance Stoch. 26, No. 4, 771-823 (2022). MSC: 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{P.-E. Arrouy} et al., Finance Stoch. 26, No. 4, 771--823 (2022; Zbl 1498.91427) Full Text: DOI
Jaber, Eduardo Abi The characteristic function of Gaussian stochastic volatility models: an analytic expression. (English) Zbl 1498.91443 Finance Stoch. 26, No. 4, 733-769 (2022). MSC: 91G20 60G15 PDFBibTeX XMLCite \textit{E. A. Jaber}, Finance Stoch. 26, No. 4, 733--769 (2022; Zbl 1498.91443) Full Text: DOI arXiv
Zhao, Zhijun; Zhang, Xiaoqi A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (English) Zbl 1498.91426 Chaos Solitons Fractals 155, Article ID 111543, 17 p. (2022). MSC: 91G15 91B69 PDFBibTeX XMLCite \textit{Z. Zhao} and \textit{X. Zhang}, Chaos Solitons Fractals 155, Article ID 111543, 17 p. (2022; Zbl 1498.91426) Full Text: DOI
Bae, Hyeong-Ohk; Cho, Seung Yeon; Yoo, Jane; Yun, Seok-Bae Effect of time delay on flocking dynamics. (English) Zbl 1493.82006 Netw. Heterog. Media 17, No. 5, 803-825 (2022). MSC: 82C22 34K05 91B70 91G80 PDFBibTeX XMLCite \textit{H.-O. Bae} et al., Netw. Heterog. Media 17, No. 5, 803--825 (2022; Zbl 1493.82006) Full Text: DOI
Fukasawa, Masaaki; Gatheral, Jim A rough SABR formula. (English) Zbl 1498.91468 Front. Math. Finance 1, No. 1, 81-97 (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{M. Fukasawa} and \textit{J. Gatheral}, Front. Math. Finance 1, No. 1, 81--97 (2022; Zbl 1498.91468) Full Text: DOI arXiv
Leippold, Markus; Matthys, Felix Economic policy uncertainty and the yield curve. (English) Zbl 1498.91471 Rev. Finance 26, No. 4, 751-797 (2022). MSC: 91G30 91B50 91B64 PDFBibTeX XMLCite \textit{M. Leippold} and \textit{F. Matthys}, Rev. Finance 26, No. 4, 751--797 (2022; Zbl 1498.91471) Full Text: DOI
Galeeva, Roza; Ronn, Ehud Oil futures volatility smiles in 2020: why the Bachelier smile is flatter. (English) Zbl 1495.91121 Rev. Deriv. Res. 25, No. 2, 173-187 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{R. Galeeva} and \textit{E. Ronn}, Rev. Deriv. Res. 25, No. 2, 173--187 (2022; Zbl 1495.91121) Full Text: DOI
Li, Changtai; Tan, Sook-Rei; Ho, Nick; Chia, Wai-Mun Behavioral heterogeneity and financial crisis: the role of sentiment. (English) Zbl 1528.91074 Physica A 603, Article ID 127767, 21 p. (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{C. Li} et al., Physica A 603, Article ID 127767, 21 p. (2022; Zbl 1528.91074) Full Text: DOI
Das, Kaustav; Langrené, Nicolas Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility. (English) Zbl 1492.91420 Stochastics 94, No. 5, 745-788 (2022). MSC: 91G60 60H10 62M10 91B70 91G20 PDFBibTeX XMLCite \textit{K. Das} and \textit{N. Langrené}, Stochastics 94, No. 5, 745--788 (2022; Zbl 1492.91420) Full Text: DOI arXiv
Pirjol, Dan Stochastic exponential growth and lattice gases. Statistical mechanics of stochastic growth processes. (English) Zbl 1511.82002 SpringerBriefs in Applied Sciences and Technology. Cham: Springer (ISBN 978-3-031-11142-6/pbk; 978-3-031-11143-3/ebook). ix, 132 p. (2022). Reviewer: Nasir N. Ganikhodjaev (Tashkent) MSC: 82-01 82Bxx 82Cxx 60J65 60G15 76M28 91G30 91G20 82M20 PDFBibTeX XMLCite \textit{D. Pirjol}, Stochastic exponential growth and lattice gases. Statistical mechanics of stochastic growth processes. Cham: Springer (2022; Zbl 1511.82002) Full Text: DOI
Ozturk, Serda Selin; Demirer, Riza; Gupta, Rangan Climate uncertainty and carbon emissions prices: the relative roles of transition and physical climate risks. (English) Zbl 1494.91110 Econ. Lett. 217, Article ID 110687, 6 p. (2022). MSC: 91B76 PDFBibTeX XMLCite \textit{S. S. Ozturk} et al., Econ. Lett. 217, Article ID 110687, 6 p. (2022; Zbl 1494.91110) Full Text: DOI
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 1497.91323 Optimization 71, No. 8, 2421-2449 (2022). MSC: 91G40 91B70 60J74 PDFBibTeX XMLCite \textit{E. Gaygısız} et al., Optimization 71, No. 8, 2421--2449 (2022; Zbl 1497.91323) Full Text: DOI
Kamalyan, Hayk Data revisions and the effects of monetary policy volatility. (English) Zbl 1493.91088 Econ. Lett. 215, Article ID 110520, 5 p. (2022). MSC: 91B64 PDFBibTeX XMLCite \textit{H. Kamalyan}, Econ. Lett. 215, Article ID 110520, 5 p. (2022; Zbl 1493.91088) Full Text: DOI
Bouchouev, Ilia; Johnson, Brett The volatility risk premium in the oil market. (English) Zbl 1497.91304 Quant. Finance 22, No. 8, 1561-1578 (2022). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{I. Bouchouev} and \textit{B. Johnson}, Quant. Finance 22, No. 8, 1561--1578 (2022; Zbl 1497.91304) Full Text: DOI
Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; Pappas, Vasileios A generalized heterogeneous autoregressive model using market information. (English) Zbl 1497.91291 Quant. Finance 22, No. 8, 1513-1534 (2022). MSC: 91G15 91G30 62P05 PDFBibTeX XMLCite \textit{R. Hizmeri} et al., Quant. Finance 22, No. 8, 1513--1534 (2022; Zbl 1497.91291) Full Text: DOI
Agliardi, Elettra; Xepapadeas, Anastasios Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy. (English) Zbl 1492.91228 J. Econ. Dyn. Control 139, Article ID 104425, 19 p. (2022). MSC: 91B76 PDFBibTeX XMLCite \textit{E. Agliardi} and \textit{A. Xepapadeas}, J. Econ. Dyn. Control 139, Article ID 104425, 19 p. (2022; Zbl 1492.91228) Full Text: DOI
Mbairadjim Moussa, Alfred; Sadefo Kamdem, Jules A fuzzy multifactor asset pricing model. (English) Zbl 1492.91400 Ann. Oper. Res. 313, No. 2, 1221-1241 (2022). MSC: 91G30 62J05 62J86 PDFBibTeX XMLCite \textit{A. Mbairadjim Moussa} and \textit{J. Sadefo Kamdem}, Ann. Oper. Res. 313, No. 2, 1221--1241 (2022; Zbl 1492.91400) Full Text: DOI
Rizvi, Syed Kumail Abbas; Naqvi, Bushra; Mirza, Nawazish Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. (English) Zbl 1494.91137 Ann. Oper. Res. 313, No. 1, 495-524 (2022). MSC: 91G10 91B76 62P05 62M10 PDFBibTeX XMLCite \textit{S. K. A. Rizvi} et al., Ann. Oper. Res. 313, No. 1, 495--524 (2022; Zbl 1494.91137) Full Text: DOI
Sinha, Avik; Sharif, Arshian; Adhikari, Arnab; Sharma, Ankit Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence. (English) Zbl 1494.91146 Ann. Oper. Res. 313, No. 1, 257-287 (2022). MSC: 91G15 91B74 62P05 62P20 PDFBibTeX XMLCite \textit{A. Sinha} et al., Ann. Oper. Res. 313, No. 1, 257--287 (2022; Zbl 1494.91146) Full Text: DOI
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 1490.91210 Ann. Oper. Res. 313, No. 1, 29-46 (2022). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{J. Chen} et al., Ann. Oper. Res. 313, No. 1, 29--46 (2022; Zbl 1490.91210) Full Text: DOI Link
Huang, Zibin; Ibragimov, Rustam Equity returns and sentiment. (English) Zbl 1489.62373 Depend. Model. 10, 159-176 (2022). MSC: 62P20 91B84 PDFBibTeX XMLCite \textit{Z. Huang} and \textit{R. Ibragimov}, Depend. Model. 10, 159--176 (2022; Zbl 1489.62373) Full Text: DOI
De Gennaro Aquino, Luca; Bernard, Carole Correction to: “Semi-analytical prices for lookback and barrier options under the Heston model”. (English) Zbl 1489.91257 Decis. Econ. Finance 45, No. 1, 447-449 (2022). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{L. De Gennaro Aquino} and \textit{C. Bernard}, Decis. Econ. Finance 45, No. 1, 447--449 (2022; Zbl 1489.91257) Full Text: DOI
Lorig, Matthew; Suaysom, Natchanon Options on bonds: implied volatilities from affine short-rate dynamics. (English) Zbl 1492.91382 Ann. Finance 18, No. 2, 183-216 (2022). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{M. Lorig} and \textit{N. Suaysom}, Ann. Finance 18, No. 2, 183--216 (2022; Zbl 1492.91382) Full Text: DOI arXiv
Felpel, M.; Kienitz, J.; McWalter, T. A. Effective Markovian projection: application to CMS spread options and mid-curve swaptions. (English) Zbl 1491.91144 Quant. Finance 22, No. 6, 1169-1192 (2022). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{M. Felpel} et al., Quant. Finance 22, No. 6, 1169--1192 (2022; Zbl 1491.91144) Full Text: DOI
Suzuki, Masataka Smooth ambiguity preferences and asset prices with a jump-diffusion process. (English) Zbl 1491.91154 Quant. Finance 22, No. 5, 871-887 (2022). MSC: 91G30 91G20 60J74 PDFBibTeX XMLCite \textit{M. Suzuki}, Quant. Finance 22, No. 5, 871--887 (2022; Zbl 1491.91154) Full Text: DOI
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 PDFBibTeX XMLCite \textit{J. Auster} et al., Quant. Finance 22, No. 4, 639--656 (2022; Zbl 1486.91091) Full Text: DOI arXiv
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles Stationary Heston model: calibration and pricing of exotics using product recursive quantization. (English) Zbl 1491.91147 Quant. Finance 22, No. 4, 611-629 (2022). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{V. Lemaire} et al., Quant. Finance 22, No. 4, 611--629 (2022; Zbl 1491.91147) Full Text: DOI arXiv
Bishwal, Jaya P. N. Parameter estimation in stochastic volatility models. (English) Zbl 1493.62003 Cham: Springer (ISBN 978-3-031-03860-0/hbk; 978-3-031-03861-7/ebook). xxx, 613 p. (2022). MSC: 62-02 62P05 62M05 62M09 60G22 60H10 60H15 60H30 60J60 91-02 91B70 91G30 PDFBibTeX XMLCite \textit{J. P. N. Bishwal}, Parameter estimation in stochastic volatility models. Cham: Springer (2022; Zbl 1493.62003) Full Text: DOI
Yoshida, Nakahiro Quasi-likelihood analysis and its applications. (English) Zbl 1502.62086 Stat. Inference Stoch. Process. 25, No. 1, 43-60 (2022). MSC: 62M05 62F12 60J60 60F10 62M40 PDFBibTeX XMLCite \textit{N. Yoshida}, Stat. Inference Stoch. Process. 25, No. 1, 43--60 (2022; Zbl 1502.62086) Full Text: DOI
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea Information-based asset pricing. (English) Zbl 1489.91278 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 29-64 (2022). MSC: 91G30 91G20 60J70 PDFBibTeX XMLCite \textit{D. C. Brody} et al., in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 29--64 (2022; Zbl 1489.91278) Full Text: DOI arXiv
Park, Eunchae; Lyu, Jisang; Kim, Sangkwon; Lee, Chaeyoung; Lee, Wonjin; Choi, Yongho; Kwak, Soobin; Yoo, Changwoo; Hwang, Hyeongseok; Kim, Junseok Calibration of the temporally varying volatility and interest rate functions. (English) Zbl 1496.91091 Int. J. Comput. Math. 99, No. 5, 1066-1079 (2022). MSC: 91G20 91G30 35Q91 PDFBibTeX XMLCite \textit{E. Park} et al., Int. J. Comput. Math. 99, No. 5, 1066--1079 (2022; Zbl 1496.91091) Full Text: DOI
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 PDFBibTeX XMLCite \textit{T. R. N. Roslan} et al., AIMS Math. 7, No. 1, 398--424 (2022; Zbl 1485.91231) Full Text: DOI
Hölzermann, Julian Term structure modeling under volatility uncertainty. (English) Zbl 1484.91496 Math. Financ. Econ. 16, No. 2, 317-343 (2022). MSC: 91G30 60G65 PDFBibTeX XMLCite \textit{J. Hölzermann}, Math. Financ. Econ. 16, No. 2, 317--343 (2022; Zbl 1484.91496) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{D. C. Antonopoulou} et al., Discrete Contin. Dyn. Syst., Ser. B 27, No. 4, 1955--1987 (2022; Zbl 1483.91211) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \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 arXiv
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 PDFBibTeX XMLCite \textit{T. Arai}, Int. J. Theor. Appl. Finance 25, No. 2, Article ID 2250008, 26 p. (2022; Zbl 1483.91228) Full Text: DOI arXiv
Cogley, Timothy; Jovanovic, Boyan Structural breaks in an endogenous growth model. (English) Zbl 1484.91286 Rev. Econ. Stud. 89, No. 2, 666-694 (2022). MSC: 91B62 91B50 PDFBibTeX XMLCite \textit{T. Cogley} and \textit{B. Jovanovic}, Rev. Econ. Stud. 89, No. 2, 666--694 (2022; Zbl 1484.91286) Full Text: DOI Link
Quaye, Enoch; Tunaru, Radu The stock implied volatility and the implied dividend volatility. (English) Zbl 1517.91240 J. Econ. Dyn. Control 134, Article ID 104276, 16 p. (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{E. Quaye} and \textit{R. Tunaru}, J. Econ. Dyn. Control 134, Article ID 104276, 16 p. (2022; Zbl 1517.91240) Full Text: DOI
Fianu, Emmanuel Senyo; Ahelegbey, Daniel Felix; Grossi, Luigi Modeling risk contagion in the Italian zonal electricity market. (English) Zbl 1490.91148 Eur. J. Oper. Res. 298, No. 2, 656-679 (2022). MSC: 91B74 62P20 91B84 PDFBibTeX XMLCite \textit{E. S. Fianu} et al., Eur. J. Oper. Res. 298, No. 2, 656--679 (2022; Zbl 1490.91148) Full Text: DOI Link
Peña, Víctor; Irie, Kaoru On the relationship between uhlig extended and beta-Bartlett processes. (English) Zbl 1493.62532 J. Time Ser. Anal. 43, No. 1, 147-153 (2022). MSC: 62M10 62H12 62F15 PDFBibTeX XMLCite \textit{V. Peña} and \textit{K. Irie}, J. Time Ser. Anal. 43, No. 1, 147--153 (2022; Zbl 1493.62532) Full Text: DOI
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 PDFBibTeX XMLCite \textit{E. Alòs} et al., SIAM J. Financ. Math. 13, No. 1, 32--69 (2022; Zbl 1483.91227) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{I. Guo} et al., SIAM J. Financ. Math. 13, No. 1, 1--31 (2022; Zbl 1482.91203) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{J. Ma} et al., J. Comput. Appl. Math. 404, Article ID 113901, 14 p. (2022; Zbl 1479.91408) Full Text: DOI
Laopodis, Nikiforos T. Financial economics and econometrics. (English) Zbl 1501.91003 Routledge Advanced Texts in Economics and Finance 37. Milton Park, Abingdon: Routledge (ISBN 978-1-032-07018-6/hbk; 978-1-032-07017-9/pbk; 978-1-003-20500-5/ebook). xxxv, 729 p. (2022). Reviewer: Claudio Fontana (Paris) MSC: 91-02 91G30 91G50 91G70 PDFBibTeX XMLCite \textit{N. T. Laopodis}, Financial economics and econometrics. Milton Park, Abingdon: Routledge (2022; Zbl 1501.91003) Full Text: DOI
Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao The alpha-Heston stochastic volatility model. (English) Zbl 1522.91278 Math. Finance 31, No. 3, 943-978 (2021). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{Y. Jiao} et al., Math. Finance 31, No. 3, 943--978 (2021; Zbl 1522.91278) Full Text: DOI arXiv
Forde, Martin; Gerhold, Stefan; Smith, Benjamin Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. (English) Zbl 1522.91243 Math. Finance 31, No. 1, 203-241 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G20 91B70 60G60 PDFBibTeX XMLCite \textit{M. Forde} et al., Math. Finance 31, No. 1, 203--241 (2021; Zbl 1522.91243) Full Text: DOI arXiv
Kouarfate, Iro René; Kouritzin, Michael A.; MacKay, Anne Explicit solution simulation method for the 3/2 model. (English) Zbl 1496.91094 Hernández-Hernández, Daniel (ed.) et al., Advances in probability and mathematical statistics. CLAPEM 2019. Contributions of the 15th Latin American congress of probability and mathematical statistics, Mérida, Mexico, December 2–6, 2019. Cham: Birkhäuser. Prog. Probab. 79, 123-145 (2021). MSC: 91G30 60H10 60H35 91B70 PDFBibTeX XMLCite \textit{I. R. Kouarfate} et al., Prog. Probab. 79, 123--145 (2021; Zbl 1496.91094) Full Text: DOI arXiv
Xiao, Jinghong; Tan, Zhongquan Almost sure limit theorems for the maxima of stochastic volatility models. (English) Zbl 1490.60068 Stochastics 93, No. 4, 513-527 (2021). MSC: 60F15 60G70 62P05 91B70 PDFBibTeX XMLCite \textit{J. Xiao} and \textit{Z. Tan}, Stochastics 93, No. 4, 513--527 (2021; Zbl 1490.60068) Full Text: DOI
Asai, Manabu; So, Mike K. P. A simulation smoother for long memory time series with correlated and heteroskedastic additive noise. (English) Zbl 1490.62225 Commun. Stat., Simulation Comput. 50, No. 2, 388-399 (2021). MSC: 62M10 62M20 PDFBibTeX XMLCite \textit{M. Asai} and \textit{M. K. P. So}, Commun. Stat., Simulation Comput. 50, No. 2, 388--399 (2021; Zbl 1490.62225) Full Text: DOI
Guo, Guangbao; Zhao, Weidong Schwarz method for financial engineering. (English) Zbl 1499.91172 J. Comput. Math. 39, No. 4, 538-555 (2021). MSC: 91G60 65C30 65C05 91G15 PDFBibTeX XMLCite \textit{G. Guo} and \textit{W. Zhao}, J. Comput. Math. 39, No. 4, 538--555 (2021; Zbl 1499.91172) Full Text: DOI
Cavicchioli, Maddalena Statistical inference for mixture GARCH models with financial application. (English) Zbl 1505.62091 Comput. Stat. 36, No. 4, 2615-2642 (2021). MSC: 62-08 62M10 62M05 62F12 62P05 PDFBibTeX XMLCite \textit{M. Cavicchioli}, Comput. Stat. 36, No. 4, 2615--2642 (2021; Zbl 1505.62091) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M. Bakhshmohammadlou} and \textit{R. Farnoosh}, Math. Sci., Springer 15, No. 4, 337--343 (2021; Zbl 1486.60071) Full Text: DOI
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 1513.90069 Vestn. Samar. Gos. Tekh. Univ., Ser. Fiz.-Mat. Nauki 25, No. 4, 738-762 (2021). MSC: 90B30 60H30 PDFBibTeX XMLCite \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 1513.90069) Full Text: DOI MNR
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 PDFBibTeX XMLCite \textit{T. Bollerslev} et al., Quant. Econ. 12, No. 4, 1053--1084 (2021; Zbl 1485.91233) Full Text: DOI
Lewis, Daniel J. Identifying shocks via time-varying volatility. (English) Zbl 1481.91120 Rev. Econ. Stud. 88, No. 6, 3086-3124 (2021). MSC: 91B64 62P20 PDFBibTeX XMLCite \textit{D. J. Lewis}, Rev. Econ. Stud. 88, No. 6, 3086--3124 (2021; Zbl 1481.91120) Full Text: DOI Link
Xu, De-xuan; Yang, Ben-zhang; Kang, Jian-hao; Huang, Nan-jing Variance and volatility swaps valuations with the stochastic liquidity risk. (English) Zbl 1527.91171 Physica A 566, Article ID 125679, 20 p. (2021). MSC: 91G30 60H30 91G20 PDFBibTeX XMLCite \textit{D.-x. Xu} et al., Physica A 566, Article ID 125679, 20 p. (2021; Zbl 1527.91171) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Song} et al., Stat. Pap. 62, No. 4, 1939--1964 (2021; Zbl 1477.62304) Full Text: DOI
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 PDFBibTeX XMLCite \textit{T. Hayashi} and \textit{M. Takahashi}, Jpn. J. Stat. Data Sci. 4, No. 1, 697--730 (2021; Zbl 1477.62293) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Shinozaki}, Quant. Finance 21, No. 7, 1147--1161 (2021; Zbl 1479.91447) Full Text: DOI
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 PDFBibTeX XMLCite \textit{N. Gudkov} and \textit{J. Ziveyi}, Quant. Finance 21, No. 4, 609--635 (2021; Zbl 1477.91054) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M. Forde} et al., Quant. Finance 21, No. 4, 541--563 (2021; Zbl 1477.91053) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{G. Orlando} and \textit{M. Bufalo}, J. Forecast. 40, No. 8, 1566--1580 (2021; Zbl 1476.62226) Full Text: DOI
Plíhal, Tomáš Scheduled macroeconomic news announcements and forex volatility forecasting. (English) Zbl 1476.62227 J. Forecast. 40, No. 8, 1379-1397 (2021). MSC: 62P05 62M20 62P20 91B62 PDFBibTeX XMLCite \textit{T. Plíhal}, J. Forecast. 40, No. 8, 1379--1397 (2021; Zbl 1476.62227) Full Text: DOI
Kim, Jihyun; Park, Joon Y.; Wang, Bin Estimation of volatility functions in jump diffusions using truncated bipower increments. (English) Zbl 1479.62066 Econom. Theory 37, No. 5, 926-958 (2021). MSC: 62M05 62G07 60J60 62P05 PDFBibTeX XMLCite \textit{J. Kim} et al., Econom. Theory 37, No. 5, 926--958 (2021; Zbl 1479.62066) Full Text: DOI
Lu, Xiaoping; Zhu, Song-Ping; Yan, Dong Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility. (English) Zbl 1475.91360 Commun. Nonlinear Sci. Numer. Simul. 103, Article ID 105986, 9 p. (2021). MSC: 91G20 91B70 35Q91 PDFBibTeX XMLCite \textit{X. Lu} et al., Commun. Nonlinear Sci. Numer. Simul. 103, Article ID 105986, 9 p. (2021; Zbl 1475.91360) Full Text: DOI
Wan, Xiangwei; Yang, Nian Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (English) Zbl 1475.91364 J. Econ. Dyn. Control 125, Article ID 104083, 37 p. (2021). MSC: 91G20 41A58 60J74 PDFBibTeX XMLCite \textit{X. Wan} and \textit{N. Yang}, J. Econ. Dyn. Control 125, Article ID 104083, 37 p. (2021; Zbl 1475.91364) Full Text: DOI
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu CTMC integral equation method for American options under stochastic local volatility models. (English) Zbl 1475.91401 J. Econ. Dyn. Control 128, Article ID 104145, 21 p. (2021). MSC: 91G60 65R20 91G20 60G40 91B70 PDFBibTeX XMLCite \textit{J. Ma} et al., J. Econ. Dyn. Control 128, Article ID 104145, 21 p. (2021; Zbl 1475.91401) Full Text: DOI
Choi, Jaehyuk; Wu, Lixin The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (English) Zbl 1475.91338 J. Econ. Dyn. Control 128, Article ID 104143, 21 p. (2021). MSC: 91G15 91B70 60H10 PDFBibTeX XMLCite \textit{J. Choi} and \textit{L. Wu}, J. Econ. Dyn. Control 128, Article ID 104143, 21 p. (2021; Zbl 1475.91338) Full Text: DOI arXiv
Liu, Xiaochun On fiscal and monetary policy-induced macroeconomic volatility dynamics. (English) Zbl 1475.91211 J. Econ. Dyn. Control 127, Article ID 104123, 21 p. (2021). MSC: 91B64 PDFBibTeX XMLCite \textit{X. Liu}, J. Econ. Dyn. Control 127, Article ID 104123, 21 p. (2021; Zbl 1475.91211) Full Text: DOI
Cai, Ning; Li, Chenxu; Shi, Chao Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms. (English) Zbl 1475.91351 J. Econ. Dyn. Control 127, Article ID 104113, 41 p. (2021). MSC: 91G20 60H07 44A15 PDFBibTeX XMLCite \textit{N. Cai} et al., J. Econ. Dyn. Control 127, Article ID 104113, 41 p. (2021; Zbl 1475.91351) Full Text: DOI
Benth, Fred Espen; Harang, Fabian A. Infinite dimensional pathwise Volterra processes driven by Gaussian noise – probabilistic properties and applications –. (English) Zbl 1491.60073 Electron. J. Probab. 26, Paper No. 114, 42 p. (2021). MSC: 60H05 60H20 45D05 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{F. A. Harang}, Electron. J. Probab. 26, Paper No. 114, 42 p. (2021; Zbl 1491.60073) Full Text: DOI arXiv
D’Ecclesia, Rita Laura; Clementi, Daniele Volatility in the stock market: ANN versus parametric models. (English) Zbl 1477.62286 Ann. Oper. Res. 299, No. 1-2, 1101-1127 (2021). MSC: 62P05 62F10 62M10 PDFBibTeX XMLCite \textit{R. L. D'Ecclesia} and \textit{D. Clementi}, Ann. Oper. Res. 299, No. 1--2, 1101--1127 (2021; Zbl 1477.62286) Full Text: DOI
Bayer, Christian; Harang, Fabian A.; Pigato, Paolo Log-modulated rough stochastic volatility models. (English) Zbl 1476.91196 SIAM J. Financ. Math. 12, No. 3, 1257-1284 (2021). MSC: 91G30 60G22 91G80 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 12, No. 3, 1257--1284 (2021; Zbl 1476.91196) Full Text: DOI arXiv
Gerhold, Stefan; Gerstenecker, Christoph; Gulisashvili, Archil Large deviations for fractional volatility models with non-Gaussian volatility driver. (English) Zbl 1479.60059 Stochastic Processes Appl. 142, 580-600 (2021). MSC: 60F10 91G20 60G22 60H20 PDFBibTeX XMLCite \textit{S. Gerhold} et al., Stochastic Processes Appl. 142, 580--600 (2021; Zbl 1479.60059) Full Text: DOI arXiv