Pages that link to "Item:Q3225031"
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The following pages link to A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031):
Displaying 17 items.
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (Q1000328) (← links)
- The numerical simulation of Quanto option prices using Bayesian statistical methods (Q2066039) (← links)
- Robustness analysis on the pricing of some options on two assets with delays (Q2163926) (← links)
- Heston model: the variance swap calibration (Q2247916) (← links)
- Calibration and simulation of Heston model (Q2364763) (← links)
- Equity correlations implied by index options: estimation and model uncertainty analysis (Q2847242) (← links)
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL (Q3643588) (← links)
- Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (Q4604901) (← links)
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
- Multi-asset empirical martingale price estimators derivatives (Q4639589) (← links)
- A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Options Pricing for Several Maturities in a Jump-Diffusion Model (Q5326118) (← links)
- EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS (Q5420695) (← links)
- CORRELATION ESTIMATION IN HYBRID SYSTEMS (Q6095477) (← links)
