Volatility Model - Articles - Scientific Research Publishing

Ant Colony Optimization Based on Adaptive Volatility Rate of Pheromone Trail (Articles)

Zhaoquan CAI, Han HUANG, Yong QIN, Xianheng MA

International Journal of Communications, Network and System Sciences Vol.2 No.8, November 17, 2009

DOI: 10.4236/ijcns.2009.28092 5,756 Downloads 10,513 Views Citations
Revisiting Characteristics of Ionic Liquids: A Review for Further Application Development (Articles)

Rusen Feng, Dongbin Zhao, Yongjun Guo

Journal of Environmental Protection Vol.1 No.2, June 29, 2010

DOI: 10.4236/jep.2010.12012 10,636 Downloads 23,294 Views Citations
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets (Articles)

Muge Kaltalioglu, Ugur Soytas

Modern Economy Vol.2 No.2, May 17, 2011

DOI: 10.4236/me.2011.22011 6,122 Downloads 12,574 Views Citations
The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data (Articles)

Heather Mitchell, Michael McKenzie

Journal of Mathematical Finance Vol.1 No.1, June 1, 2011

DOI: 10.4236/jmf.2011.11001 6,310 Downloads 12,876 Views Citations
On the Consistency of a Firm’s Value with a Lognormal Diffusion Process (Articles)

Andrew M. K. Cheung, Van Son Lai

Journal of Mathematical Finance Vol.2 No.1, February 28, 2012

DOI: 10.4236/jmf.2012.21003 5,089 Downloads 8,998 Views Citations
VIX and VIX Futures Pricing Algorithms: Cultivating Understanding (Articles)

Hancock G. D’Anne

Modern Economy Vol.3 No.3, May 22, 2012

DOI: 10.4236/me.2012.33038 12,660 Downloads 19,168 Views Citations
Option Pricing Applications of Quadratic Volatility Models (Articles)

Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

Journal of Mathematical Finance Vol.2 No.2, May 23, 2012

DOI: 10.4236/jmf.2012.22017 4,850 Downloads 9,608 Views Citations
Stock Return Conjunction in Markets with Deteriorated Sentiment: Evidence from the Japanese Electric Appliances Industry (Articles)

Chikashi Tsuji

Modern Economy Vol.3 No.4, July 24, 2012

DOI: 10.4236/me.2012.34060 4,197 Downloads 6,951 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 6,829 Downloads 13,007 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 4,764 Downloads 7,470 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 4,501 Downloads 7,064 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 5,447 Downloads 8,265 Views Citations
Index Fund Factor: The View beyond the Wall (Articles)

Joseph Ojih

Open Journal of Social Sciences Vol.2 No.9, August 27, 2014

DOI: 10.4236/jss.2014.29033 5,796 Downloads 7,151 Views Citations
The Unemployment Volatility Puzzle: A Note on the Role of Reference Points (Articles)

Vincent Boitier

Theoretical Economics Letters Vol.5 No.1, February 12, 2015

DOI: 10.4236/tel.2015.51013 3,895 Downloads 5,354 Views Citations
Application of Volatility in Portfolio Construction (Articles)

Michael Ha, George Z. Liu, Lihui Zheng

Journal of Applied Mathematics and Physics Vol.3 No.7, June 30, 2015

DOI: 10.4236/jamp.2015.37099 3,544 Downloads 4,888 Views Citations
Fair Value and Volatility in the Cases of Assets Securitization, Derivative Hedging and Loan Loss Provisioning (Articles)

Lan Sun

Theoretical Economics Letters Vol.5 No.5, October 27, 2015

DOI: 10.4236/tel.2015.55078 7,501 Downloads 9,313 Views Citations
Stock Price Information Content, Idiosyncratic Volatility and Expected Return (Articles)

Meimei Liang

Journal of Mathematical Finance Vol.5 No.4, November 25, 2015

DOI: 10.4236/jmf.2015.54034 5,374 Downloads 7,086 Views Citations
Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (Articles)

Matthew Ginley, David W. Scott, Katherine E. Ensor

Journal of Mathematical Finance Vol.5 No.5, November 30, 2015

DOI: 10.4236/jmf.2015.55039 5,244 Downloads 7,441 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance
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 2,749 Downloads 4,330 Views Citations
An Econometric Approach to Incorporating Non-Normality in VaR Measurement (Articles)

Victor Gumbo, Simiso Siziba

Journal of Mathematical Finance Vol.6 No.1, February 25, 2016

DOI: 10.4236/jmf.2016.61010 2,848 Downloads 4,064 Views Citations

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