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DOI
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ISSN
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The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Open Journal of Applied Sciences
Vol.4 No.2
，February 20, 2014
DOI:
10.4236/ojapps.2014.42004
5,941
Downloads
8,702
Views
Citations
Pricing and Hedging in Stochastic Volatility Regime Switching Models
(Articles)
Stéphane Goutte
Journal of Mathematical Finance
Vol.3 No.1
，February 26, 2013
DOI:
10.4236/jmf.2013.31006
4,546
Downloads
7,925
Views
Citations
Some Explicit Formulae for the Hull and White Stochastic Volatility Model
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
，March 13, 2013
DOI:
10.4236/ijmnta.2013.21003
5,576
Downloads
10,084
Views
Citations
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets
(Articles)
Ata Assaf
Journal of Mathematical Finance
Vol.7 No.2
，May 31, 2017
DOI:
10.4236/jmf.2017.72026
1,503
Downloads
2,457
Views
Citations
Estimation of Stochastic Volatility with a Compensated Poisson Jump Using Quadratic Variation
(Articles)
Perpetual Saah Andam
,
Joseph Ackora-Prah
,
Sure Mataramvura
Applied Mathematics
Vol.8 No.7
，July 27, 2017
DOI:
10.4236/am.2017.87077
681
Downloads
1,305
Views
Citations
Optimal Entry and Exit Strategy under Uncertainty with Stochastic Volatility
(Articles)
Jinwu Huang
Journal of Mathematical Finance
Vol.10 No.1
，February 26, 2020
DOI:
10.4236/jmf.2020.101011
362
Downloads
578
Views
Citations
Stochastic Volatility Jump-Diffusion Model for Option Pricing
(Articles)
Nonthiya Makate
,
Pairote Sattayatham
Journal of Mathematical Finance
Vol.1 No.3
，November 8, 2011
DOI:
10.4236/jmf.2011.13012
4,823
Downloads
10,767
Views
Citations
Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications
(Articles)
Oleksandr Zhylyevskyy
Theoretical Economics Letters
Vol.2 No.4
，November 1, 2012
DOI:
10.4236/tel.2012.24074
4,078
Downloads
6,405
Views
Citations
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
6,322
Downloads
11,677
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
4,421
Downloads
5,890
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
2,341
Downloads
2,961
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
1,345
Downloads
1,940
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
1,290
Downloads
2,334
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
851
Downloads
1,431
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
359
Downloads
685
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
4,507
Downloads
7,721
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
3,832
Downloads
4,876
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
2,109
Downloads
3,244
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
989
Downloads
1,709
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
476
Downloads
1,024
Views
Citations
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