Stochastic Volatility; Markov Switching; Local Risk Minimization; Hedging; Volatility Derivative - Articles

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 1,657 Downloads 2,990 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 1,798 Downloads 4,265 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 813 Downloads 2,035 Views Citations
This article belongs to the Special Issue on Stochastic Process and Stochastic Calculus
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 1,457 Downloads 3,148 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 1,022 Downloads 2,290 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 837 Downloads 2,679 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 786 Downloads 3,025 Views Citations
This article belongs to the Special Issue on Financial Statistics
Dairy Business Sustainability, Market Risk Management Resilience and Stability Strategies (Articles)

Kheiry Hassan M. Ishag

Journal of Mathematical Finance Vol.15 No.4, November 5, 2025

DOI: 10.4236/jmf.2025.154030 83 Downloads 544 Views Citations
Cross-Market Valuation with Full Information on the Company’s Capital Structure (Articles)

Pascal Heider, Peter N. Posch

Journal of Mathematical Finance Vol.3 No.3A, October 30, 2013

DOI: 10.4236/jmf.2013.33A007 4,766 Downloads 7,480 Views Citations
This article belongs to the Special Issue on Corporate Finance
A Study of Changes in Risk Appetite in the Stock Market and the Housing Market before and after the Global Financial Crisis in 2008 Using the vKOSPI (Articles)

Jin Yong Yang, Sang-Heon Lee

Modern Economy Vol.4 No.11, November 4, 2013

DOI: 10.4236/me.2013.411077 4,502 Downloads 7,072 Views Citations
The Volatility Effect: Recent Evidence from Indian Markets (Articles)

Nehal Joshipura, Mayank Joshipura

Theoretical Economics Letters Vol.9 No.6, August 30, 2019

DOI: 10.4236/tel.2019.96136 1,017 Downloads 2,717 Views Citations
Value at Risk Models in Indian Markets: A Predictive Ability Evaluation Study (Articles)

Kushagra Goel, Sunny Oswal

Theoretical Economics Letters Vol.9 No.8, December 9, 2019

DOI: 10.4236/tel.2019.98177 850 Downloads 3,218 Views Citations
When Investing in Stocks, Is Boring Better? Introducing the “High Volatility Anomaly” in a Post-Meme Stock World (Articles)

Anthony C. Bozza

Journal of Mathematical Finance Vol.14 No.3, August 22, 2024

DOI: 10.4236/jmf.2024.143020 245 Downloads 1,356 Views Citations
An Approach to Calculate a Call Option Value on A Nontraded Underlying Asset Considering Its Risk Measures (Articles)

Rafael A. Rodríguez

Journal of Financial Risk Management Vol.13 No.4, December 27, 2024

DOI: 10.4236/jfrm.2024.134036 94 Downloads 615 Views Citations
Regime-Switching Model on Hourly Electricity Spot Price Dynamics (Articles)

Samuel Asante Gyamerah, Philip Ngare

Journal of Mathematical Finance Vol.8 No.1, February 7, 2018

DOI: 10.4236/jmf.2018.81008 1,095 Downloads 2,626 Views Citations
The Asian Option Pricing when Discrete Dividends Follow a Markov-Modulated Model (Articles)

Yingyi Fang, Huisheng Shu, Xiu Kan, Xin Zhang, Zhiwei Zheng

Open Journal of Statistics Vol.7 No.6, December 29, 2017

DOI: 10.4236/ojs.2017.76074 1,182 Downloads 3,399 Views Citations
Evaluating Volatility Forecasts with Ultra-High-Frequency Data—Evidence from the Australian Equity Market (Articles)

Kai Zhang, Lurion De Mello, Mehdi Sadeghi

Theoretical Economics Letters Vol.8 No.1, January 4, 2018

DOI: 10.4236/tel.2018.81001 1,409 Downloads 3,765 Views Citations
This article belongs to the Special Issue on Financial Economics
Optimal Generator Portfolio in Day-Ahead Market under Uncertain Carbon Tax Policy (Articles)

Shengyuan Chen, Ming Zhao

American Journal of Operations Research Vol.1 No.4, December 5, 2011

DOI: 10.4236/ajor.2011.14031 4,645 Downloads 8,436 Views Citations
Characterizing the Volatility Transmission across International Stock Markets (Articles)

Amarnath Mitra, Vishwanathan Iyer, Anto Joseph

Theoretical Economics Letters Vol.5 No.4, August 24, 2015

DOI: 10.4236/tel.2015.54067 3,675 Downloads 5,681 Views Citations
Inferring Volatility from the Yield Curve (Articles)

Vincent Brousseau, Alain Durré

Journal of Mathematical Finance Vol.5 No.3, August 28, 2015

DOI: 10.4236/jmf.2015.53026 5,998 Downloads 7,512 Views Citations

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