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2
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Timing the Smile
– Jean-pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
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Maturity Cycles in Implied Volatility
– Jean-Pierre Fouque George, George Papanicolaou, Ronnie Sircar, Knut Solna
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1
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An Option Pricing Formula for the GARCH diffusion Model Giovanni Barone-Adesi ∗
– Henrik Obbekaer Rasmussen, Claudia Ravanelli
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16
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Mean-Reverting Stochastic Volatility
– Jean-Pierre Fouque, George Papanicolaou , K. Ronnie Sircar
- 2000
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1
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Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation
– Roger W. Lee
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Essays in Financial Econometrics
– Mikhail Chernov
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16
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Maximum likelihood estimation for stochastic volatility models
– Yacine Aït-Sahalia, Robert Kimmel
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Singular Perturbations on Non-Smooth Boundary Problems in Finance
– Chuan-Hsiang Han
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10
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Stochastic Volatility, Smile & Asymptotics
– K. Ronnie Sircar , George C. Papanicolaou
- 1998
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OLIVER FAULHABER ANALYTIC METHODS FOR PRICING DOUBLE BARRIER OPTIONS IN THE PRESENCE OF STOCHASTIC VOLATILITY 0 Volatility
– unknown authors
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5
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Stochastic Volatility
– David G. Hobson
- 1996
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1
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Bayesian Time Series: Financial Models And Spectral Analysis
– Yang Chen, Yang Chen
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5
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Volatility Forecasting
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37
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The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets
– Christopher S. Jones
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118
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The Variance Gamma Process and Option Pricing.
– Dilip B. Madan, Peter Carr, Eric C. Chang
- 1998
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Les organisations-partenaires / The Partner Organizations
– Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
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The Determinants of Variance Swap Rate Changes
– Manuel Ammann, Stephan Süss
- 2010
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53
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A Study towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation
– Mikhail Chernov, Eric Ghysels, Roger Lee, Especially Ron Gallant, Insightful Discussions We
- 1999
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4
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Hedging Options under Transaction Costs and Stochastic Volatility
– Ton Vorst, Jacek Gondzio, Jacek Gondzio, Roy Kouwenberg, Roy Kouwenberg
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