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内部出版物
在“
Elsevier电子期刊
”中,
命中:
19
条,耗时:0.0639686 秒
1.
A multivariate stochastic unit root model with an application to derivative pricing
作者:
Offer Lieberman
a
;
offer.lieberman@gmail.com" class="auth_mail" title="E-mail the corresponding author
;
Peter C.B. Phillips
b
;
c
;
d
;
e
关键词:
C22
刊名:Journal of Econometrics
出版年:2017
2.
Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model
作者:
Wei Lin
a
;
weilin1991@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
mathslin@126.com" class="auth_mail" title="E-mail the corresponding author
;
Shenghong Li
a
;
shli@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
Xingguo Luo
b
;
xgluo@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
Shane Chern
a
;
1
;
shanechern@zju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
chenxiaohang92@gmail.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Stochastic volatility
;
4/2 Model
;
VIX derivatives
;
Transform
刊名:Journal of Mathematical Analysis and Applications
出版年:2017
3.
A closed form solution for vulnerable options with
Heston
’s stochastic volatility
作者:
Min-Ku Lee
a
;
mgcorea@ewha.ac.kr" class="auth_mail" title="E-mail the corresponding author
;
Sung-Jin Yang
b
;
seungjin222@hanmail.net" class="auth_mail" title="E-mail the corresponding author
;
Jeong-Hoon Kim
;
b
;
jhkim96@yonsei.ac.kr" class="auth_mail" title="E-mail the corresponding author
关键词:
Vulnerable option
;
Stochastic volatility
;
Default risk
;
Heston
dynamics
刊名:Chaos, Solitons & Fractals
出版年:2016
4.
Pricing variance swaps under stochastic volatility and stochastic interest rate
作者:
Jiling Cao
a
;
jiling.cao@aut.ac.nz" class="auth_mail" title="E-mail the corresponding author
;
Guanghua Lian
;
b
;
c
;
guanghua.lian@unisa.edu.au" class="auth_mail" title="E-mail the corresponding author
;
ligu151@163.com" class="auth_mail" title="E-mail the corresponding author
;
Teh Raihana Nazirah Roslan
a
;
d
;
raihana.roslan@aut.ac.nz" class="auth_mail" title="E-mail the corresponding author
关键词:
Generalized Fourier transform
;
Heston
&
ndash
;
CIR hybrid model
;
Realized variance
;
Stochastic interest rate
;
Stochastic volatility
;
Variance swap
刊名:Applied Mathematics and Computation
出版年:2016
5.
Pricing and hedging GLWB in the
Heston
and in the Black-Scholes with stochastic interest rate models
作者:
Ludovic Goudenè
;
ge
a
;
ludovic.goudenege@math.cnrs.fr" class="auth_mail" title="E-mail the corresponding author
;
Andrea Molent
b
;
andrea.molent@phd.units.it" class="auth_mail" title="E-mail the corresponding author
;
Antonino Zanette
c
;
antonino.zanette@uniud.it" class="auth_mail" title="E-mail the corresponding author
关键词:
Variable annuities
;
GLWB pricing
;
Stochastic volatility
;
Stochastic interest rate
;
Optimal withdrawal
刊名:Insurance: Mathematics and Economics
出版年:2016
6.
3D extreme value analysis for stock return, interest rate and speed of mean reversion
作者:
Burhaneddin İzgi
;
Ahmet Duran
;
aduran@itu.edu.tr" class="auth_mail" title="E-mail the corresponding author
关键词:
3D extreme value analysis
;
Fat-tails
;
High-peaks
;
Numerical solutions of stochastic differential equations
;
Heston
model
;
Comovement
刊名:Journal of Computational and Applied Mathematics
出版年:2016
7.
An approximation of small-time probability density functions in a general jump diffusion model
作者:
Le Zhang
l.zhang@fs.de" class="auth_mail" title="E-mail the corresponding author
;
Wolfgang M. Schmidt
;
w.schmidt@fs.de" class="auth_mail" title="E-mail the corresponding author
关键词:
Jump diffusion process
;
Itô
;
&
ndash
;
Taylor expansions
;
Stochastic volatility models
;
Characteristic functions
;
Probability density functions
刊名:Applied Mathematics and Computation
出版年:2016
8.
Test data sets for calibration of stochastic and fractional stochastic volatility models
作者:
Jan Pospí
;
&scaron
;
il
;
honik@kma.zcu.cz" class="auth_mail" title="E-mail the corresponding author
;
Tomá
;
&scaron
;
Sobotka
关键词:
Fractional stochastic volatility model
;
Heston
model
;
Option pricing
;
Calibration data
;
Out-of-sample error
刊名:Data in Brief
出版年:2016
9.
VIX forecasting and variance risk premium: A new GARCH approach
作者:
Qiang Liu
a
;
Shuxin Guo
a
;
Gaoxiu Qiao
b
;
gxqiao@home.swjtu.edu.cn" class="auth_mail" title="E-mail the corresponding author
关键词:
Out-of-sample one-day VIX forecasting
;
Variance risk premium
;
GARCH(1
;
1)
;
GJR GARCH
;
Heston
&
ndash
;
Nandi GARCH
刊名:The North American Journal of Economics and Finance
出版年:2015
10.
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the
Heston
model
作者:
Hui Zhao
;
Ximin Rong
;
Yonggan Zhao
关键词:
Excess-of-loss reinsurance
;
Heston
model
;
Jump&
ndash
;
diffusion risk model
;
Hamilton&
ndash
;
Jacobi&
ndash
;
Bellman (HJB) equation
;
Investment
;
Stochastic volatility
刊名:Insurance: Mathematics and Economics
出版年:November, 2013
1
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