| no |
title |
author |
magazine |
year |
volume |
issue |
page(s) |
type |
| 1 |
A note on the implied volatility of floating strike Asian options
|
Alòs, Elisa
|
|
2019
|
42 |
2 |
p. 743-758
|
article
|
| 2 |
A realized volatility approach to option pricing with continuous and jump variance components
|
Alitab, Dario
|
|
2019
|
42 |
2 |
p. 639-664
|
article
|
| 3 |
Asymptotic expansion for some local volatility models arising in finance
|
Albeverio, Sergio
|
|
2019
|
42 |
2 |
p. 527-573
|
article
|
| 4 |
Asymptotic results for the Fourier estimator of the integrated quarticity
|
Livieri, Giulia
|
|
2019
|
42 |
2 |
p. 471-502
|
article
|
| 5 |
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
|
Hok, Julien
|
|
2019
|
42 |
2 |
p. 609-637
|
article
|
| 6 |
Estimating stochastic volatility: the rough side to equity returns
|
Haynes, Jonathan
|
|
2019
|
42 |
2 |
p. 449-469
|
article
|
| 7 |
Estimation of volatility in a high-frequency setting: a short review
|
Jacod, Jean
|
|
2019
|
42 |
2 |
p. 351-385
|
article
|
| 8 |
From volatility smiles to the volatility of volatility
|
Dumas, Bernard
|
|
2019
|
42 |
2 |
p. 387-406
|
article
|
| 9 |
Markovian lifts of positive semidefinite affine Volterra-type processes
|
Cuchiero, Christa
|
|
2019
|
42 |
2 |
p. 407-448
|
article
|
| 10 |
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I
|
Floc’h, Fabien Le
|
|
2019
|
42 |
2 |
p. 679-714
|
article
|
| 11 |
Moment explosions in the rough Heston model
|
Gerhold, Stefan
|
|
2019
|
42 |
2 |
p. 575-608
|
article
|
| 12 |
On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method
|
Cacace, F.
|
|
2019
|
42 |
2 |
p. 503-525
|
article
|
| 13 |
Quantitative developments in financial volatility—theory and practice
|
Alòs, Elisa
|
|
2019
|
42 |
2 |
p. 319-320
|
article
|
| 14 |
Robust calibration and arbitrage-free interpolation of SSVI slices
|
Corbetta, Jacopo
|
|
2019
|
42 |
2 |
p. 665-677
|
article
|
| 15 |
Semi-analytical prices for lookback and barrier options under the Heston model
|
De Gennaro Aquino, Luca
|
|
2019
|
42 |
2 |
p. 715-741
|
article
|
| 16 |
Semi-analytical prices for lookback and barrier options under the Heston model
|
De Gennaro Aquino, Luca
|
|
|
42 |
2 |
p. 715-741
|
article
|
| 17 |
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
|
Alòs, Elisa
|
|
2019
|
42 |
2 |
p. 321-349
|
article
|
Journal description