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ISSN
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Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Mathematical Finance
Vol.3 No.1
,February 26, 2013
DOI:
10.4236/jmf.2013.31002
6,567
Downloads
12,319
Views
Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Applied Mathematics and Physics
Vol.2 No.7
,June 13, 2014
DOI:
10.4236/jamp.2014.27062
5,074
Downloads
7,400
Views
Citations
Option Pricing with Stochastic Volatility
(Articles)
Rossano Giandomenico
Journal of Applied Mathematics and Physics
Vol.3 No.12
,December 25, 2015
DOI:
10.4236/jamp.2015.312189
2,526
Downloads
3,674
Views
Citations
Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility
(Articles)
Daiki Maki
Open Journal of Statistics
Vol.6 No.5
,October 8, 2016
DOI:
10.4236/ojs.2016.65064
1,497
Downloads
2,460
Views
Citations
Valuating New Product Development Project with a Stochastic Volatility Model
(Articles)
Chengru Hu
,
Chulhee Jun
,
Maggie Foley
Journal of Mathematical Finance
Vol.6 No.5
,November 30, 2016
DOI:
10.4236/jmf.2016.65064
1,568
Downloads
3,380
Views
Citations
Nonparametric Model Calibration for Derivatives
(Articles)
Frédéric Abergel
,
Rémy Tachet des Combes
,
Riadh Zaatour
Journal of Mathematical Finance
Vol.7 No.3
,July 13, 2017
DOI:
10.4236/jmf.2017.73030
1,089
Downloads
2,143
Views
Citations
A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1
(Articles)
Z. Guo
,
H. Schellhorn
Applied Mathematics
Vol.10 No.6
,June 28, 2019
DOI:
10.4236/am.2019.106034
598
Downloads
1,384
Views
Citations
This article belongs to the Special Issue on
Stochastic Process and Stochastic Calculus
Some New Estimators of Integrated Volatility
(Articles)
Jaya P. N. Bishwal
Open Journal of Statistics
Vol.1 No.2
,July 29, 2011
DOI:
10.4236/ojs.2011.12008
4,831
Downloads
8,329
Views
Citations
Modeling Exchange Rate Dynamics in Egypt: Observed and Unobserved Volatility
(Articles)
Dina Rofael
,
Rana Hosni
Modern Economy
Vol.6 No.1
,January 14, 2015
DOI:
10.4236/me.2015.61006
4,317
Downloads
6,082
Views
Citations
Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market
(Articles)
Shivam Singh
,
Alok Dixit
Theoretical Economics Letters
Vol.6 No.2
,April 6, 2016
DOI:
10.4236/tel.2016.62018
2,378
Downloads
4,383
Views
Citations
Modelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models
(Articles)
Matilda B. Bosire
,
Samuel Chege Maina
Journal of Financial Risk Management
Vol.10 No.3
,September 30, 2021
DOI:
10.4236/jfrm.2021.103021
332
Downloads
1,752
Views
Citations
Forecasting Crude Oil Price Volatility by Heston Model
(Articles)
Patrick Kandege Mwanakatwe
,
Joanitha Daniel
,
Kulwa Roberth Nzungu
Journal of Mathematical Finance
Vol.13 No.3
,August 29, 2023
DOI:
10.4236/jmf.2023.133026
136
Downloads
709
Views
Citations
Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model
(Articles)
Chunxiang A
,
Yi Shao
Journal of Mathematical Finance
Vol.7 No.3
,July 31, 2017
DOI:
10.4236/jmf.2017.73037
1,214
Downloads
2,498
Views
Citations
This article belongs to the Special Issue on
Finance and Portfolio Management
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models
(Articles)
Tommaso Pellegrino
Journal of Mathematical Finance
Vol.9 No.3
,August 22, 2019
DOI:
10.4236/jmf.2019.93025
790
Downloads
1,737
Views
Citations
On the Contribution of the Stochastic Integrals to Econometrics
(Articles)
Lewis N. K. Mambo
,
Rostin M. M. Mabela
,
Isaac K. Kanyama
,
Eugène M. Mbuyi
Applied Mathematics
Vol.10 No.12
,December 23, 2019
DOI:
10.4236/am.2019.1012073
621
Downloads
1,852
Views
Citations
A Unified Stochastic Volatility—Stochastic Correlation Model
(Articles)
Xiang Lu
,
Gunter Meissner
,
Hong Sherwin
Journal of Mathematical Finance
Vol.10 No.4
,November 25, 2020
DOI:
10.4236/jmf.2020.104039
523
Downloads
2,120
Views
Citations
This article belongs to the Special Issue on
Financial Statistics
A Study on the Impact the Shanghai-Hong Kong Stock Connect Making on the Long-Term Memory of Chinese Stock Market
(Articles)
Yongyue Zhang
Open Journal of Social Sciences
Vol.5 No.4
,April 21, 2017
DOI:
10.4236/jss.2017.54009
1,520
Downloads
3,657
Views
Citations
Price Dynamics under the Information-Based Dealer Model
(Articles)
Kenta Fukuda
,
Kaichi Kondo
,
Hideyuki Takada
Journal of Mathematical Finance
Vol.9 No.4
,November 14, 2019
DOI:
10.4236/jmf.2019.94037
443
Downloads
1,080
Views
Citations
Forecasting Diabetes Patients Attendance at Al-Baha Hospitals Using Autoregressive Fractional Integrated Moving Average (ARFIMA) Models
(Articles)
Salem Al Zahrani
,
Fath Al Rahman Al Sameeh
,
Abdulaziz C. M. Musa
,
Ashaikh A. A. Shokeralla
Journal of Data Analysis and Information Processing
Vol.8 No.3
,August 18, 2020
DOI:
10.4236/jdaip.2020.83011
503
Downloads
1,598
Views
Citations
The Long Memory of the Jump Intensity of the Price Process
(Articles)
Yizhuang Tian
,
Dongyang Shi
,
Handong Li
Journal of Mathematical Finance
Vol.11 No.2
,April 1, 2021
DOI:
10.4236/jmf.2021.112009
386
Downloads
1,083
Views
Citations
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